Package org.drip.portfolioconstruction.objective

Portfolio Construction Objective Term Suite

Author:

Lakshmi Krishnamurthy

Interface Summary

Interface	Description
TaxationScheme	TaxationScheme exposes Taxation related Functionality.

Class Summary

Class	Description
CustomNetTaxGainsTerm	CustomNetTaxGainsTerm holds the Details of the Portfolio Custom Net Tax Gain Objective Term.
CustomTransactionChargeTerm	CustomTransactionChargeTerm implements the Objective Term that models the Custom Transaction Charge associated with a Portfolio Transaction.
ExpectedReturnsTerm	ExpectedReturnsTerm holds the Details of the Portfolio Expected Returns Based Objective Terms.
FixedChargeBuyTerm	FixedChargeBuyTerm implements the Objective Term that optimizes the Charges incurred by the Buy Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
FixedChargeSellTerm	FixedChargeSellTerm implements the Objective Term that optimizes the Charge incurred by the Sell Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
FixedChargeTerm	FixedChargeTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio under a Fixed Charge from the Starting Allocation.
GoldmanSachsShortfallTerm	GoldmanSachsShortfallTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio using the Goldman Sachs Shortfall Model from the Starting Allocation.
LinearChargeBuyTerm	LinearChargeBuyTerm implements the Objective Term that optimizes the Charge incurred by the Buy Trades in the Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
LinearChargeSellTerm	LinearChargeSellTerm implements the Objective Term that optimizes the Charge incurred by the Sell Trades in the Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
LinearChargeTerm	LinearChargeTerm implements the Objective Term that optimizes the Charge of the Buy/Sell Trades in the Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
LongTiltTerm	LongTiltTerm holds the Details of Long Tilt Unit Objective Term.
MarketImpactChargeTerm	MarketImpactChargeTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in the Target Portfolio under a specified Market Impact Charge from the Starting Allocation.
NetTaxGainsTerm	NetTaxGainsTerm holds the Details of the Portfolio Net Tax Gain Objective Term.
NetTiltTerm	NetTiltTerm holds the Details of Net Tilt Unit Objective Term.
ReturnsTerm	ReturnsTerm holds the Details of the Portfolio Returns Based Objective Terms.
RiskTerm	RiskTerm holds the Details of the Portfolio Risk Objective Term.
RobustErrorTerm	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.
ShortSellChargeTerm	ShortSellChargeTerm implements the Objective Term that optimizes the Charge incurred by Short Sell Trades in the Target Portfolio from the Starting Allocation.
ShortTiltTerm	ShortTiltTerm holds the Details of Short Tilt Unit Objective Term.
StandardDeviationTerm	StandardDeviationTerm holds the Details of the Portfolio Risk (Standard Deviation) Objective Term.
TaxLiabilityTerm	TaxLiabilityTerm holds the Details of the Portfolio Net Tax Liability Objective Term.
TaxTerm	TaxTerm holds the Details of Abstract Tax Unit Objective Term.
TiltTerm	TiltTerm holds the Details of Abstract Tilt Unit Objective Term.
TransactionChargeTerm	TransactionChargeTerm implements the Objective Term that models the Charge associated with a Portfolio Transaction.
VarianceTerm	VarianceTerm holds the Details of the Portfolio Risk (Variance) Objective Term.