Package org.drip.portfolioconstruction.constraint

Class LimitRiskTerm

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ConstraintTerm

org.drip.portfolioconstruction.constraint.LimitRiskTerm

Direct Known Subclasses:

LimitRiskTermMarginal, LimitRiskTermVariance

public abstract class LimitRiskTerm
extends ConstraintTerm

LimitRiskTerm holds the Details of a Limit Risk Constraint Term.

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Portfolio Construction under Allocation Constraints
• Package = Portfolio Construction Constraint Term Suite

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
double[][]	assetCovarianceMatrix()	Retrieve the Asset Co-variance Matrix

Methods inherited from class org.drip.portfolioconstruction.optimizer.ConstraintTerm

isEquality, maximum, minimum, scope, setSoftConstraint, softContraint, unit

Methods inherited from class org.drip.portfolioconstruction.optimizer.FormulationTerm

category, rdtoR1

Methods inherited from class org.drip.portfolioconstruction.core.Block

description, hashCode, id, name, Standard, timeStamp

Methods inherited from class java.lang.Object

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

Method Details

assetCovarianceMatrix

public double[][] assetCovarianceMatrix()

Retrieve the Asset Co-variance Matrix

Returns:

The Asset Co-variance Matrix