Package org.drip.portfolioconstruction.objective

Class 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, Holdings initialHoldings, double[][] assetCovarianceMatrix, double[] benchmarkConstrictedHoldingsArray)	VarianceTerm Constructor

Method Summary

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

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

assetCovariance, benchmarkConstrictedHoldings

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

initialHoldings

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

objectiveCategory

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

VarianceTerm

public VarianceTerm(java.lang.String name,
Holdings initialHoldings,
double[][] assetCovarianceMatrix,
double[] benchmarkConstrictedHoldingsArray)
             throws java.lang.Exception

VarianceTerm Constructor

Parameters:

name - Name of the Objective Function

initialHoldings - 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