Package org.drip.sample.assetallocation

MVO Based Constrained Optimal Allocator

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
BudgetConstrainedVarianceMinimizer	BudgetConstrainedVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimizing Allocator with Budget/Weight Constraints.
DualConstrainedVariateConvergence	DualConstrainedVariateConvergence demonstrates the Sequential Convergence of the Constrained Optimal Rd Space.
ReturnsConstrainedVarianceMinimizer	ReturnsConstrainedVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimizing Allocator with Weight Normalization Constraints and Design Returns Constraints.
RiskTolerantVarianceMinimizer	RiskTolerantVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimization with a Fully Invested Constraint on a Risk Tolerance Objective Function.
VanillaVarianceMinimizer	VanillaVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance Minimizing Allocator with only the Fully Invested Constraint.