Package org.drip.portfolioconstruction.allocator

Class HoldingsAllocationControl

java.lang.Object

org.drip.portfolioconstruction.allocator.HoldingsAllocationControl

Direct Known Subclasses:

BoundedHoldingsAllocationControl

public class HoldingsAllocationControl
extends java.lang.Object

HoldingsAllocationControl holds the Parameters needed to control the Portfolio Allocation.

• 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
HoldingsAllocationControl(java.lang.String[] assetIDArray, CustomRiskUtilitySettings customRiskUtilitySettings, EqualityConstraintSettings equalityConstraintSettings)	HoldingsAllocationControl Constructor

Method Summary

Modifier and Type	Method	Description
java.lang.String[]	assetIDArray()	Retrieve the Asset ID Array
CustomRiskUtilitySettings	customRiskUtilitySettings()	Retrieve the Instance of the Custom Risk Utility Settings
RdToR1[]	equalityConstraintArray(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Retrieve the Equality Constraint Rd To R1 Corresponding to the Specified Constraint Type
double[]	equalityConstraintRHS()	Retrieve the Equality Constraint RHS Corresponding to the Specified Constraint Type
EqualityConstraintSettings	equalityConstraintSettings()	Retrieve the Instance of the Portfolio Equality Constraint Settings
RdToR1	fullyInvestedConstraint()	Retrieve the Fully Invested Equality Constraint
RdToR1	returnsConstraint(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Retrieve the Mandatory Returns Constraint

Methods inherited from class java.lang.Object

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

Constructor Details

HoldingsAllocationControl

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

HoldingsAllocationControl Constructor

Parameters:

assetIDArray - Array of Asset IDs

customRiskUtilitySettings - The Custom Risk Utility Settings

equalityConstraintSettings - The Portfolio Equality Constraint Settings

Throws:

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

Method Details

assetIDArray

public java.lang.String[] assetIDArray()

Retrieve the Asset ID Array

Returns:

The Asset ID Array

customRiskUtilitySettings

public CustomRiskUtilitySettings customRiskUtilitySettings()

Retrieve the Instance of the Custom Risk Utility Settings

Returns:

The Custom Risk Utility Settings

equalityConstraintSettings

public EqualityConstraintSettings equalityConstraintSettings()

Retrieve the Instance of the Portfolio Equality Constraint Settings

Returns:

The Portfolio Equality Constraint Settings

fullyInvestedConstraint

public RdToR1 fullyInvestedConstraint()

Retrieve the Fully Invested Equality Constraint

Returns:

The Fully Invested Equality Constraint

returnsConstraint

public RdToR1 returnsConstraint(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Retrieve the Mandatory Returns Constraint

Parameters:

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Mandatory Returns Constraint

equalityConstraintArray

public RdToR1[] equalityConstraintArray(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Retrieve the Equality Constraint R^d To R¹ Corresponding to the Specified Constraint Type

Parameters:

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Equality Constraint R^d To R¹ Corresponding to the Specified Constraint Type

equalityConstraintRHS

public double[] equalityConstraintRHS()

Retrieve the Equality Constraint RHS Corresponding to the Specified Constraint Type

Returns:

The Equality Constraint RHS Corresponding to the Specified Constraint Type