Package org.drip.portfolioconstruction.mpt

Class CapitalAllocationLine

java.lang.Object
org.drip.portfolioconstruction.mpt.CapitalAllocationLine
public class CapitalAllocationLine
extends java.lang.Object
CapitalAllocationLine implements the Efficient Half-line created from the Combination of the Risk Free Asset and the Tangency Point of the CAPM Market Portfolio.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CapitalAllocationLine​(double riskFreeRate, PortfolioMetrics tangencyPortfolioMetrics)
    CapitalAllocationLine Constructor

  • Method Summary

    Modifier and Type Method Description
    double combinationPortfolioExpectedReturn​(double combinationPortfolioStandardDeviation)
    Calculate the Combination Portfolio's Expected Returns from the corresponding Standard Deviation
    double combinationPortfolioStandardDeviation​(double combinationPortfolioExpectedReturn)
    Compute the Combination Portfolio's Standard Deviation
    double riskFreeRate()
    Retrieve the Risk-Free Rate
    PortfolioMetrics tangencyPortfolioMetrics()
    Retrieve the Tangency Portfolio Metrics

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CapitalAllocationLine

      public CapitalAllocationLine​(double riskFreeRate, PortfolioMetrics tangencyPortfolioMetrics) throws java.lang.Exception
      CapitalAllocationLine Constructor
      Parameters:
      riskFreeRate - The Risk Free Rate
      tangencyPortfolioMetrics - The Tangency Portfolio Metrics
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • riskFreeRate

      public double riskFreeRate()
      Retrieve the Risk-Free Rate
      Returns:
      The Risk-Free Rate

    • tangencyPortfolioMetrics

      public PortfolioMetrics tangencyPortfolioMetrics()
      Retrieve the Tangency Portfolio Metrics
      Returns:
      The Tangency Portfolio Metrics

    • combinationPortfolioExpectedReturn

      public double combinationPortfolioExpectedReturn​(double combinationPortfolioStandardDeviation) throws java.lang.Exception
      Calculate the Combination Portfolio's Expected Returns from the corresponding Standard Deviation
      Parameters:
      combinationPortfolioStandardDeviation - The Combination Portfolio's Standard Deviation
      Returns:
      The Combination Portfolio's Expected Returns
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • combinationPortfolioStandardDeviation

      public double combinationPortfolioStandardDeviation​(double combinationPortfolioExpectedReturn) throws java.lang.Exception
      Compute the Combination Portfolio's Standard Deviation
      Parameters:
      combinationPortfolioExpectedReturn - The Expected Returns of the Combination Portfolio
      Returns:
      The Combination Portfolio's Standard Deviation
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid