org.drip.portfolioconstruction.asset

Class PortfolioBenchmarkMetrics

java.lang.Object

org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics

public class PortfolioBenchmarkMetrics
extends java.lang.Object

PortfolioBenchmarkMetrics holds the Metrics that result from a Relative Valuation of a Portfolio with respect to a Benchmark. - Grinold, R. C., and R. N. Kahn (1999): Active Portfolio Management, 2nd Edition, McGraw-Hill, NY. - Idzorek, T. (2005): A Step-by-Step Guide to the Black-Litterman Model: Incorporating User-Specified Confidence Levels, Ibbotson Associates, Chicago

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
PortfolioBenchmarkMetrics(double dblBeta, double dblActiveBeta, double dblActiveRisk, double dblActiveReturn, double dblResidualRisk, double dblResidualReturn) PortfolioBenchmarkMetrics Constructor

Method Summary

Modifier and Type	Method and Description
double	activeBeta() Retrieve the Portfolio-to-Benchmark Active Beta
double	activeReturn() Retrieve the Portfolio-to-Benchmark Active Return
double	activeRisk() Retrieve the Portfolio-to-Benchmark Active Risk
double	beta() Retrieve the Portfolio-to-Benchmark Beta
double	residualReturn() Retrieve the Portfolio-to-Benchmark Residual Return
double	residualRisk() Retrieve the Portfolio-to-Benchmark Residual Risk

Methods inherited from class java.lang.Object

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

Constructor Detail

PortfolioBenchmarkMetrics

public PortfolioBenchmarkMetrics(double dblBeta,
                                 double dblActiveBeta,
                                 double dblActiveRisk,
                                 double dblActiveReturn,
                                 double dblResidualRisk,
                                 double dblResidualReturn)
                          throws java.lang.Exception

PortfolioBenchmarkMetrics Constructor

Parameters:

dblBeta - Portfolio-to-Benchmark Beta

dblActiveBeta - Portfolio-to-Benchmark Active Beta

dblActiveRisk - Portfolio-to-Benchmark Active Risk

dblActiveReturn - Portfolio-to-Benchmark Active Return

dblResidualRisk - Portfolio-to-Benchmark Residual Risk

dblResidualReturn - Portfolio-to-Benchmark Residual Return

Throws:

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

Method Detail

beta

public double beta()

Retrieve the Portfolio-to-Benchmark Beta

Returns:

The Portfolio-to-Benchmark Beta

activeBeta

public double activeBeta()

Retrieve the Portfolio-to-Benchmark Active Beta

Returns:

The Portfolio-to-Benchmark Active Beta

activeRisk

public double activeRisk()

Retrieve the Portfolio-to-Benchmark Active Risk

Returns:

The Portfolio-to-Benchmark Active Risk

activeReturn

public double activeReturn()

Retrieve the Portfolio-to-Benchmark Active Return

Returns:

The Portfolio-to-Benchmark Active Return

residualRisk

public double residualRisk()

Retrieve the Portfolio-to-Benchmark Residual Risk

Returns:

The Portfolio-to-Benchmark Residual Risk

residualReturn

public double residualReturn()

Retrieve the Portfolio-to-Benchmark Residual Return

Returns:

The Portfolio-to-Benchmark Residual Return