Class UserConfidenceProjectionCalibration

java.lang.Object
org.drip.sample.idzorek.UserConfidenceProjectionCalibration

public class UserConfidenceProjectionCalibration
extends java.lang.Object
UserConfidenceProjectionCalibration calibrates the Black Litterman Projection Variance using the Implied Allocation Tilts. The References are:

  • He. G., and R. Litterman (1999): The Intuition behind the Black-Litterman Model Portfolios, Goldman Sachs Asset Management
  • Idzorek, T. (2005): A Step-by-Step Guide to the Black-Litterman Model: Incorporating User Specified Confidence Levels, Ibbotson Associates, Chicago




Author:
Lakshmi Krishnamurthy
  • Constructor Summary

    Constructors
    Constructor Description
    UserConfidenceProjectionCalibration()  
  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] astrArgs)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
  • Constructor Details

    • UserConfidenceProjectionCalibration

      public UserConfidenceProjectionCalibration()
  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation