Package org.drip.portfolioconstruction.allocator

Class HoldingsAllocation

java.lang.Object

org.drip.portfolioconstruction.allocator.HoldingsAllocation

Direct Known Subclasses:

ForwardReverseHoldingsAllocation, TadonkiVialHoldingsAllocation

public class HoldingsAllocation
extends java.lang.Object

HoldingsAllocation holds the Output of an Optimal Portfolio Construction Run, i.e., the Optimal Asset Weights in the Portfolio and the related Portfolio Metrics.

• 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
HoldingsAllocation(Portfolio optimalPortfolio, PortfolioMetrics optimalPortfolioMetrics)	HoldingsAllocation Constructor

Method Summary

Modifier and Type	Method	Description
static HoldingsAllocation	Create(AssetComponent[] optimalAssetComponentArray, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Create an Instance of the Optimal Portfolio
PortfolioMetrics	optimalMetrics()	Retrieve the Optimal Portfolio Metrics
Portfolio	optimalPortfolio()	Retrieve the Optimal Portfolio Instance

Methods inherited from class java.lang.Object

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

Constructor Details

HoldingsAllocation

public HoldingsAllocation(Portfolio optimalPortfolio,
PortfolioMetrics optimalPortfolioMetrics)
                   throws java.lang.Exception

HoldingsAllocation Constructor

Parameters:

optimalPortfolio - The Optimal Portfolio

optimalPortfolioMetrics - The Optimal Portfolio Metrics

Throws:

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

Method Details

Create

public static final HoldingsAllocation Create(AssetComponent[] optimalAssetComponentArray,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Create an Instance of the Optimal Portfolio

Parameters:

optimalAssetComponentArray - The Array of the Optimal Asset Components

assetUniverseStatisticalProperties - The AssetUniverseStatisticalProperties Instance

Returns:

The Instance of the Optimal Portfolio

optimalMetrics

public PortfolioMetrics optimalMetrics()

Retrieve the Optimal Portfolio Metrics

Returns:

The Optimal Portfolio Metrics

optimalPortfolio

public Portfolio optimalPortfolio()

Retrieve the Optimal Portfolio Instance

Returns:

The Optimal Portfolio Instance