Package org.drip.portfolioconstruction.cardinality

Portfolio Construction under Cardinality Bounds
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    TadonkiVialHoldingsAllocation
    TadonkiVialHoldingsAllocation holds the Results of the Allocation performed using the Tadonki and Vial (2004) Heuristic Scheme.
    TadonkiVialMeanVarianceOptimizer
    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.
    UpperBoundHoldingsAllocationControl
    UpperBoundHoldingsAllocationControl holds the Parameters needed to build the Portfolio with Bounds on the Underlying Assets as well as Portfolio Level Holdings Cardinality Constraint.