Package org.drip.portfolioconstruction.cardinality

Class TadonkiVialMeanVarianceOptimizer

java.lang.Object

org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer

org.drip.portfolioconstruction.cardinality.TadonkiVialMeanVarianceOptimizer

public class TadonkiVialMeanVarianceOptimizer
extends ConstrainedMeanVarianceOptimizer

TadonkiVialMeanVarianceOptimizer builds an Optimal Portfolio Based on MPT Using the Asset Pool Statistical Properties with the Specified Lower/Upper Bounds on the Component Assets, along with an Upper Bound on Portfolio Cardinality, 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

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Portfolio Construction under Allocation Constraints
• Package = MVO Based Portfolio Allocation Construction

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
TadonkiVialMeanVarianceOptimizer(InteriorPointBarrierControl interiorPointBarrierControl, LineStepEvolutionControl lineStepEvolutionControl)	TadonkiVialMeanVarianceOptimizer Constructor

Method Summary

Modifier and Type	Method	Description
TadonkiVialHoldingsAllocation	allocate(HoldingsAllocationControl holdingsAllocationControl, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters

Methods inherited from class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer

globalMinimumVarianceAllocate, interiorPointBarrierControl, lineStepEvolutionControl, longOnlyMaximumReturnsAllocate

Methods inherited from class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer

efficientFrontier

Methods inherited from class java.lang.Object

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

Constructor Details

TadonkiVialMeanVarianceOptimizer

public TadonkiVialMeanVarianceOptimizer(InteriorPointBarrierControl interiorPointBarrierControl,
LineStepEvolutionControl lineStepEvolutionControl)

TadonkiVialMeanVarianceOptimizer Constructor

Parameters:

interiorPointBarrierControl - Interior Fixed Point Barrier Control Parameters

lineStepEvolutionControl - Line Step Evolution Control Parameters

Method Details

allocate

public TadonkiVialHoldingsAllocation allocate(HoldingsAllocationControl holdingsAllocationControl,
AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Description copied from class: MeanVarianceOptimizer

Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters

Overrides:

allocate in class ConstrainedMeanVarianceOptimizer

Parameters:

holdingsAllocationControl - The Portfolio Construction Parameters

assetUniverseStatisticalProperties - The Asset Universe Statistical Properties Instance

Returns:

The Optimal Portfolio