Package org.drip.portfolioconstruction.allocator

Class BoundedHoldingsAllocationControl

java.lang.Object

org.drip.portfolioconstruction.allocator.HoldingsAllocationControl

org.drip.portfolioconstruction.allocator.BoundedHoldingsAllocationControl

Direct Known Subclasses:

UpperBoundHoldingsAllocationControl

public class BoundedHoldingsAllocationControl
extends HoldingsAllocationControl

BoundedHoldingsAllocationControl holds the Parameters needed to build the Portfolio with Bounds on the Underlying Assets.

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Portfolio Construction under Allocation Constraints
• Package = MVO Based Portfolio Allocation Construction

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BoundedHoldingsAllocationControl(java.lang.String[] assetIDArray, CustomRiskUtilitySettings customRiskUtilitySettings, EqualityConstraintSettings equalityConstraintSettings)	BoundedHoldingsAllocationControl Constructor

Method Summary

Modifier and Type	Method	Description
boolean	addBound(java.lang.String assetID, double lowerBound, double upperBound)	Set the Bounds for the specified Asset
CaseInsensitiveHashMap<AssetBounds>	assetBoundsMap()	Retrieve the Portfolio Asset Bounds Map
AffineBoundMultivariate[]	boundingConstraintsArray(int extraneousVariateCount)	Retrieve the Array of the Inequality Constraint Functions
double[]	feasibleStart()	Retrieve an Array of Viable Starting Variates From Within the Feasible Region
double	lowerBound(java.lang.String assetID)	Retrieve the Lower Bound for the Specified Asset ID
double	upperBound(java.lang.String assetID)	Retrieve the Upper Bound for the Specified Asset ID
double[]	weightConstrainedFeasibleStart()	Retrieve an Array of Viable Weight Constrained Starting Variates From Within the Feasible Region

Methods inherited from class org.drip.portfolioconstruction.allocator.HoldingsAllocationControl

assetIDArray, customRiskUtilitySettings, equalityConstraintArray, equalityConstraintRHS, equalityConstraintSettings, fullyInvestedConstraint, returnsConstraint

Methods inherited from class java.lang.Object

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

Constructor Details

BoundedHoldingsAllocationControl

public BoundedHoldingsAllocationControl(java.lang.String[] assetIDArray,
CustomRiskUtilitySettings customRiskUtilitySettings,
EqualityConstraintSettings equalityConstraintSettings)
                                 throws java.lang.Exception

BoundedHoldingsAllocationControl Constructor

Parameters:

assetIDArray - Array of Assets ID

customRiskUtilitySettings - The Quadratic Custom Risk Utility Settings

equalityConstraintSettings - The Portfolio Equality Constraint Settings

Throws:

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

Method Details

assetBoundsMap

public CaseInsensitiveHashMap<AssetBounds> assetBoundsMap()

Retrieve the Portfolio Asset Bounds Map

Returns:

The Portfolio Asset Bounds Map

addBound

public boolean addBound(java.lang.String assetID,
double lowerBound,
double upperBound)

Set the Bounds for the specified Asset

Parameters:

assetID - The Asset ID

lowerBound - The Asset Share Lower Bound

upperBound - The Asset Share Upper Bound

Returns:

TRUE - The Asset Bounds successfully set

lowerBound

public double lowerBound(java.lang.String assetID)
                  throws java.lang.Exception

Retrieve the Lower Bound for the Specified Asset ID

Parameters:

assetID - The Asset ID

Returns:

The Lower Bound for the Specified Asset ID

Throws:

java.lang.Exception - Thrown if the Bound cannot be extracted

upperBound

public double upperBound(java.lang.String assetID)
                  throws java.lang.Exception

Retrieve the Upper Bound for the Specified Asset ID

Parameters:

assetID - The Asset ID

Returns:

The Upper Bound for the Specified Asset ID

Throws:

java.lang.Exception - Thrown if the Bound cannot be extracted

boundingConstraintsArray

public AffineBoundMultivariate[] boundingConstraintsArray(int extraneousVariateCount)

Retrieve the Array of the Inequality Constraint Functions

Parameters:

extraneousVariateCount - Number of Extraneous Variates

Returns:

The Array of the Inequality Constraint Functions

feasibleStart

public double[] feasibleStart()

Retrieve an Array of Viable Starting Variates From Within the Feasible Region

Returns:

An Array of Viable Starting Variates From Within the Feasible Region

weightConstrainedFeasibleStart

public double[] weightConstrainedFeasibleStart()

Retrieve an Array of Viable Weight Constrained Starting Variates From Within the Feasible Region

Returns:

An Array of Viable Weight Constrained Starting Variates From Within the Feasible Region