org.drip.portfolioconstruction.asset

Class PortfolioMetrics

java.lang.Object

org.drip.portfolioconstruction.asset.PortfolioMetrics

public class PortfolioMetrics
extends java.lang.Object

PortfolioMetrics holds the Expected Portfolio Returns and the Standard Deviation.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
PortfolioMetrics(double dblExcessReturnsMean, double dblExcessReturnsVariance, double dblExcessReturnsStandardDeviation, double dblSharpeRatio, double[] adblImpliedBeta) PortfolioMetrics Constructor

Method Summary

Modifier and Type	Method and Description
double	excessReturnsMean() Retrieve the Portfolio Expected Excess Returns
double	excessReturnsStandardDeviation() Retrieve the Portfolio Excess Returns Standard Deviation
double	excessReturnsVariance() Retrieve the Portfolio Excess Returns Variance
double[]	impliedBeta() Retrieve the Portfolio Implied Beta Vector
double	sharpeRatio() Retrieve the Portfolio Sharpe Ratio

Methods inherited from class java.lang.Object

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

Constructor Detail

PortfolioMetrics

public PortfolioMetrics(double dblExcessReturnsMean,
                        double dblExcessReturnsVariance,
                        double dblExcessReturnsStandardDeviation,
                        double dblSharpeRatio,
                        double[] adblImpliedBeta)
                 throws java.lang.Exception

PortfolioMetrics Constructor

Parameters:

dblExcessReturnsMean - The Expected Portfolio Excess Returns Mean

dblExcessReturnsVariance - The Portfolio Excess Returns Variance

dblExcessReturnsStandardDeviation - The Excess Returns Portfolio Standard Deviation

dblSharpeRatio - Portfolio Sharpe Ratio

adblImpliedBeta - Portfolio Implied Beta Vector

Throws:

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

Method Detail

excessReturnsMean

public double excessReturnsMean()

Retrieve the Portfolio Expected Excess Returns

Returns:

The Portfolio Expected Excess Returns

excessReturnsVariance

public double excessReturnsVariance()

Retrieve the Portfolio Excess Returns Variance

Returns:

The Portfolio Excess Returns Variance

excessReturnsStandardDeviation

public double excessReturnsStandardDeviation()

Retrieve the Portfolio Excess Returns Standard Deviation

Returns:

The Portfolio Excess Returns Standard Deviation

sharpeRatio

public double sharpeRatio()

Retrieve the Portfolio Sharpe Ratio

Returns:

The Portfolio Sharpe Ratio

impliedBeta

public double[] impliedBeta()

Retrieve the Portfolio Implied Beta Vector

Returns:

The Portfolio Implied Beta Vector