Package org.drip.portfolioconstruction.allocator

Class QuadraticMeanVarianceOptimizer

java.lang.Object

org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer

public class QuadraticMeanVarianceOptimizer
extends MeanVarianceOptimizer

QuadraticMeanVarianceOptimizer builds an Optimal Portfolio Based on MPT Using the Asset Pool Statistical Properties using a Quadratic Optimization Function and Equality Constraints (if any).

• 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
QuadraticMeanVarianceOptimizer()	Empty QuadraticMeanVarianceOptimizer Constructor

Method Summary

Modifier and Type	Method	Description
HoldingsAllocation	allocate(HoldingsAllocationControl portfolioConstructionParameters, 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
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

QuadraticMeanVarianceOptimizer

public QuadraticMeanVarianceOptimizer()

Empty QuadraticMeanVarianceOptimizer Constructor

Method Details

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 portfolioConstructionParameters,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Description copied from class: MeanVarianceOptimizer

Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters

Specified by:

allocate in class MeanVarianceOptimizer

Parameters:

portfolioConstructionParameters - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Optimal Portfolio