Package org.drip.portfolioconstruction.bayesian

Class BlackLittermanOutput

java.lang.Object

org.drip.portfolioconstruction.bayesian.BlackLittermanOutput

Direct Known Subclasses:

BlackLittermanCustomConfidenceOutput

public class BlackLittermanOutput
extends java.lang.Object

BlackLittermanOutput holds the essential Outputs generated from either a Full or a Custom Confidence of the Projection 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
BlackLittermanOutput(ForwardReverseHoldingsAllocation adjustedOptimizationOutput, double[] allocationAdjustmentTiltArray)	BlackLittermanOutput Constructor

Method Summary

Modifier and Type	Method	Description
ForwardReverseHoldingsAllocation	adjustedOptimizationOutput()	Retrieve the Adjusted Forward Equilibrium Optimization Metrics
double[]	allocationAdjustmentTiltArray()	Retrieve the Array of the Black Litterman Allocation Adjustment Tilt

Methods inherited from class java.lang.Object

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

Constructor Details

BlackLittermanOutput

public BlackLittermanOutput(ForwardReverseHoldingsAllocation adjustedOptimizationOutput,
double[] allocationAdjustmentTiltArray)
                     throws java.lang.Exception

BlackLittermanOutput Constructor

Parameters:

adjustedOptimizationOutput - The Black Litterman Adjusted Forward Reverse Equilibrium Optimization Output

allocationAdjustmentTiltArray - Array of the Allocation Adjustment Tilts

Throws:

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

Method Details

adjustedOptimizationOutput

public ForwardReverseHoldingsAllocation adjustedOptimizationOutput()

Retrieve the Adjusted Forward Equilibrium Optimization Metrics

Returns:

The Adjusted Forward Equilibrium Optimization Metrics

allocationAdjustmentTiltArray

public double[] allocationAdjustmentTiltArray()

Retrieve the Array of the Black Litterman Allocation Adjustment Tilt

Returns:

The Array of the Black Litterman Allocation Adjustment Tilt