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

Module = Portfolio Core Module
Library = Asset Allocation Analytics
Project = DROP API Construction and Usage
Package = Idzorek (2005) User Confidence Tilt

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