org.drip.portfolioconstruction.allocator

Class OptimizationOutput

java.lang.Object

org.drip.portfolioconstruction.allocator.OptimizationOutput

Direct Known Subclasses:

ForwardReverseOptimizationOutput

public class OptimizationOutput
extends java.lang.Object

OptimizationOutput holds the Output of an Optimal Portfolio Construction Run, i.e., the Optimal Asset Weights in the Portfolio and the related Portfolio Metrics.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
OptimizationOutput(Portfolio pfOptimal, PortfolioMetrics pmOptimal) OptimizationOutput Constructor

Method Summary

Modifier and Type	Method and Description
static OptimizationOutput	Create(AssetComponent[] aACOptimal, AssetUniverseStatisticalProperties ausp) Create an Instance of the Optimal Portfolio
PortfolioMetrics	optimalMetrics() Retrieve the Optimal Portfolio Metrics
Portfolio	optimalPortfolio() Retrieve the Optimal Portfolio Instance

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

OptimizationOutput

public OptimizationOutput(Portfolio pfOptimal,
                          PortfolioMetrics pmOptimal)
                   throws java.lang.Exception

OptimizationOutput Constructor

Parameters:

pfOptimal - The Optimal Portfolio

pmOptimal - The Optimal Portfolio Metrics

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

Create

public static final OptimizationOutput Create(AssetComponent[] aACOptimal,
                                              AssetUniverseStatisticalProperties ausp)

Create an Instance of the Optimal Portfolio

Parameters:

aACOptimal - The Array of the Optimal Asset Components

ausp - The AUSP Instance

Returns:

The Instance of the Optimal Portfolio

optimalMetrics

public PortfolioMetrics optimalMetrics()

Retrieve the Optimal Portfolio Metrics

Returns:

The Optimal Portfolio Metrics

optimalPortfolio

public Portfolio optimalPortfolio()

Retrieve the Optimal Portfolio Instance

Returns:

The Optimal Portfolio Instance