Package org.drip.portfolioconstruction.objective

Class ExpectedReturnsTerm

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ObjectiveTerm

org.drip.portfolioconstruction.objective.ReturnsTerm

org.drip.portfolioconstruction.objective.ExpectedReturnsTerm

public class ExpectedReturnsTerm
extends ReturnsTerm

ExpectedReturnsTerm holds the Details of the Portfolio Expected Returns Based Objective Terms. Expected Returns can be Absolute or in relation to a Benchmark.

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Portfolio Construction under Allocation Constraints
• Package = Portfolio Construction Objective Term Suite

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ExpectedReturnsTerm(java.lang.String name, Holdings initialHoldings, double[] alphaArray, double[] benchmarkConstrictedHoldingsArray)	ExpectedReturnsTerm Constructor

Method Summary

Modifier and Type	Method	Description
RdToR1	rdtoR1()	The Rd To R1 Formulation Term

Methods inherited from class org.drip.portfolioconstruction.objective.ReturnsTerm

alphaArray, benchmarkConstrictedHoldingsArray

Methods inherited from class org.drip.portfolioconstruction.optimizer.ObjectiveTerm

initialHoldings

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

ExpectedReturnsTerm

public ExpectedReturnsTerm(java.lang.String name,
Holdings initialHoldings,
double[] alphaArray,
double[] benchmarkConstrictedHoldingsArray)
                    throws java.lang.Exception

ExpectedReturnsTerm Constructor

Parameters:

name - Name of the Expected Returns Objective Term

initialHoldings - Initial Holdings

alphaArray - Asset Alpha Aray

benchmarkConstrictedHoldingsArray - Benchmark Constricted Holdings Array

Throws:

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

Method Details

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