Package org.drip.portfolioconstruction.asset

Class PortfolioMetrics

java.lang.Object
org.drip.portfolioconstruction.asset.PortfolioMetrics
public class PortfolioMetrics
extends java.lang.Object
PortfolioMetrics holds the Expected Portfolio Returns and the Standard Deviation.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    PortfolioMetrics​(double excessReturnsMean, double excessReturnsVariance, double excessReturnsStandardDeviation, double sharpeRatio, double[] impliedBetaArray)
    PortfolioMetrics Constructor

  • Method Summary

    Modifier and Type Method Description
    double excessReturnsMean()
    Retrieve the Portfolio Expected Excess Returns
    double excessReturnsStandardDeviation()
    Retrieve the Portfolio Excess Returns Standard Deviation
    double excessReturnsVariance()
    Retrieve the Portfolio Excess Returns Variance
    double[] impliedBeta()
    Retrieve the Portfolio Implied Beta Vector
    double sharpeRatio()
    Retrieve the Portfolio Sharpe Ratio

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PortfolioMetrics

      public PortfolioMetrics​(double excessReturnsMean, double excessReturnsVariance, double excessReturnsStandardDeviation, double sharpeRatio, double[] impliedBetaArray) throws java.lang.Exception
      PortfolioMetrics Constructor
      Parameters:
      excessReturnsMean - The Expected Portfolio Excess Returns Mean
      excessReturnsVariance - The Portfolio Excess Returns Variance
      excessReturnsStandardDeviation - The Excess Returns Portfolio Standard Deviation
      sharpeRatio - Portfolio Sharpe Ratio
      impliedBetaArray - Portfolio Implied Beta Vector
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • excessReturnsMean

      public double excessReturnsMean()
      Retrieve the Portfolio Expected Excess Returns
      Returns:
      The Portfolio Expected Excess Returns

    • excessReturnsVariance

      public double excessReturnsVariance()
      Retrieve the Portfolio Excess Returns Variance
      Returns:
      The Portfolio Excess Returns Variance

    • excessReturnsStandardDeviation

      public double excessReturnsStandardDeviation()
      Retrieve the Portfolio Excess Returns Standard Deviation
      Returns:
      The Portfolio Excess Returns Standard Deviation

    • sharpeRatio

      public double sharpeRatio()
      Retrieve the Portfolio Sharpe Ratio
      Returns:
      The Portfolio Sharpe Ratio

    • impliedBeta

      public double[] impliedBeta()
      Retrieve the Portfolio Implied Beta Vector
      Returns:
      The Portfolio Implied Beta Vector