org.drip.portfolioconstruction.mpt

Class CapitalAllocationLine

java.lang.Object

org.drip.portfolioconstruction.mpt.CapitalAllocationLine

public class CapitalAllocationLine
extends java.lang.Object

CapitalAllocationLine implements the Efficient Half-line created from the Combination of the Risk Free Asset and the Tangency Point of the CAPM Market Portfolio.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CapitalAllocationLine(double dblRiskFreeRate, PortfolioMetrics pmTangency) CapitalAllocationLine Constructor

Method Summary

Modifier and Type	Method and Description
double	combinationPortfolioExpectedReturn(double dblCombinationPortfolioStandardDeviation) Calculate the Combination Portfolio's Expected Returns from the corresponding Standard Deviation
double	combinationPortfolioStandardDeviation(double dblCombinationPortfolioExpectedReturn) Compute the Combination Portfolio's Standard Deviation
double	riskFreeRate() Retrieve the Risk-Free Rate
PortfolioMetrics	tangencyPortfolioMetrics() Retrieve the Tangency Portfolio Metrics

Methods inherited from class java.lang.Object

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

Constructor Detail

CapitalAllocationLine

public CapitalAllocationLine(double dblRiskFreeRate,
                             PortfolioMetrics pmTangency)
                      throws java.lang.Exception

CapitalAllocationLine Constructor

Parameters:

dblRiskFreeRate - The Risk Free Rate

pmTangency - The Tangency Portfolio Metrics

Throws:

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

Method Detail

riskFreeRate

public double riskFreeRate()

Retrieve the Risk-Free Rate

Returns:

The Risk-Free Rate

tangencyPortfolioMetrics

public PortfolioMetrics tangencyPortfolioMetrics()

Retrieve the Tangency Portfolio Metrics

Returns:

The Tangency Portfolio Metrics

combinationPortfolioExpectedReturn

public double combinationPortfolioExpectedReturn(double dblCombinationPortfolioStandardDeviation)
                                          throws java.lang.Exception

Calculate the Combination Portfolio's Expected Returns from the corresponding Standard Deviation

Parameters:

dblCombinationPortfolioStandardDeviation - The Combination Portfolio's Standard Deviation

Returns:

The Combination Portfolio's Expected Returns

Throws:

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

combinationPortfolioStandardDeviation

public double combinationPortfolioStandardDeviation(double dblCombinationPortfolioExpectedReturn)
                                             throws java.lang.Exception

Compute the Combination Portfolio's Standard Deviation

Parameters:

dblCombinationPortfolioExpectedReturn - The Expected Returns of the Combination Portfolio

Returns:

The Combination Portfolio's Standard Deviation

Throws:

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