Package org.drip.portfolioconstruction.allocator

Class CustomRiskUtilitySettings

java.lang.Object

org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings

public class CustomRiskUtilitySettings
extends java.lang.Object

CustomRiskUtilitySettings contains the settings used to generate the Risk Objective Utility Function. It accommodates both the Risk Tolerance and Risk Aversion Variants.

• 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
CustomRiskUtilitySettings(double riskAversion, double riskTolerance)	CustomRiskUtilitySettings Constructor

Method Summary

Modifier and Type	Method	Description
double	riskAversion()	Retrieve the Risk Aversion Factor
static CustomRiskUtilitySettings	RiskAversion(double riskAversion)	The Risk Aversion Variance Minimizer CustomRiskUtilitySettings Instance
RdToR1	riskObjectiveUtility(java.lang.String[] assetIDArray, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Retrieve the Custom Risk Objective Utility Multivariate
double	riskTolerance()	Retrieve the Risk Tolerance Factor
static CustomRiskUtilitySettings	RiskTolerant(double riskTolerance)	The Risk Tolerant Variance Minimizer CustomRiskUtilitySettings Instance
static CustomRiskUtilitySettings	VarianceMinimizer()	The Variance Minimizer CustomRiskUtilitySettings Instance

Methods inherited from class java.lang.Object

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

Constructor Details

CustomRiskUtilitySettings

public CustomRiskUtilitySettings(double riskAversion,
double riskTolerance)
                          throws java.lang.Exception

CustomRiskUtilitySettings Constructor

Parameters:

riskAversion - The Risk Aversion Parameter

riskTolerance - The Risk Tolerance Parameter

Throws:

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

Method Details

VarianceMinimizer

public static final CustomRiskUtilitySettings VarianceMinimizer()

The Variance Minimizer CustomRiskUtilitySettings Instance

Returns:

The Variance Minimizer CustomRiskUtilitySettings Instance

RiskTolerant

public static final CustomRiskUtilitySettings RiskTolerant(double riskTolerance)

The Risk Tolerant Variance Minimizer CustomRiskUtilitySettings Instance

Parameters:

riskTolerance - The Risk Tolerance Parameter

Returns:

The Risk Tolerant Variance Minimizer CustomRiskUtilitySettings Instance

RiskAversion

public static final CustomRiskUtilitySettings RiskAversion(double riskAversion)

The Risk Aversion Variance Minimizer CustomRiskUtilitySettings Instance

Parameters:

riskAversion - The Risk Aversion Parameter

Returns:

The Risk Aversion Variance Minimizer CustomRiskUtilitySettings Instance

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

riskObjectiveUtility

public RdToR1 riskObjectiveUtility(java.lang.String[] assetIDArray,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Retrieve the Custom Risk Objective Utility Multivariate

Parameters:

assetIDArray - Array of the Asset IDs

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Custom Risk Objective Utility Multivariate