ProjectionSpecification

java.lang.Object

org.drip.portfolioconstruction.bayesian.ProjectionSpecification

public class ProjectionSpecification
extends java.lang.Object

ProjectionSpecification contains the Black Litterman Projection Specification Settings. 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

ProjectionSpecification(R1MultivariateNormal excessReturnsDistribution, double[][] assetSpaceLoadingMatrix)
ProjectionSpecification Constructor

Method Summary

Modifier and Type	Method	Description
`double[][]`	`assetSpaceLoadingMatrix()`	Retrieve the Matrix of Asset To-From Projection Portfolio Pick Weights
`R1MultivariateNormal`	`excessReturnsDistribution()`	Retrieve the R¹ Projection Space Excess Returns Normal Distribution

Methods inherited from class java.lang.Object

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

Constructor Details
- ProjectionSpecification
  
  public ProjectionSpecification(R1MultivariateNormal excessReturnsDistribution, double[][] assetSpaceLoadingMatrix) throws java.lang.Exception
  
  ProjectionSpecification Constructor
  
  Parameters:
  
  excessReturnsDistribution - The R¹ Projection Space Excess Returns Normal Distribution
  
  assetSpaceLoadingMatrix - Double Array of Asset To-From Projection Portfolio Pick Weights
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- excessReturnsDistribution
  
  public R1MultivariateNormal excessReturnsDistribution()
  
  Retrieve the R¹ Projection Space Excess Returns Normal Distribution
  
  Returns:
  
  The R¹ Projection Space Excess Returns Normal Distribution
- assetSpaceLoadingMatrix
  
  public double[][] assetSpaceLoadingMatrix()
  
  Retrieve the Matrix of Asset To-From Projection Portfolio Pick Weights
  
  Returns:
  
  The Matrix of Asset To-From Projection Portfolio Pick Weights