Package org.drip.portfolioconstruction.objective

Class GoldmanSachsShortfallTerm

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ObjectiveTerm

org.drip.portfolioconstruction.objective.TransactionChargeTerm

org.drip.portfolioconstruction.objective.GoldmanSachsShortfallTerm

public class GoldmanSachsShortfallTerm
extends TransactionChargeTerm

GoldmanSachsShortfallTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio using the Goldman Sachs Shortfall Model from the Starting Allocation.

• 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
GoldmanSachsShortfallTerm(java.lang.String name, double[] initialHoldingsArray, TransactionChargeGoldmanSachsShortfall[] goldmanSachsShortfallTransactionChargeArray)	GoldmanSachsShortfallTerm Constructor

Method Summary

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

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

transactionChargeArray

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

initialHoldingsArray

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

category

Methods inherited from class org.drip.portfolioconstruction.core.Block

description, hashCode, id, name, Standard, timeStamp

Methods inherited from class java.lang.Object

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

Constructor Details

GoldmanSachsShortfallTerm

public GoldmanSachsShortfallTerm(java.lang.String name,
double[] initialHoldingsArray,
TransactionChargeGoldmanSachsShortfall[] goldmanSachsShortfallTransactionChargeArray)
                          throws java.lang.Exception

GoldmanSachsShortfallTerm Constructor

Parameters:

name - Name of the Objective Term

initialHoldingsArray - Initial Holdings

goldmanSachsShortfallTransactionChargeArray - Array of Asset Goldman Sachs Transaction Charge Instances

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

Overrides:

rdtoR1 in class TransactionChargeTerm

Returns:

The R^d To R¹ Formulation Term