Package org.drip.portfolioconstruction.bayesian

Class ProjectionImpliedConfidenceOutput

java.lang.Object

org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput

public class ProjectionImpliedConfidenceOutput
extends java.lang.Object

ProjectionImpliedConfidenceOutput holds the Results of the Idzorek 2005 Black Litterman Intuitive Projection Confidence Level Estimation 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
ProjectionImpliedConfidenceOutput(double[] unadjustedWeightArray, BlackLittermanCustomConfidenceOutput customConfidenceOutput, BlackLittermanOutput fullConfidenceOutput)	ProjectionImpliedConfidenceOutput Constructor

Method Summary

Modifier and Type	Method	Description
BlackLittermanCustomConfidenceOutput	customConfidenceOutput()	Retrieve the Custom Projection Confidence Black Litterman Run Output
double[]	customProjectionConfidenceDeviation()	Retrieve the Custom Projection Induced Equilibrium Asset Deviation Array
double[]	customProjectionConfidenceWeight()	Retrieve the Custom Projection Induced Equilibrium Asset Weight Array
BlackLittermanOutput	fullConfidenceOutput()	Retrieve the Full Projection Confidence Black Litterman Run Output
double[]	fullProjectionConfidenceDeviation()	Retrieve the Full Projection Induced Equilibrium Asset Deviation Array
double[]	fullProjectionConfidenceWeight()	Retrieve the Full Projection Induced Equilibrium Asset Weight Array
double[]	impliedConfidenceLevelArray()	Compute the Array of the Custom Projection Induced Confidence Level
double[]	unadjustedWeightArray()	Retrieve the Array of the Unadjusted Equilibrium Weights

Methods inherited from class java.lang.Object

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

Constructor Details

ProjectionImpliedConfidenceOutput

public ProjectionImpliedConfidenceOutput(double[] unadjustedWeightArray,
BlackLittermanCustomConfidenceOutput customConfidenceOutput,
BlackLittermanOutput fullConfidenceOutput)
                                  throws java.lang.Exception

ProjectionImpliedConfidenceOutput Constructor

Parameters:

unadjustedWeightArray - Array of the Unadjusted Weights

customConfidenceOutput - The Custom Confidence Black Litterman Run Output

fullConfidenceOutput - The Full Confidence Black Litterman Run Output

Throws:

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

Method Details

unadjustedWeightArray

public double[] unadjustedWeightArray()

Retrieve the Array of the Unadjusted Equilibrium Weights

Returns:

The Array of the Unadjusted Equilibrium Weights

customConfidenceOutput

public BlackLittermanCustomConfidenceOutput customConfidenceOutput()

Retrieve the Custom Projection Confidence Black Litterman Run Output

Returns:

The Custom Projection Confidence Black Litterman Run Output

fullConfidenceOutput

public BlackLittermanOutput fullConfidenceOutput()

Retrieve the Full Projection Confidence Black Litterman Run Output

Returns:

The Full Projection Confidence Black Litterman Run Output

customProjectionConfidenceDeviation

public double[] customProjectionConfidenceDeviation()

Retrieve the Custom Projection Induced Equilibrium Asset Deviation Array

Returns:

The Custom Projection Induced Equilibrium Asset Deviation Array

customProjectionConfidenceWeight

public double[] customProjectionConfidenceWeight()

Retrieve the Custom Projection Induced Equilibrium Asset Weight Array

Returns:

The Custom Projection Induced Equilibrium Asset Weight Array

fullProjectionConfidenceDeviation

public double[] fullProjectionConfidenceDeviation()

Retrieve the Full Projection Induced Equilibrium Asset Deviation Array

Returns:

The Full Projection Induced Equilibrium Asset Deviation Array

fullProjectionConfidenceWeight

public double[] fullProjectionConfidenceWeight()

Retrieve the Full Projection Induced Equilibrium Asset Weight Array

Returns:

The Full Projection Induced Equilibrium Asset Weight Array

impliedConfidenceLevelArray

public double[] impliedConfidenceLevelArray()

Compute the Array of the Custom Projection Induced Confidence Level

Returns:

The Array of the Custom Projection Induced Confidence Level