org.drip.portfolioconstruction.bayesian

Class BlackLittermanCustomConfidenceOutput

java.lang.Object

org.drip.portfolioconstruction.bayesian.BlackLittermanOutput

org.drip.portfolioconstruction.bayesian.BlackLittermanCustomConfidenceOutput

public class BlackLittermanCustomConfidenceOutput
extends BlackLittermanOutput

BlackLittermanCustomConfidenceOutput holds the Outputs generated from a Custom COnfidence Black Litterman Bayesian COmbination Run. The References are: - He. G., and R. Litterman (1999): The Intuition behind the Black-Litterman Model Portfolios, Goldman Sachs Asset Management - 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
BlackLittermanCustomConfidenceOutput(ForwardReverseOptimizationOutput frooAdjusted, double[] adblAllocationAdjustmentTilt, JointPosteriorMetrics jpm) BlackLittermanCustomConfidenceOutput Constructor

Method Summary

Modifier and Type	Method and Description
JointPosteriorMetrics	combinationMetrics() Retrieve the Bayesian Joint/Posterior Metrics

Methods inherited from class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput

adjustedMetrics, allocationAdjustmentTilt

Methods inherited from class java.lang.Object

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

Constructor Detail

BlackLittermanCustomConfidenceOutput

public BlackLittermanCustomConfidenceOutput(ForwardReverseOptimizationOutput frooAdjusted,
                                            double[] adblAllocationAdjustmentTilt,
                                            JointPosteriorMetrics jpm)
                                     throws java.lang.Exception

BlackLittermanCustomConfidenceOutput Constructor

Parameters:

frooAdjusted - The Adjusted Forward Reverse Equilibrium Optimization Output

adblAllocationAdjustmentTilt - Array of the Allocation Adjustment Tilts

jpm - The Bayesian Joint/Posterior Metrics Instance

Throws:

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

Method Detail

combinationMetrics

public JointPosteriorMetrics combinationMetrics()

Retrieve the Bayesian Joint/Posterior Metrics

Returns:

The Bayesian Joint/Posterior Metrics