Package org.drip.portfolioconstruction.constraint

Class LimitRiskTermMarginal

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ConstraintTerm

org.drip.portfolioconstruction.constraint.LimitRiskTerm

org.drip.portfolioconstruction.constraint.LimitRiskTermMarginal

public class LimitRiskTermMarginal
extends LimitRiskTerm

LimitRiskTermMarginal holds the Details of a Relative Marginal Contribution Based 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

Constructor Summary

Constructors

Constructor	Description
LimitRiskTermMarginal(java.lang.String name, Scope scope, Unit unit, double minimum, double maximum, double[][] assetCovarianceMatrix, double[] initialHoldingsArray)	LimitRiskTermMarginal Constructor

Method Summary

Modifier and Type	Method	Description
double[]	initialHoldingsArray()	Retrieve the Initial Holdings Array
RdToR1	rdtoR1()	The Rd To R1 Formulation Term

Methods inherited from class org.drip.portfolioconstruction.constraint.LimitRiskTerm

assetCovarianceMatrix

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

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

Constructor Details

LimitRiskTermMarginal

public LimitRiskTermMarginal(java.lang.String name,
Scope scope,
Unit unit,
double minimum,
double maximum,
double[][] assetCovarianceMatrix,
double[] initialHoldingsArray)
                      throws java.lang.Exception

LimitRiskTermMarginal Constructor

Parameters:

name - Name of the LimitRiskTermMarginal Constraint

scope - Scope of the LimitRiskTermMarginal Constraint

unit - Unit of the LimitRiskTermMarginal Constraint

minimum - Minimum Limit Value of the LimitRiskTermMarginal Constraint

maximum - Maximum Limit Value of the LimitRiskTermMarginal Constraint

assetCovarianceMatrix - Asset Co-variance

initialHoldingsArray - Array of the Initial Holdings

Throws:

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

Method Details

initialHoldingsArray

public double[] initialHoldingsArray()

Retrieve the Initial Holdings Array

Returns:

The Initial Holdings Array

rdtoR1

public RdToR1 rdtoR1()

Description copied from class: FormulationTerm

The R^d To R¹ Formulation Term

Specified by:

rdtoR1 in class FormulationTerm

Returns:

The R^d To R¹ Formulation Term