org.drip.portfolioconstruction.bayesian

Class MeucciViewUncertaintyParameterization

java.lang.Object

org.drip.portfolioconstruction.bayesian.MeucciViewUncertaintyParameterization

public class MeucciViewUncertaintyParameterization
extends java.lang.Object

MeucciViewUncertaintyParameterization demonstrates the Meucci Parameterization for the View Projection Uncertainty Matrix. The Reference is: - Meucci, A. (2005): Risk and Asset Allocation, Springer Finance.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
MeucciViewUncertaintyParameterization()

Method Summary

Modifier and Type	Method and Description
static Covariance	ProjectionCovariance(double[][] aadblScopingCovariance, double dblAlpha) Generate the Projection Co-variance from the Scoping Co-variance and the Meucci Alpha Parameter

Methods inherited from class java.lang.Object

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

Constructor Detail

MeucciViewUncertaintyParameterization

public MeucciViewUncertaintyParameterization()

Method Detail

ProjectionCovariance

public static final Covariance ProjectionCovariance(double[][] aadblScopingCovariance,
                                                    double dblAlpha)

Generate the Projection Co-variance from the Scoping Co-variance and the Meucci Alpha Parameter

Parameters:

aadblScopingCovariance - The Scoping Co-variance

dblAlpha - Meucci Alpha Parameter

Returns:

The Projection Co-variance Instance