Package org.drip.portfolioconstruction.allocator

Class MeanVarianceOptimizer

java.lang.Object

org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

Direct Known Subclasses:

ConstrainedMeanVarianceOptimizer, QuadraticMeanVarianceOptimizer

public abstract class MeanVarianceOptimizer
extends java.lang.Object

MeanVarianceOptimizer exposes Portfolio Construction using Mean Variance Optimization Techniques.

• 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
MeanVarianceOptimizer()

Method Summary

Modifier and Type	Method	Description
abstract HoldingsAllocation	allocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters
MarkovitzBullet	efficientFrontier(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties, int frontierSampleUnits)	Generate the Efficient Frontier given the Portfolio Construction Parameters
abstract HoldingsAllocation	globalMinimumVarianceAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Global Minimum Variance Portfolio without any Returns Constraints in the Parameters
abstract HoldingsAllocation	longOnlyMaximumReturnsAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Long-Only Maximum Returns Portfolio

Methods inherited from class java.lang.Object

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

Constructor Details

MeanVarianceOptimizer

public MeanVarianceOptimizer()

Method Details

longOnlyMaximumReturnsAllocate

public abstract HoldingsAllocation longOnlyMaximumReturnsAllocate(HoldingsAllocationControl portfolioConstructionParameters,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Allocate the Long-Only Maximum Returns Portfolio

Parameters:

portfolioConstructionParameters - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Long-Only Maximum Returns Portfolio

globalMinimumVarianceAllocate

public abstract HoldingsAllocation globalMinimumVarianceAllocate(HoldingsAllocationControl portfolioConstructionParameters,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

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

Parameters:

portfolioConstructionParameters - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Global Minimum Variance Portfolio

allocate

public abstract HoldingsAllocation allocate(HoldingsAllocationControl portfolioConstructionParameters,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters

Parameters:

portfolioConstructionParameters - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Optimal Portfolio

efficientFrontier

public MarkovitzBullet efficientFrontier(HoldingsAllocationControl portfolioConstructionParameters,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties,
int frontierSampleUnits)

Generate the Efficient Frontier given the Portfolio Construction Parameters

Parameters:

portfolioConstructionParameters - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

frontierSampleUnits - The Number of Frontier Sample Units

Returns:

The Efficient Frontier