org.drip.portfolioconstruction.allocator

Class PortfolioConstructionParameters

java.lang.Object

org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters

Direct Known Subclasses:

BoundedPortfolioConstructionParameters

public class PortfolioConstructionParameters
extends java.lang.Object

PortfolioConstructionParameters holds the Parameters needed to construct the Portfolio.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
PortfolioConstructionParameters(java.lang.String[] astrAssetID, CustomRiskUtilitySettings crus, PortfolioEqualityConstraintSettings pecs) PortfolioConstructionParameters Constructor

Method Summary

Modifier and Type	Method and Description
java.lang.String[]	assets() Retrieve the Asset ID Array
PortfolioEqualityConstraintSettings	constraintSettings() Retrieve the Instance of the Portfolio Equality Constraint Settings
RdToR1[]	equalityConstraintRdToR1(AssetUniverseStatisticalProperties ausp) Retrieve the Equality Constraint R^d To R^1 Corresponding to the Specified Constraint Type
double[]	equalityConstraintValue(AssetUniverseStatisticalProperties ausp) Retrieve the Equality Constraint Values Corresponding to the Specified Constraint Type
RdToR1	fullyInvestedConstraint() Retrieve the Fully Invested Equality Constraint
CustomRiskUtilitySettings	optimizerSettings() Retrieve the Instance of the Quadratic Custom Risk Utility Settings
RdToR1	returnsConstraint(AssetUniverseStatisticalProperties ausp) Retrieve the Mandatory Returns Constraint

Methods inherited from class java.lang.Object

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

Constructor Detail

PortfolioConstructionParameters

public PortfolioConstructionParameters(java.lang.String[] astrAssetID,
                                       CustomRiskUtilitySettings crus,
                                       PortfolioEqualityConstraintSettings pecs)
                                throws java.lang.Exception

PortfolioConstructionParameters Constructor

Parameters:

astrAssetID - Array of Asset IDs

crus - The Quadratic Custom Risk Utility Settings

pecs - The Portfolio Equality Constraint Settings

Throws:

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

Method Detail

assets

public java.lang.String[] assets()

Retrieve the Asset ID Array

Returns:

The Asset ID Array

optimizerSettings

public CustomRiskUtilitySettings optimizerSettings()

Retrieve the Instance of the Quadratic Custom Risk Utility Settings

Returns:

The Quadratic Custom Risk Utility Settings

constraintSettings

public PortfolioEqualityConstraintSettings constraintSettings()

Retrieve the Instance of the Portfolio Equality Constraint Settings

Returns:

The Portfolio Equality Constraint Settings

fullyInvestedConstraint

public RdToR1 fullyInvestedConstraint()

Retrieve the Fully Invested Equality Constraint

Returns:

The Fully Invested Equality Constraint

returnsConstraint

public RdToR1 returnsConstraint(AssetUniverseStatisticalProperties ausp)

Retrieve the Mandatory Returns Constraint

Parameters:

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Mandatory Returns Constraint

equalityConstraintRdToR1

public RdToR1[] equalityConstraintRdToR1(AssetUniverseStatisticalProperties ausp)

Retrieve the Equality Constraint R^d To R^1 Corresponding to the Specified Constraint Type

Parameters:

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Equality Constraint R^d To R^1 Corresponding to the Specified Constraint Type

equalityConstraintValue

public double[] equalityConstraintValue(AssetUniverseStatisticalProperties ausp)

Retrieve the Equality Constraint Values Corresponding to the Specified Constraint Type

Parameters:

ausp - The Asset Universe Statistical Properties Instance

Returns:

The Equality Constraint Values Corresponding to the Specified Constraint Type