org.drip.portfolioconstruction.allocator

Class RiskUtilitySettingsEstimator

java.lang.Object

org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator

public class RiskUtilitySettingsEstimator
extends java.lang.Object

RiskUtilitySettingsEstimator contains Utility Functions that help estimate the CustomRiskUtilitySettings Inputs Parameters.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
RiskUtilitySettingsEstimator()

Method Summary

Modifier and Type	Method and Description
static double	EquilibriumRiskAversion(double dblEquilibriumReturns, double dblEquilibriumVariance) Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance
static double	EquilibriumRiskAversion(double dblEquilibriumReturns, double dblRiskFreeRate, double dblEquilibriumVariance) Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance and the Risk Free Rate

Methods inherited from class java.lang.Object

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

Constructor Detail

RiskUtilitySettingsEstimator

public RiskUtilitySettingsEstimator()

Method Detail

EquilibriumRiskAversion

public static final double EquilibriumRiskAversion(double dblEquilibriumReturns,
                                                   double dblRiskFreeRate,
                                                   double dblEquilibriumVariance)
                                            throws java.lang.Exception

Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance and the Risk Free Rate

Parameters:

dblEquilibriumReturns - The Portfolio Equilibrium Returns

dblRiskFreeRate - The Risk Free Rate

dblEquilibriumVariance - The Portfolio Equilibrium Variance

Returns:

The Estimated Equilibrium Risk Aversion Value

Throws:

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

EquilibriumRiskAversion

public static final double EquilibriumRiskAversion(double dblEquilibriumReturns,
                                                   double dblEquilibriumVariance)
                                            throws java.lang.Exception

Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance

Parameters:

dblEquilibriumReturns - The Portfolio Equilibrium Returns

dblEquilibriumVariance - The Portfolio Equilibrium Variance

Returns:

The Estimated Equilibrium Risk Aversion Value

Throws:

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