org.drip.portfolioconstruction.bayesian

Class ProjectionExposure

java.lang.Object

org.drip.portfolioconstruction.bayesian.ProjectionExposure

public class ProjectionExposure
extends java.lang.Object

ProjectionExposure holds the Projection Exposure Loadings that Weight the Exposure to the Projection Pick Portfolio. The Reference is: - He. G., and R. Litterman (1999): The Intuition behind the Black-Litterman Model Portfolios, Goldman Sachs Asset Management

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
ProjectionExposure(double[] adblIntraViewComponent, double[] adblInterViewComponent, double[] adblPriorViewComponent, double[][] aadblCompositeConfidenceCovariance) ProjectionExposure Constructor

Method Summary

Modifier and Type	Method and Description
double[][]	compositeConfidenceCovariance() Retrieve the Composite Confidence Co-variance
double[]	cumulativeViewComponent() Compute the Array of Cumulative View Loading Components
double[]	interViewComponent() Retrieve the View/View Joint Contribution Component
double[]	intraViewComponent() Retrieve the Single View Joint Contribution Component
double[]	priorViewComponent() Retrieve the Prior/View Joint Contribution Component

Methods inherited from class java.lang.Object

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

Constructor Detail

ProjectionExposure

public ProjectionExposure(double[] adblIntraViewComponent,
                          double[] adblInterViewComponent,
                          double[] adblPriorViewComponent,
                          double[][] aadblCompositeConfidenceCovariance)
                   throws java.lang.Exception

ProjectionExposure Constructor

Parameters:

adblIntraViewComponent - Array of Per-View View-Specific Exposure Component

adblInterViewComponent - Array of Per-View Exposure Contribution from other Views

adblPriorViewComponent - Array of View-Specific Per-View Components

aadblCompositeConfidenceCovariance - Composite Confidence Co-variance Matrix

Throws:

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

Method Detail

intraViewComponent

public double[] intraViewComponent()

Retrieve the Single View Joint Contribution Component

Returns:

The Single View Joint Contribution Component

interViewComponent

public double[] interViewComponent()

Retrieve the View/View Joint Contribution Component

Returns:

The View/View Joint Contribution Component

priorViewComponent

public double[] priorViewComponent()

Retrieve the Prior/View Joint Contribution Component

Returns:

The Prior/View Joint Contribution Component

compositeConfidenceCovariance

public double[][] compositeConfidenceCovariance()

Retrieve the Composite Confidence Co-variance

Returns:

The Composite Confidence Co-variance

cumulativeViewComponent

public double[] cumulativeViewComponent()

Compute the Array of Cumulative View Loading Components

Returns:

The Array of Cumulative View Loading Components