Package org.drip.portfolioconstruction.objective

Class RiskTerm

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ObjectiveTerm

org.drip.portfolioconstruction.objective.RiskTerm

Direct Known Subclasses:

StandardDeviationTerm, VarianceTerm

public abstract class RiskTerm
extends ObjectiveTerm

RiskTerm holds the Details of the Portfolio Risk Objective Term. Risk can be Absolute or in relation to a Benchmark, and can be measured as Variance or Standard Deviation.

• 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[][]	assetCovariance()	Retrieve the Asset Co-variance Matrix
double[]	benchmarkConstrictedHoldings()	Retrieve the Benchmark Constricted Holdings

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

initialHoldings

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

objectiveCategory, rdtoR1

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

Method Details

assetCovariance

public double[][] assetCovariance()

Retrieve the Asset Co-variance Matrix

Returns:

The Asset Co-variance Matrix

benchmarkConstrictedHoldings

public double[] benchmarkConstrictedHoldings()

Retrieve the Benchmark Constricted Holdings

Returns:

The Benchmark Constricted Holdings