Package org.drip.portfolioconstruction.bayesian

Class BlackLittermanCustomConfidenceOutput

java.lang.Object

org.drip.portfolioconstruction.bayesian.BlackLittermanOutput

org.drip.portfolioconstruction.bayesian.BlackLittermanCustomConfidenceOutput

public class BlackLittermanCustomConfidenceOutput
extends BlackLittermanOutput

BlackLittermanCustomConfidenceOutput holds the Outputs generated from a Custom Confidence Black Litterman Bayesian Combination Run. The References are:

• He. G., and R. Litterman (1999): The Intuition behind the Black-Litterman Model Portfolios Goldman Sachs Asset Management
• Idzorek, T. (2005): A Step-by-Step Guide to the Black-Litterman Model: Incorporating User-Specified Confidence Levels Ibbotson Associates Chicago, IL

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Portfolio Construction under Allocation Constraints
• Package = Black Litterman Bayesian Portfolio Construction

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BlackLittermanCustomConfidenceOutput(ForwardReverseHoldingsAllocation forwardReverseOptimizationOutput, double[] allocationAdjustmentTiltArray, R1MultivariateConvolutionMetrics jointPosteriorMetrics)	BlackLittermanCustomConfidenceOutput Constructor

Method Summary

Modifier and Type	Method	Description
R1MultivariateConvolutionMetrics	jointPosteriorMetrics()	Retrieve the Bayesian Joint/Posterior Metrics

Methods inherited from class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput

adjustedOptimizationOutput, allocationAdjustmentTiltArray

Methods inherited from class java.lang.Object

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

Constructor Details

BlackLittermanCustomConfidenceOutput

public BlackLittermanCustomConfidenceOutput(ForwardReverseHoldingsAllocation forwardReverseOptimizationOutput,
double[] allocationAdjustmentTiltArray,
R1MultivariateConvolutionMetrics jointPosteriorMetrics)
                                     throws java.lang.Exception

BlackLittermanCustomConfidenceOutput Constructor

Parameters:

forwardReverseOptimizationOutput - The Adjusted Forward Reverse Equilibrium Optimization Output

allocationAdjustmentTiltArray - Array of the Allocation Adjustment Tilts

jointPosteriorMetrics - The Bayesian Joint/Posterior Metrics Instance

Throws:

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

Method Details

jointPosteriorMetrics

public R1MultivariateConvolutionMetrics jointPosteriorMetrics()

Retrieve the Bayesian Joint/Posterior Metrics

Returns:

The Bayesian Joint/Posterior Metrics