EfficientFrontier

java.lang.Object
- org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
- - org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
  - - org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
    - - org.ojalgo.data.domain.finance.portfolio.EfficientFrontier

All Implemented Interfaces:

java.lang.Comparable<FinancePortfolio>, FinancePortfolio.Context
```
public final class EfficientFrontier
extends OptimisedPortfolio
```
Represents a portfolio on the efficient fronter. You get different efficient portfolios by altering the risk aversion.

Nested Class Summary
- Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
  OptimisedPortfolio.Optimiser, OptimisedPortfolio.Template
- Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
  FinancePortfolio.Context

Field Summary

Fields
Modifier and Type Field Description

private static java.util.Map<int[],LowerUpper> CONSTRAINTS

private ExpressionsBasedModel myOptimisationModel
- Fields inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
  BALANCE, VARIANCE
- Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
  MATRIX_FACTORY

Constructor Summary

Constructors
Constructor	Description
`EfficientFrontier(FinancePortfolio.Context portfolioContext)`
`EfficientFrontier(MarketEquilibrium marketEquilibrium, MatrixR064 expectedExcessReturns)`
`EfficientFrontier(MatrixR064 covarianceMatrix, MatrixR064 expectedExcessReturns)`

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type Method Description

protected MatrixR064 calculateAssetWeights()

protected void reset()
- Methods inherited from class org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio
  calculateAssetReturns, getOptimisationOptions, getVariable, handle, isShortingAllowed, makeModel, optimiser, setShortingAllowed
- Methods inherited from class org.ojalgo.data.domain.finance.portfolio.EquilibriumModel
  calculateAssetReturns, calculateAssetWeights, calculatePortfolioReturn, calculatePortfolioReturn, calculatePortfolioVariance, calculatePortfolioVariance, calibrate, getAssetReturns, getAssetVolatilities, getAssetWeights, getCorrelations, getCovariances, getMarketEquilibrium, getMeanReturn, getReturnVariance, getRiskAversion, getSymbols, getWeights, isDefaultRiskAversion, setRiskAversion, size, toSimpleAssets, toSimplePortfolio, toString
- Methods inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio
  compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise
- Methods inherited from class java.lang.Object
  clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Field Detail

CONSTRAINTS

private static final java.util.Map<int[],LowerUpper> CONSTRAINTS

myOptimisationModel

private final ExpressionsBasedModel myOptimisationModel

Constructor Detail

EfficientFrontier

public EfficientFrontier(FinancePortfolio.Context portfolioContext)

EfficientFrontier

public EfficientFrontier(MarketEquilibrium marketEquilibrium,
                         MatrixR064 expectedExcessReturns)

EfficientFrontier

public EfficientFrontier(MatrixR064 covarianceMatrix,
                         MatrixR064 expectedExcessReturns)

Method Detail
- calculateAssetWeights
```
protected MatrixR064 calculateAssetWeights()
```
  Specified by:
  
  calculateAssetWeights in class EquilibriumModel
- reset
```
protected void reset()
```
  Overrides:
  
  reset in class OptimisedPortfolio