Class BlackLittermanModel

java.lang.Object

org.ojalgo.data.domain.finance.portfolio.FinancePortfolio

org.ojalgo.data.domain.finance.portfolio.EquilibriumModel

org.ojalgo.data.domain.finance.portfolio.BlackLittermanModel

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

public final class BlackLittermanModel
extends EquilibriumModel

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
private static final class	BlackLittermanModel.View	View/Forecast/Opinion

Nested classes/interfaces inherited from class FinancePortfolio

FinancePortfolio.Context

Field Summary

Fields

Modifier and Type	Field	Description
private BigDecimal	myConfidence
private final MatrixR064	myOriginalWeights
private final List<FinancePortfolio>	myViews

Fields inherited from class FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

Modifier	Constructor	Description
	BlackLittermanModel(FinancePortfolio.Context context, FinancePortfolio originalWeights)
private	BlackLittermanModel(MarketEquilibrium aMarketEquilibrium)
	BlackLittermanModel(MarketEquilibrium marketEquilibrium, MatrixR064 originalWeights)

Method Summary

Modifier and Type	Method	Description
void	addView(FinancePortfolio aView)
void	addViewWithBalancedConfidence(List<BigDecimal> someWeights, Comparable<?> aReturn)
void	addViewWithScaledConfidence(List<BigDecimal> someWeights, Comparable<?> aReturn, Comparable<?> aScale)
void	addViewWithStandardDeviation(List<BigDecimal> weights, BigDecimal expected, BigDecimal stdDev)
protected MatrixR064	calculateAssetReturns()
protected MatrixR064	calculateAssetWeights()
(package private) BigDecimal	calculateVariance(MatrixR064 weights)
Scalar<?>	getConfidence()	"weight on views" or "tau" A parameter that describes the general confidence in the views.
protected MatrixR064	getOriginalReturns()
protected MatrixR064	getOriginalWeights()
protected MatrixR064	getViewPortfolios()
protected MatrixR064	getViewReturns()	Scaled by risk aversion factor.
protected List<FinancePortfolio>	getViews()
protected MatrixR064	getViewVariances()	Scaled by tau / weight on views
void	setConfidence(Comparable<?> aWeight)

Methods inherited from class EquilibriumModel

calculateAssetReturns, calculateAssetWeights, calculatePortfolioReturn, calculatePortfolioReturn, calculatePortfolioVariance, calculatePortfolioVariance, calibrate, getAssetReturns, getAssetVolatilities, getAssetWeights, getCorrelations, getCovariances, getMarketEquilibrium, getMeanReturn, getReturnVariance, getRiskAversion, getSymbols, getWeights, isDefaultRiskAversion, reset, setRiskAversion, size, toSimpleAssets, toSimplePortfolio, toString

Methods inherited from class FinancePortfolio

compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Field Details

myConfidence

private BigDecimal myConfidence

myOriginalWeights

private final MatrixR064 myOriginalWeights

myViews

private final List<FinancePortfolio> myViews

Constructor Details

BlackLittermanModel

public BlackLittermanModel(FinancePortfolio.Context context,
 FinancePortfolio originalWeights)

BlackLittermanModel

public BlackLittermanModel(MarketEquilibrium marketEquilibrium,
 MatrixR064 originalWeights)

Parameters:

marketEquilibrium - The covariance matrix, and market risk aversion

originalWeights - The market portfolio

BlackLittermanModel

private BlackLittermanModel(MarketEquilibrium aMarketEquilibrium)

Method Details

addView

public void addView(FinancePortfolio aView)

addViewWithBalancedConfidence

public void addViewWithBalancedConfidence(List<BigDecimal> someWeights,
 Comparable<?> aReturn)

addViewWithScaledConfidence

public void addViewWithScaledConfidence(List<BigDecimal> someWeights,
 Comparable<?> aReturn,
 Comparable<?> aScale)

addViewWithStandardDeviation

public void addViewWithStandardDeviation(List<BigDecimal> weights,
 BigDecimal expected,
 BigDecimal stdDev)

getConfidence

public Scalar<?> getConfidence()

"weight on views" or "tau" A parameter that describes the general confidence in the views. Typically set to sometghing between 0.0 and 1.0. 0.0 = "No confidence!" Why bother... 1.0 = As confident as the market. This is highly unlikely.

setConfidence

public void setConfidence(Comparable<?> aWeight)

See Also:

• getConfidence()

calculateAssetReturns

protected MatrixR064 calculateAssetReturns()

Specified by:

calculateAssetReturns in class EquilibriumModel

calculateAssetWeights

protected MatrixR064 calculateAssetWeights()

Specified by:

calculateAssetWeights in class EquilibriumModel

getOriginalReturns

protected MatrixR064 getOriginalReturns()

getOriginalWeights

protected MatrixR064 getOriginalWeights()

See Also:

• getOriginalWeights()
• EquilibriumModel.getAssetWeights()

getViewPortfolios

protected MatrixR064 getViewPortfolios()

getViewReturns

protected MatrixR064 getViewReturns()

Scaled by risk aversion factor.

getViews

protected List<FinancePortfolio> getViews()

getViewVariances

protected MatrixR064 getViewVariances()

Scaled by tau / weight on views

calculateVariance

BigDecimal calculateVariance(MatrixR064 weights)