org.drip.portfolioconstruction.bayesian

Class ProjectionSpecification

java.lang.Object

org.drip.portfolioconstruction.bayesian.ProjectionSpecification

public class ProjectionSpecification
extends java.lang.Object

ProjectionSpecification contains the Black Litterman Projection 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
ProjectionSpecification(R1MultivariateNormal r1mnExcessReturnsDistribution, double[][] aadblAssetSpaceLoading) ProjectionSpecification Constructor

Method Summary

Modifier and Type	Method and Description
double[][]	assetSpaceLoading() Retrieve the Matrix of Asset To-From Projection Portfolio Pick Weights
R1MultivariateNormal	excessReturnsDistribution() Retrieve the R^1 Projection Space Excess Returns Normal Distribution

Methods inherited from class java.lang.Object

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

Constructor Detail

ProjectionSpecification

public ProjectionSpecification(R1MultivariateNormal r1mnExcessReturnsDistribution,
                               double[][] aadblAssetSpaceLoading)
                        throws java.lang.Exception

ProjectionSpecification Constructor

Parameters:

r1mnExcessReturnsDistribution - The R^1 Projection Space Excess Returns Normal Distribution

aadblAssetSpaceLoading - Double Array of Asset To-From Projection Portfolio Pick Weights

Throws:

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

Method Detail

excessReturnsDistribution

public R1MultivariateNormal excessReturnsDistribution()

Retrieve the R^1 Projection Space Excess Returns Normal Distribution

Returns:

The R^1 Projection Space Excess Returns Normal Distribution

assetSpaceLoading

public double[][] assetSpaceLoading()

Retrieve the Matrix of Asset To-From Projection Portfolio Pick Weights

Returns:

The Matrix of Asset To-From Projection Portfolio Pick Weights