Package org.drip.function.rdtor1

Class RiskObjectiveUtilityMultivariate

java.lang.Object
org.drip.function.definition.RdToR1
org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
public class RiskObjectiveUtilityMultivariate
extends RdToR1
RiskObjectiveUtilityMultivariate implements the Risk Objective Rd To R1 Multivariate Function used in Portfolio Allocation. It accommodates both the Risk Tolerance and Risk Aversion Variants.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    RiskObjectiveUtilityMultivariate​(double[][] aadblCovarianceMatrix, double[] adblExpectedReturns, double dblRiskAversion, double dblRiskTolerance, double dblRiskFreeRate)
    RiskObjectiveUtilityMultivariate Constructor

  • Method Summary

    Modifier and Type Method Description
    double[][] covariance()
    Retrieve the Co-variance Matrix
    int dimension()
    Retrieve the Input Variate Dimension
    double evaluate​(double[] adblVariate)
    Evaluate for the given Input Variates
    double[] expectedReturns()
    Retrieve the Array of Expected Returns
    double[][] hessian​(double[] adblVariate)
    Evaluate The Hessian for the given Input Variates
    double[] jacobian​(double[] adblVariate)
    Evaluate the Jacobian for the given Input Variates
    double riskAversion()
    Retrieve the Risk Aversion Factor
    double riskFreeRate()
    Retrieve the Risk Free Rate
    double riskTolerance()
    Retrieve the Risk Tolerance Factor

    Methods inherited from class org.drip.function.definition.RdToR1

    derivative, differential, gradient, gradientModulus, gradientModulusFunction, integrate, maxima, minima, ValidateInput

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • RiskObjectiveUtilityMultivariate

      public RiskObjectiveUtilityMultivariate​(double[][] aadblCovarianceMatrix, double[] adblExpectedReturns, double dblRiskAversion, double dblRiskTolerance, double dblRiskFreeRate) throws java.lang.Exception
      RiskObjectiveUtilityMultivariate Constructor
      Parameters:
      aadblCovarianceMatrix - The Co-variance Matrix Double Array
      adblExpectedReturns - Array of Expected Returns
      dblRiskAversion - The Risk Aversion Parameter
      dblRiskTolerance - The Risk Tolerance Parameter
      dblRiskFreeRate - The Risk Free Rate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • dimension

      public int dimension()
      Retrieve the Input Variate Dimension
      Specified by:
      dimension in class RdToR1
      Returns:
      The Input Variate Dimension

    • covariance

      public double[][] covariance()
      Retrieve the Co-variance Matrix
      Returns:
      The Co-variance Matrix

    • expectedReturns

      public double[] expectedReturns()
      Retrieve the Array of Expected Returns
      Returns:
      The Array of Expected Returns

    • riskAversion

      public double riskAversion()
      Retrieve the Risk Aversion Factor
      Returns:
      The Risk Aversion Factor

    • riskTolerance

      public double riskTolerance()
      Retrieve the Risk Tolerance Factor
      Returns:
      The Risk Tolerance Factor

    • riskFreeRate

      public double riskFreeRate()
      Retrieve the Risk Free Rate
      Returns:
      The Risk Free Rate

    • evaluate

      public double evaluate​(double[] adblVariate) throws java.lang.Exception
      Description copied from class: RdToR1
      Evaluate for the given Input Variates
      Specified by:
      evaluate in class RdToR1
      Parameters:
      adblVariate - Array of Input Variates
      Returns:
      The Calculated Value
      Throws:
      java.lang.Exception - Thrown if the Evaluation cannot be done

    • jacobian

      public double[] jacobian​(double[] adblVariate)
      Description copied from class: RdToR1
      Evaluate the Jacobian for the given Input Variates
      Overrides:
      jacobian in class RdToR1
      Parameters:
      adblVariate - Array of Input Variates
      Returns:
      The Jacobian Array

    • hessian

      public double[][] hessian​(double[] adblVariate)
      Description copied from class: RdToR1
      Evaluate The Hessian for the given Input Variates
      Overrides:
      hessian in class RdToR1
      Parameters:
      adblVariate - Array of Input Variates
      Returns:
      The Hessian Matrix