Package org.drip.portfolioconstruction.cardinality

Class UpperBoundHoldingsAllocationControl

java.lang.Object

org.drip.portfolioconstruction.allocator.HoldingsAllocationControl

org.drip.portfolioconstruction.allocator.BoundedHoldingsAllocationControl

org.drip.portfolioconstruction.cardinality.UpperBoundHoldingsAllocationControl

public class UpperBoundHoldingsAllocationControl
extends BoundedHoldingsAllocationControl

UpperBoundHoldingsAllocationControl holds the Parameters needed to build the Portfolio with Bounds on the Underlying Assets as well as Portfolio Level Holdings Cardinality Constraint. 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
UpperBoundHoldingsAllocationControl(java.lang.String[] assetIDArray, CustomRiskUtilitySettings customRiskUtilitySettings, EqualityConstraintSettings equalityConstraintSettings, int cardinalityUpperBound)	UpperBoundHoldingsAllocationControl Constructor

Method Summary

Modifier and Type	Method	Description
int	cardinalityUpperBound()	Retrieve the Cardinality Upper Bound

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

addBound, assetBoundsMap, boundingConstraintsArray, feasibleStart, lowerBound, upperBound, weightConstrainedFeasibleStart

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

assetIDArray, customRiskUtilitySettings, equalityConstraintArray, equalityConstraintRHS, equalityConstraintSettings, fullyInvestedConstraint, returnsConstraint

Methods inherited from class java.lang.Object

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

Constructor Details

UpperBoundHoldingsAllocationControl

public UpperBoundHoldingsAllocationControl(java.lang.String[] assetIDArray,
CustomRiskUtilitySettings customRiskUtilitySettings,
EqualityConstraintSettings equalityConstraintSettings,
int cardinalityUpperBound)
                                    throws java.lang.Exception

UpperBoundHoldingsAllocationControl Constructor

Parameters:

assetIDArray - Array of Assets ID

customRiskUtilitySettings - The Quadratic Custom Risk Utility Settings

equalityConstraintSettings - The Portfolio Equality Constraint Settings

cardinalityUpperBound - The Cardinality Upper Bound

Throws:

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

Method Details

cardinalityUpperBound

public int cardinalityUpperBound()

Retrieve the Cardinality Upper Bound

Returns:

The Cardinality Upper Bound