Package org.drip.portfolioconstruction.asset

Class Portfolio

java.lang.Object
org.drip.portfolioconstruction.asset.Portfolio
public class Portfolio
extends java.lang.Object
Portfolio implements an Instance of the Portfolio of Assets.

Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • Portfolio

      public Portfolio​(AssetComponent[] assetComponentArray) throws java.lang.Exception
      Portfolio Constructor
      Parameters:
      assetComponentArray - Array of the Asset Components
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final Portfolio Standard​(java.lang.String[] assetIDArray, double[] amountArray)
      Construct a Portfolio Instance from the Array of Asset ID's and their Amounts
      Parameters:
      assetIDArray - Array of Asset IDs
      amountArray - Array of Amounts
      Returns:
      The Portfolio Instance

    • assetComponentArray

      public AssetComponent[] assetComponentArray()
      Retrieve the Array of the Asset Components
      Returns:
      Array of the Asset Components

    • notional

      public double notional()
      Retrieve the Notional of the Portfolio
      Returns:
      Notional of the Portfolio

    • assetIDArray

      public java.lang.String[] assetIDArray()
      Retrieve the Array of Asset IDs
      Returns:
      The Array of Asset IDs

    • meta

      public MultivariateMeta meta()
      Retrieve the Multivariate Meta Instance around the Assets
      Returns:
      The Multivariate Meta Instance around the Assets

    • weightArray

      public double[] weightArray()
      Retrieve the Array of Asset Weights
      Returns:
      The Array of Asset Weights

    • lowestWeightAsset

      public AssetComponent lowestWeightAsset()
      Retrieve the Asset Component with the Lowest Weight
      Returns:
      The Asset Component with the Lowest Weight

    • highestWeightAsset

      public AssetComponent highestWeightAsset()
      Retrieve the Asset Component with the Highest Weight
      Returns:
      The Asset Component with the Highest Weight

    • cardinality

      public int cardinality()
      Retrieve the Portfolio Asset Cardinality
      Returns:
      The Portfolio Asset Cardinality

    • expectedReturn

      public double expectedReturn​(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties) throws java.lang.Exception
      Retrieve the Expected Returns of the Portfolio
      Parameters:
      assetUniverseStatisticalProperties - The Asset Pool Statistical Properties Instance
      Returns:
      Expected Returns of the Portfolio
      Throws:
      java.lang.Exception - Thrown if the Expected Returns cannot be calculated

    • variance

      public double variance​(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties) throws java.lang.Exception
      Retrieve the Variance of the Portfolio
      Parameters:
      assetUniverseStatisticalProperties - The Asset Pool Statistical Properties Instance
      Returns:
      Variance of the Portfolio
      Throws:
      java.lang.Exception - Thrown if the Variance cannot be calculated