Uses of Class
org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties

Packages that use AssetUniverseStatisticalProperties

Package	Description
org.drip.portfolioconstruction.allocator	MVO Based Portfolio Allocation Construction
org.drip.portfolioconstruction.asset	Asset Characteristics, Bounds, Portfolio Benchmarks
org.drip.portfolioconstruction.cardinality	Portfolio Construction under Cardinality Bounds
org.drip.portfolioconstruction.params	Asset Universe Statistical Properties Container

Uses of AssetUniverseStatisticalProperties in org.drip.portfolioconstruction.allocator

Methods in org.drip.portfolioconstruction.allocator with parameters of type AssetUniverseStatisticalProperties

Modifier and Type	Method	Description
HoldingsAllocation	ConstrainedMeanVarianceOptimizer.allocate(HoldingsAllocationControl holdingsAllocationControl, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)
abstract HoldingsAllocation	MeanVarianceOptimizer.allocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters
HoldingsAllocation	QuadraticMeanVarianceOptimizer.allocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)
static HoldingsAllocation	HoldingsAllocation.Create(AssetComponent[] optimalAssetComponentArray, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Create an Instance of the Optimal Portfolio
MarkovitzBullet	MeanVarianceOptimizer.efficientFrontier(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties, int frontierSampleUnits)	Generate the Efficient Frontier given the Portfolio Construction Parameters
RdToR1[]	HoldingsAllocationControl.equalityConstraintArray(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Retrieve the Equality Constraint Rd To R1 Corresponding to the Specified Constraint Type
HoldingsAllocation	ConstrainedMeanVarianceOptimizer.globalMinimumVarianceAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)
abstract HoldingsAllocation	MeanVarianceOptimizer.globalMinimumVarianceAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Global Minimum Variance Portfolio without any Returns Constraints in the Parameters
HoldingsAllocation	QuadraticMeanVarianceOptimizer.globalMinimumVarianceAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)
HoldingsAllocation	ConstrainedMeanVarianceOptimizer.longOnlyMaximumReturnsAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)
abstract HoldingsAllocation	MeanVarianceOptimizer.longOnlyMaximumReturnsAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Allocate the Long-Only Maximum Returns Portfolio
HoldingsAllocation	QuadraticMeanVarianceOptimizer.longOnlyMaximumReturnsAllocate(HoldingsAllocationControl portfolioConstructionParameters, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)
RdToR1	HoldingsAllocationControl.returnsConstraint(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Retrieve the Mandatory Returns Constraint
RdToR1	CustomRiskUtilitySettings.riskObjectiveUtility(java.lang.String[] assetIDArray, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Retrieve the Custom Risk Objective Utility Multivariate

Uses of AssetUniverseStatisticalProperties in org.drip.portfolioconstruction.asset

Methods in org.drip.portfolioconstruction.asset with parameters of type AssetUniverseStatisticalProperties

Modifier and Type	Method	Description
double	Portfolio.expectedReturn(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Retrieve the Expected Returns of the Portfolio
double	Portfolio.variance(AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)	Retrieve the Variance of the Portfolio

Uses of AssetUniverseStatisticalProperties in org.drip.portfolioconstruction.cardinality

Methods in org.drip.portfolioconstruction.cardinality with parameters of type AssetUniverseStatisticalProperties

Modifier and Type	Method	Description
TadonkiVialHoldingsAllocation	TadonkiVialMeanVarianceOptimizer.allocate(HoldingsAllocationControl holdingsAllocationControl, AssetUniverseStatisticalProperties assetUniverseStatisticalProperties)

Uses of AssetUniverseStatisticalProperties in org.drip.portfolioconstruction.params

Methods in org.drip.portfolioconstruction.params that return AssetUniverseStatisticalProperties

Modifier and Type	Method	Description
static AssetUniverseStatisticalProperties	AssetUniverseStatisticalProperties.FromMultivariateMetrics(MultivariateMoments multivariateMoments)	Construct an Instance of AssetUniverseStatisticalProperties from the corresponding MultivariateMetrics Instance