Package org.drip.portfolioconstruction.asset

Class PortfolioBenchmarkMetrics

java.lang.Object
org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
public class PortfolioBenchmarkMetrics
extends java.lang.Object
PortfolioBenchmarkMetrics holds the Metrics that result from a Relative Valuation of a Portfolio with respect to a Benchmark.

  • Grinold, R. C., and R. N. Kahn (1999): Active Portfolio Management, 2nd Edition McGraw-Hill NY
  • Idzorek, T. (2005): A Step-by-Step Guide to the Black-Litterman Model: Incorporating User-Specified Confidence Levels Ibbotson Associates Chicago, IL


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    PortfolioBenchmarkMetrics​(double beta, double activeBeta, double activeRisk, double activeReturn, double residualRisk, double residualReturn)
    PortfolioBenchmarkMetrics Constructor

  • Method Summary

    Modifier and Type Method Description
    double activeBeta()
    Retrieve the Portfolio-to-Benchmark Active Beta
    double activeReturn()
    Retrieve the Portfolio-to-Benchmark Active Return
    double activeRisk()
    Retrieve the Portfolio-to-Benchmark Active Risk
    double beta()
    Retrieve the Portfolio-to-Benchmark Beta
    double residualReturn()
    Retrieve the Portfolio-to-Benchmark Residual Return
    double residualRisk()
    Retrieve the Portfolio-to-Benchmark Residual Risk

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PortfolioBenchmarkMetrics

      public PortfolioBenchmarkMetrics​(double beta, double activeBeta, double activeRisk, double activeReturn, double residualRisk, double residualReturn) throws java.lang.Exception
      PortfolioBenchmarkMetrics Constructor
      Parameters:
      beta - Portfolio-to-Benchmark Beta
      activeBeta - Portfolio-to-Benchmark Active Beta
      activeRisk - Portfolio-to-Benchmark Active Risk
      activeReturn - Portfolio-to-Benchmark Active Return
      residualRisk - Portfolio-to-Benchmark Residual Risk
      residualReturn - Portfolio-to-Benchmark Residual Return
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • beta

      public double beta()
      Retrieve the Portfolio-to-Benchmark Beta
      Returns:
      The Portfolio-to-Benchmark Beta

    • activeBeta

      public double activeBeta()
      Retrieve the Portfolio-to-Benchmark Active Beta
      Returns:
      The Portfolio-to-Benchmark Active Beta

    • activeRisk

      public double activeRisk()
      Retrieve the Portfolio-to-Benchmark Active Risk
      Returns:
      The Portfolio-to-Benchmark Active Risk

    • activeReturn

      public double activeReturn()
      Retrieve the Portfolio-to-Benchmark Active Return
      Returns:
      The Portfolio-to-Benchmark Active Return

    • residualRisk

      public double residualRisk()
      Retrieve the Portfolio-to-Benchmark Residual Risk
      Returns:
      The Portfolio-to-Benchmark Residual Risk

    • residualReturn

      public double residualReturn()
      Retrieve the Portfolio-to-Benchmark Residual Return
      Returns:
      The Portfolio-to-Benchmark Residual Return