Package org.drip.portfolioconstruction.lean

"Lean" Portfolio Construction Utilities Suite

Author:

Lakshmi Krishnamurthy

Interface Summary

Interface	Description
Optimizer	Optimizer exposes Functionality for optimizing the given Portfolio Module = Portfolio Core Module Library = Asset Allocation Analytics Project = Portfolio Construction under Allocation Constraints Package = "Lean" Portfolio Construction Utilities Suite

Class Summary

Class	Description
FullSequenceAllocation	FullSequenceAllocator holds the Results of Optimization from the Initial Holdings and its eventual Post-Processing.
FullSequenceAllocationDiagnostics	FullSequenceAllocationDiagnostics augments FullSequenceAllocation by holding the Results of the pre-processed Allocation.
FullSequenceAllocator	FullSequenceAllocator generates an Optimal Portfolio from the Initial Holdings and performs Post-Processing if necessary.
HoldingsContainer	HoldingsContainer implements the container that maintains the Asset Holdings Market Value and Weight.
PostProcessorSettings	PostProcessorSettings holds the Control Settings guiding the Allocation Post-process.
RandomizedOptimizer	RandomizedOptimizer generates Random Target Portfolio from the Input Holdings and its Market Value.
TradesContainer	TradesContainer implements the container that maintains the Map of Trades.