Package org.drip.portfolioconstruction.allocator

Class ConstrainedMeanVarianceOptimizer

java.lang.Object

org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer

Direct Known Subclasses:

TadonkiVialMeanVarianceOptimizer

public class ConstrainedMeanVarianceOptimizer
extends MeanVarianceOptimizer

ConstrainedMeanVarianceOptimizer builds an Optimal Portfolio Based on MPT Using the Asset Pool Statistical Properties with the Specified Lower/Upper Bounds on the Component 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
ConstrainedMeanVarianceOptimizer(InteriorPointBarrierControl interiorPointBarrierControl, LineStepEvolutionControl lineStepEvolutionControl)	ConstrainedMeanVarianceOptimizer Constructor

Method Summary

Modifier and Type	Method	Description
HoldingsAllocation	allocate(HoldingsAllocationControl holdingsAllocationControl, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters
HoldingsAllocation	globalMinimumVarianceAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Global Minimum Variance Portfolio without any Returns Constraints in the Parameters
InteriorPointBarrierControl	interiorPointBarrierControl()	Retrieve the Interior Point Barrier Control
LineStepEvolutionControl	lineStepEvolutionControl()	Retrieve the Line Step Evolution Control
HoldingsAllocation	longOnlyMaximumReturnsAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Long-Only Maximum Returns Portfolio

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

efficientFrontier

Methods inherited from class java.lang.Object

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

Constructor Details

ConstrainedMeanVarianceOptimizer

public ConstrainedMeanVarianceOptimizer(InteriorPointBarrierControl interiorPointBarrierControl,
LineStepEvolutionControl lineStepEvolutionControl)

ConstrainedMeanVarianceOptimizer Constructor

Parameters:

interiorPointBarrierControl - Interior Fixed Point Barrier Control Parameters

lineStepEvolutionControl - Line Step Evolution Control Parameters

Method Details

lineStepEvolutionControl

public LineStepEvolutionControl lineStepEvolutionControl()

Retrieve the Line Step Evolution Control

Returns:

The Line Step Evolution Control

interiorPointBarrierControl

public InteriorPointBarrierControl interiorPointBarrierControl()

Retrieve the Interior Point Barrier Control

Returns:

The Interior Point Barrier Control

longOnlyMaximumReturnsAllocate

public HoldingsAllocation longOnlyMaximumReturnsAllocate(HoldingsAllocationControl portfolioConstructionParameters,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Description copied from class: MeanVarianceOptimizer

Allocate the Long-Only Maximum Returns Portfolio

Specified by:

longOnlyMaximumReturnsAllocate in class MeanVarianceOptimizer

Parameters:

portfolioConstructionParameters - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Long-Only Maximum Returns Portfolio

globalMinimumVarianceAllocate

public HoldingsAllocation globalMinimumVarianceAllocate(HoldingsAllocationControl portfolioConstructionParameters,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Description copied from class: MeanVarianceOptimizer

Allocate the Global Minimum Variance Portfolio without any Returns Constraints in the Parameters

Specified by:

globalMinimumVarianceAllocate in class MeanVarianceOptimizer

Parameters:

portfolioConstructionParameters - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Global Minimum Variance Portfolio

allocate

public HoldingsAllocation allocate(HoldingsAllocationControl holdingsAllocationControl,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Description copied from class: MeanVarianceOptimizer

Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters

Specified by:

allocate in class MeanVarianceOptimizer

Parameters:

holdingsAllocationControl - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Optimal Portfolio