Package org.drip.portfolioconstruction.bayesian

Class MeucciViewUncertaintyParameterization

java.lang.Object
org.drip.portfolioconstruction.bayesian.MeucciViewUncertaintyParameterization
public class MeucciViewUncertaintyParameterization
extends java.lang.Object
MeucciViewUncertaintyParameterization demonstrates the Meucci Parameterization for the View Projection Uncertainty Matrix. The Reference is:

  • Meucci, A. (2005): Risk and Asset Allocation Springer Finance


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    MeucciViewUncertaintyParameterization()  

  • Method Summary

    Modifier and Type Method Description
    static Covariance ProjectionCovariance​(double[][] scopingCovarianceMatrix, double alphaArray)
    Generate the Projection Co-variance from the Scoping Co-variance and the Meucci Alpha Parameter

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MeucciViewUncertaintyParameterization

      public MeucciViewUncertaintyParameterization()

  • Method Details

    • ProjectionCovariance

      public static final Covariance ProjectionCovariance​(double[][] scopingCovarianceMatrix, double alphaArray)
      Generate the Projection Co-variance from the Scoping Co-variance and the Meucci Alpha Parameter
      Parameters:
      scopingCovarianceMatrix - The Scoping Co-variance
      alphaArray - Meucci Alpha Parameter
      Returns:
      The Projection Co-variance Instance