RandomizedOptimizer

java.lang.Object

org.drip.portfolioconstruction.lean.RandomizedOptimizer

All Implemented Interfaces:: Optimizer

public class RandomizedOptimizer
extends java.lang.Object
implements Optimizer

RandomizedOptimizer generates Random Target Portfolio from the Input Holdings and its Market Value.

Module = Portfolio Core Module
Library = Asset Allocation Analytics
Project = Portfolio Construction under Allocation Constraints
Package = "Lean" Portfolio Construction Utilities Suite

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

RandomizedOptimizer(double assetSizeScaler)
RandomizedOptimizer Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`assetSizeScaler()`	Retrieve the Asset Size Scaler
`HoldingsContainer`	`optimize(HoldingsContainer startingHoldingsContainer)`	Optimize from the Starting Holdings

Methods inherited from class java.lang.Object

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

Constructor Details
- RandomizedOptimizer
  
  public RandomizedOptimizer(double assetSizeScaler) throws java.lang.Exception
  
  RandomizedOptimizer Constructor
  
  Parameters:
  
  assetSizeScaler - Asset Size Scaler
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- assetSizeScaler
  
  public double assetSizeScaler()
  
  Retrieve the Asset Size Scaler
  
  Returns:
  
  Asset Size Scaler
- optimize
  
  public HoldingsContainer optimize(HoldingsContainer startingHoldingsContainer)
  
  Optimize from the Starting Holdings
  
  Specified by:
  
  optimize in interface Optimizer
  
  Parameters:
  
  startingHoldingsContainer - Starting Holdings
  
  Returns:
  
  The Optimal Holdings