Package org.drip.portfolioconstruction.constraint

Class LimitRiskTermVariance

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.LimitRiskTermVariance

public class LimitRiskTermVariance
extends LimitRiskTerm

LimitRiskTermVariance holds the Details of a Variance 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
LimitRiskTermVariance(java.lang.String name, Scope scope, Unit unit, double minimum, double maximum, double[][] assetCovarianceMatrix, double[] benchmarkHoldingsArray)	LimitRiskTermVariance Constructor

Method Summary

Modifier and Type	Method	Description
double[]	benchmarkHoldingsArray()	Retrieve the Constricted Benchmark Holdings
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

objectiveCategory

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

category, description, hashCode, id, name, Standard, timeStamp

Methods inherited from class java.lang.Object

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

Constructor Details

LimitRiskTermVariance

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

LimitRiskTermVariance Constructor

Parameters:

name - Name of the LimitRiskTermVariance Constraint

scope - Scope of the LimitRiskTermVariance Constraint

unit - Unit of the LimitRiskTermVariance Constraint

minimum - Minimum Limit Value of the LimitRiskTermVariance Constraint

maximum - Maximum Limit Value of the LimitRiskTermVariance Constraint

assetCovarianceMatrix - Asset Co-variance Matrix

benchmarkHoldingsArray - Array of the Benchmark Holdings Array

Throws:

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

Method Details

benchmarkHoldingsArray

public double[] benchmarkHoldingsArray()

Retrieve the Constricted Benchmark Holdings

Returns:

The Constricted Benchmark Holdings

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