VarianceTerm

java.lang.Object

org.drip.portfolioconstruction.core.Block

org.drip.portfolioconstruction.optimizer.FormulationTerm

org.drip.portfolioconstruction.optimizer.ObjectiveTerm

org.drip.portfolioconstruction.objective.RiskTerm

org.drip.portfolioconstruction.objective.VarianceTerm

public class VarianceTerm
extends RiskTerm

VarianceTerm holds the Details of the Portfolio Risk (Variance) Objective Term. Variance 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
`VarianceTerm(java.lang.String name, double[] initialHoldingsArray, double[][] assetCovarianceMatrix, double[] benchmarkConstrictedHoldingsArray)`	VarianceTerm Constructor

Method Summary

Modifier and Type Method Description

RdToR1 rdtoR1()
The R^d To R¹ Formulation Term

Methods inherited from class org.drip.portfolioconstruction.objective.RiskTerm
assetCovariance, benchmarkConstrictedHoldings

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
- VarianceTerm
  
  public VarianceTerm(java.lang.String name, double[] initialHoldingsArray, double[][] assetCovarianceMatrix, double[] benchmarkConstrictedHoldingsArray) throws java.lang.Exception
  
  VarianceTerm Constructor
  
  Parameters:
  
  name - Name of the Objective Function
  
  initialHoldingsArray - The Initial Holdings
  
  assetCovarianceMatrix - The Asset Covariance
  
  benchmarkConstrictedHoldingsArray - The Constricted Benchmark Holdings
  
  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