Package org.drip.portfolioconstruction.objective

Class RobustErrorTerm

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.RobustErrorTerm

public abstract class RobustErrorTerm
extends ReturnsTerm

RobustErrorTerm optimizes the Error in the Target Expected Absolute Return of the Portfolio on the Absence of Benchmark, and the Error in the Benchmark-Adjusted Returns Otherwise.

• 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
RobustErrorTerm(java.lang.String name, Holdings initialHoldings, double[] alphaArray, double[][] alphaUncertaintyMatrix, double[][] assetCovarianceMatrix, double[] benchmarkConstrictedHoldingsArray, double confidenceLevel)	RobustErrorTerm Constructor

Method Summary

Modifier and Type	Method	Description
double[][]	alphaUncertainty()	Retrieve the Alpha Uncertainty Matrix
double[][]	assetCovariance()	Retrieve the Asset Co-variance Matrix
double	confidenceLevel()	Retrieve the Confidence Level (i.e., Eta)

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, 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

Constructor Details

RobustErrorTerm

public RobustErrorTerm(java.lang.String name,
Holdings initialHoldings,
double[] alphaArray,
double[][] alphaUncertaintyMatrix,
double[][] assetCovarianceMatrix,
double[] benchmarkConstrictedHoldingsArray,
double confidenceLevel)
                throws java.lang.Exception

RobustErrorTerm Constructor

Parameters:

name - Name of the Expected Returns Objective Term

initialHoldings - Initial Holdings

alphaArray - Asset Alpha Array

alphaUncertaintyMatrix - Alpha Uncertainty Matrix

assetCovarianceMatrix - Asset Co-variance Matrix

benchmarkConstrictedHoldingsArray - Benchmark Constricted Holdings Array

confidenceLevel - Confidence Level (i.e., Eta)

Throws:

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

Method Details

confidenceLevel

public double confidenceLevel()

Retrieve the Confidence Level (i.e., Eta)

Returns:

The Confidence Level (i.e., Eta)

assetCovariance

public double[][] assetCovariance()

Retrieve the Asset Co-variance Matrix

Returns:

The Asset Co-variance Matrix

alphaUncertainty

public double[][] alphaUncertainty()

Retrieve the Alpha Uncertainty Matrix

Returns:

The Alpha Uncertainty Matrix