Package org.drip.portfolioconstruction.mpt

Security Characteristic Capital Allocation Lines
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AssetSecurityCharacteristicLine
    AssetSecurityCharacteristicLine holds the Asset Alpha and Beta from which the Asset's Excess Returns over the Risk-Free Rate are estimated.
    CapitalAllocationLine
    CapitalAllocationLine implements the Efficient Half-line created from the Combination of the Risk Free Asset and the Tangency Point of the CAPM Market Portfolio.
    MarkovitzBullet
    MarkovitzBullet holds the Portfolio Performance Metrics across a Variety of Return Constraints.