Package org.drip.portfolioconstruction.cardinality

Class TadonkiVialHoldingsAllocation

java.lang.Object
org.drip.portfolioconstruction.allocator.HoldingsAllocation
org.drip.portfolioconstruction.cardinality.TadonkiVialHoldingsAllocation
public class TadonkiVialHoldingsAllocation
extends HoldingsAllocation
TadonkiVialHoldingsAllocation holds the Results of the Allocation performed using the Tadonki and Vial (2004) Heuristic Scheme. The References are:

  • Chang, T., J., N. Meade, J. E. Beasley, and Y. M. Sharaiha (2000): Heuristics for Cardinality Constrained Portfolio Optimization Computers and Operations Research 27 (13) 1271-1302
  • Chvatal, V. (1973): Edmonds Polytopes in a Hierarchy of Combinatorial Problems Discrete Mathematics 4 (4) 305-337
  • Jobst, N. J., M. D. Horniman, C. A. Lucas, and G. Mitra (2001): Computational Aspects of Alternative Portfolio Selection Models in the Presence of Discrete Asset Choice Constraints Quantitative Finance 1 (5) 1-13
  • Letchford, A. N. and A. Lodi (2002): Strengthening Chvatal-Gomory Cuts and Gomory Fractional Cuts Operations Research Letters 30 (2) 74-82
  • Tadonki, C., and J. P. Vial (2004): Portfolio Selection with Cardinality and Bound Constraints https://www.cri.ensmp.fr/~tadonki/PaperForWeb/Tadonki_PF.pdf


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • TadonkiVialHoldingsAllocation

      public TadonkiVialHoldingsAllocation​(Portfolio optimalPortfolio, PortfolioMetrics optimalPortfolioMetrics) throws java.lang.Exception
      TadonkiVialHoldingsAllocation Constructor
      Parameters:
      optimalPortfolio - The Optimal Portfolio
      optimalPortfolioMetrics - The Optimal Portfolio Metrics
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final TadonkiVialHoldingsAllocation Standard​(HoldingsAllocation holdingsAllocation)
      Generate a Standard Instance of the Tadonki Vial Holdings Allocation
      Parameters:
      holdingsAllocation - The Holdings Allocation
      Returns:
      Tadonki Vial Holdings Allocation

    • floorPassHoldingsAllocation

      public HoldingsAllocation floorPassHoldingsAllocation()
      Retrieve the Floor Pass Holdings Allocation
      Returns:
      The Floor Pass Holdings Allocation

    • firstPrunePassHoldingsAllocation

      public HoldingsAllocation firstPrunePassHoldingsAllocation()
      Retrieve the First Prune Pass Holdings Allocation
      Returns:
      The First Prune Pass Holdings Allocation

    • secondPrunePassHoldingsAllocation

      public HoldingsAllocation secondPrunePassHoldingsAllocation()
      Retrieve the Second Prune Pass Holdings Allocation
      Returns:
      The Second Prune Pass Holdings Allocation

    • setFloorPassHoldingsAllocation

      public boolean setFloorPassHoldingsAllocation​(HoldingsAllocation floorPassHoldingsAllocation)
      Set the Floor Pass Holdings Allocation
      Parameters:
      floorPassHoldingsAllocation - The Floor Pass Holdings Allocation
      Returns:
      TRUE - The Floor Pass Holdings Allocation successfully set

    • setFirstPrunePassHoldingsAllocation

      public boolean setFirstPrunePassHoldingsAllocation​(HoldingsAllocation firstPrunePassHoldingsAllocation)
      Set the First Prune Pass Holdings Allocation
      Parameters:
      firstPrunePassHoldingsAllocation - The First Prune Pass Holdings Allocation
      Returns:
      TRUE - The First Prune Pass Holdings Allocation successfully set

    • setSecondPrunePassHoldingsAllocation

      public boolean setSecondPrunePassHoldingsAllocation​(HoldingsAllocation secondPrunePassHoldingsAllocation)
      Set the Second Prune Pass Holdings Allocation
      Parameters:
      secondPrunePassHoldingsAllocation - The Second Prune Pass Holdings Allocation
      Returns:
      TRUE - The Second Prune Pass Holdings Allocation successfully set