Package org.drip.portfolioconstruction.allocator

Class RiskUtilitySettingsEstimator

java.lang.Object

org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator

public class RiskUtilitySettingsEstimator
extends java.lang.Object

RiskUtilitySettingsEstimator contains Utility Functions that help estimate the CustomRiskUtilitySettings Inputs Parameters.

• 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
RiskUtilitySettingsEstimator()

Method Summary

Modifier and Type	Method	Description
static double	EquilibriumRiskAversion(double equilibriumReturns, double equilibriumVariance)	Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance
static double	EquilibriumRiskAversion(double equilibriumReturns, double riskFreeRate, double equilibriumVariance)	Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance and the Risk Free Rate

Methods inherited from class java.lang.Object

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

Constructor Details

RiskUtilitySettingsEstimator

public RiskUtilitySettingsEstimator()

Method Details

EquilibriumRiskAversion

public static final double EquilibriumRiskAversion(double equilibriumReturns,
double riskFreeRate,
double equilibriumVariance)
                                            throws java.lang.Exception

Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance and the Risk Free Rate

Parameters:

equilibriumReturns - The Portfolio Equilibrium Returns

riskFreeRate - The Risk Free Rate

equilibriumVariance - The Portfolio Equilibrium Variance

Returns:

The Estimated Equilibrium Risk Aversion Value

Throws:

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

EquilibriumRiskAversion

public static final double EquilibriumRiskAversion(double equilibriumReturns,
double equilibriumVariance)
                                            throws java.lang.Exception

Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance

Parameters:

equilibriumReturns - The Portfolio Equilibrium Returns

equilibriumVariance - The Portfolio Equilibrium Variance

Returns:

The Estimated Equilibrium Risk Aversion Value

Throws:

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