org.drip.portfolioconstruction.mpt

Class MarkovitzBullet

java.lang.Object

org.drip.portfolioconstruction.mpt.MarkovitzBullet

public class MarkovitzBullet
extends java.lang.Object

MarkovitzBullet holds the Portfolio Performance Metrics across a Variety of Return Constraints.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
MarkovitzBullet(OptimizationOutput opGlobalMinimumVariance, OptimizationOutput opLongOnlyMaximumReturns) MarkovitzBullet Constructor

Method Summary

Modifier and Type	Method and Description
boolean	addOptimalPortfolio(OptimizationOutput op) Add a Returns Constrained Optimal Portfolio
OptimizationOutput	globalMinimumVariance() Retrieve the Global Minimum Variance Portfolio Metrics
OptimizationOutput	longOnlyMaximumReturns() Retrieve the Long Only Maximum Returns Portfolio Metrics
java.util.TreeMap<java.lang.Double,OptimizationOutput>	optimalPortfolios() Retrieve the Map of Optimal Portfolios

Methods inherited from class java.lang.Object

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

Constructor Detail

MarkovitzBullet

public MarkovitzBullet(OptimizationOutput opGlobalMinimumVariance,
                       OptimizationOutput opLongOnlyMaximumReturns)
                throws java.lang.Exception

MarkovitzBullet Constructor

Parameters:

opGlobalMinimumVariance - The Global Minimum Variance Optimal Portfolio

opLongOnlyMaximumReturns - The Long Only Maximum Returns Optimal Portfolio

Throws:

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

Method Detail

globalMinimumVariance

public OptimizationOutput globalMinimumVariance()

Retrieve the Global Minimum Variance Portfolio Metrics

Returns:

The Global Minimum Variance Portfolio Metrics

longOnlyMaximumReturns

public OptimizationOutput longOnlyMaximumReturns()

Retrieve the Long Only Maximum Returns Portfolio Metrics

Returns:

The Long Only Maximum Returns Portfolio Metrics

addOptimalPortfolio

public boolean addOptimalPortfolio(OptimizationOutput op)

Add a Returns Constrained Optimal Portfolio

Parameters:

op - The Returns Constrained Optimal Portfolio

Returns:

TRUE - The Returns Constrained Optimal Portfolio Successfully Added

optimalPortfolios

public java.util.TreeMap<java.lang.Double,OptimizationOutput> optimalPortfolios()

Retrieve the Map of Optimal Portfolios

Returns:

The Map of Optimal Portfolios