org.drip.sample.idzorek

Class PortfolioAndBenchmarkMetrics

java.lang.Object

org.drip.sample.idzorek.PortfolioAndBenchmarkMetrics

public class PortfolioAndBenchmarkMetrics
extends java.lang.Object

PortfolioAndBenchmarkMetrics demonstrates the Prior-Posterior Portfolio Statistics using the Black-Litterman Model augmented with the Idzorek Model. 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
PortfolioAndBenchmarkMetrics()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astArgs)

Methods inherited from class java.lang.Object

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

Constructor Detail

PortfolioAndBenchmarkMetrics

public PortfolioAndBenchmarkMetrics()

Method Detail

main

public static final void main(java.lang.String[] astArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception