Package org.drip.portfolioconstruction.risk

Portfolio Construction Risk/Covariance Component
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    AssetCovariance
    AssetCovariance contains the Abstract Joint Co-variance (Dense/Factor) for the Pair of the Set of Assets.
  • Class Summary
    Class Description
    AlphaUncertaintyGroup
    AlphaUncertaintyGroup contains the Group of Alpha Uncertainties for the specified Group of Assets.
    AssetCovarianceDense
    AssetCovarianceDense contains the Joint Dense Covariance for the Pair of the Set of Assets.
    AssetCovarianceFactor
    AssetCovarianceFactor contains the Joint Factor Covariance for the Pair of the Set of Assets.
    AttributeJointDense
    AttributeJointDense contains the Joint Dense Attributes for the Pair of the Set of Assets.
    AttributeJointFactor
    AttributeJointFactor contains the Factor Based Loadings that determines the Joint Attributes between the Pair of Assets.