org.drip.portfolioconstruction.bayesian

Class BlackLittermanOutput

java.lang.Object

org.drip.portfolioconstruction.bayesian.BlackLittermanOutput

Direct Known Subclasses:

BlackLittermanCustomConfidenceOutput

public class BlackLittermanOutput
extends java.lang.Object

BlackLittermanOutput holds the essential Outputs generated from either a Full or a Custom Confidence of the Projection 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
BlackLittermanOutput(ForwardReverseOptimizationOutput frooAdjusted, double[] adblAllocationAdjustmentTilt) BlackLittermanOutput Constructor

Method Summary

Modifier and Type	Method and Description
ForwardReverseOptimizationOutput	adjustedMetrics() Retrieve the Adjusted Forward Equilibrium Optimization Metrics
double[]	allocationAdjustmentTilt() Retrieve the Array of the Black Litterman Allocation Adjustment Tilts

Methods inherited from class java.lang.Object

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

Constructor Detail

BlackLittermanOutput

public BlackLittermanOutput(ForwardReverseOptimizationOutput frooAdjusted,
                            double[] adblAllocationAdjustmentTilt)
                     throws java.lang.Exception

BlackLittermanOutput Constructor

Parameters:

frooAdjusted - The Black Litterman Adjusted Forward Reverse Equilibrium Optimization Output

adblAllocationAdjustmentTilt - Array of the Allocation Adjustment Tilts

Throws:

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

Method Detail

adjustedMetrics

public ForwardReverseOptimizationOutput adjustedMetrics()

Retrieve the Adjusted Forward Equilibrium Optimization Metrics

Returns:

The Adjusted Forward Equilibrium Optimization Metrics

allocationAdjustmentTilt

public double[] allocationAdjustmentTilt()

Retrieve the Array of the Black Litterman Allocation Adjustment Tilts

Returns:

The Array of the Black Litterman Allocation Adjustment Tilts