Package org.drip.portfolioconstruction.bayesian

Class ProjectionExposure

java.lang.Object
org.drip.portfolioconstruction.bayesian.ProjectionExposure
public class ProjectionExposure
extends java.lang.Object
ProjectionExposure holds the Projection Exposure Loadings that Weight the Exposure to the Projection Pick Portfolio. The Reference is:

  • He. G., and R. Litterman (1999): The Intuition behind the Black-Litterman Model Portfolios Goldman Sachs Asset Management


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ProjectionExposure​(double[] intraViewComponentArray, double[] interViewComponentArray, double[] priorViewComponentArray, double[][] compositeConfidenceCovarianceMatrix)
    ProjectionExposure Constructor

  • Method Summary

    Modifier and Type Method Description
    double[][] compositeConfidenceCovarianceMatrix()
    Retrieve the Composite Confidence Co-variance Matrix
    double[] cumulativeViewComponentLoadingArray()
    Compute the Array of Cumulative View Loading Component Array
    double[] interViewComponentArray()
    Retrieve the View/View Joint Contribution Component Array
    double[] intraViewComponentArray()
    Retrieve the Single View Joint Contribution Component Array
    double[] priorViewComponentArray()
    Retrieve the Prior/View Joint Contribution Component Array

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ProjectionExposure

      public ProjectionExposure​(double[] intraViewComponentArray, double[] interViewComponentArray, double[] priorViewComponentArray, double[][] compositeConfidenceCovarianceMatrix) throws java.lang.Exception
      ProjectionExposure Constructor
      Parameters:
      intraViewComponentArray - Array of Per-View View-Specific Exposure Component Array
      interViewComponentArray - Array of Per-View Exposure Contribution Array from other Views
      priorViewComponentArray - Array of View-Specific Per-View Components Array
      compositeConfidenceCovarianceMatrix - Composite Confidence Co-variance Matrix
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • intraViewComponentArray

      public double[] intraViewComponentArray()
      Retrieve the Single View Joint Contribution Component Array
      Returns:
      The Single View Joint Contribution Component Array

    • interViewComponentArray

      public double[] interViewComponentArray()
      Retrieve the View/View Joint Contribution Component Array
      Returns:
      The View/View Joint Contribution Component Array

    • priorViewComponentArray

      public double[] priorViewComponentArray()
      Retrieve the Prior/View Joint Contribution Component Array
      Returns:
      The Prior/View Joint Contribution Component Array

    • compositeConfidenceCovarianceMatrix

      public double[][] compositeConfidenceCovarianceMatrix()
      Retrieve the Composite Confidence Co-variance Matrix
      Returns:
      The Composite Confidence Co-variance Matrix

    • cumulativeViewComponentLoadingArray

      public double[] cumulativeViewComponentLoadingArray()
      Compute the Array of Cumulative View Loading Component Array
      Returns:
      The Array of Cumulative View Loading Component Array