ReturnsTerm

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ObjectiveTerm

org.drip.portfolioconstruction.objective.ReturnsTerm

Direct Known Subclasses:: ExpectedReturnsTerm, RobustErrorTerm

public abstract class ReturnsTerm
extends ObjectiveTerm

ReturnsTerm holds the Details of the Portfolio Returns Based Objective Terms. 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

Method Summary

Modifier and Type Method Description

double[] alphaArray()
Retrieve the Array of Alphas

double[] benchmarkConstrictedHoldingsArray()
Retrieve the Benchmark Constricted Holdings Array

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

Methods inherited from class org.drip.portfolioconstruction.optimizer.FormulationTerm
category, rdtoR1

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

Method Details
- alphaArray
  
  public double[] alphaArray()
  
  Retrieve the Array of Alphas
  
  Returns:
  
  The Array of Alphas
- benchmarkConstrictedHoldingsArray
  
  public double[] benchmarkConstrictedHoldingsArray()
  
  Retrieve the Benchmark Constricted Holdings Array
  
  Returns:
  
  The Benchmark Constricted Holdings Array