org.drip.portfolioconstruction.bayesian

Class PriorControlSpecification

java.lang.Object

org.drip.portfolioconstruction.bayesian.PriorControlSpecification

public class PriorControlSpecification
extends java.lang.Object

PriorControlSpecification contains the Black Litterman Prior Specification Settings. 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
PriorControlSpecification(boolean bAlternateReferenceModel, double dblRiskFreeRate, double dblTau) PriorControlSpecification Constructor

Method Summary

Modifier and Type	Method and Description
double	riskFreeRate() Retrieve the Risk Free Rate
double	tau() Retrieve Tau
boolean	useAlternateReferenceModel() Retrieve the Flag indicating if the Alternate Reference Model is to be used

Methods inherited from class java.lang.Object

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

Constructor Detail

PriorControlSpecification

public PriorControlSpecification(boolean bAlternateReferenceModel,
                                 double dblRiskFreeRate,
                                 double dblTau)
                          throws java.lang.Exception

PriorControlSpecification Constructor

Parameters:

bAlternateReferenceModel - TRUE - Use Alternate Reference in place of the Traditional Black Litterman Model

dblRiskFreeRate - The Risk Free Rate

dblTau - The Asset Space Excess Returns "Confidence" Parameter

Throws:

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

Method Detail

useAlternateReferenceModel

public boolean useAlternateReferenceModel()

Retrieve the Flag indicating if the Alternate Reference Model is to be used

Returns:

TRUE - Use Alternate Reference in place of the Traditional Black Litterman Model

riskFreeRate

public double riskFreeRate()

Retrieve the Risk Free Rate

Returns:

The Risk Free Rate

tau

public double tau()

Retrieve Tau

Returns:

Tau