Class 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:

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 OptimisedPortfolio

OptimisedPortfolio.Optimiser, OptimisedPortfolio.Template

Nested classes/interfaces inherited from class FinancePortfolio

FinancePortfolio.Context

Field Summary

Fields

Modifier and Type	Field	Description
private static final Map<int[], LowerUpper>	CONSTRAINTS
private final ExpressionsBasedModel	myOptimisationModel

Fields inherited from class OptimisedPortfolio

BALANCE, VARIANCE

Fields inherited from class FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
protected MatrixR064	calculateAssetWeights()
protected void	reset()

Methods inherited from class OptimisedPortfolio

calculateAssetReturns, getOptimisationOptions, getVariable, handle, isShortingAllowed, makeModel, optimiser, setShortingAllowed

Methods inherited from class 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 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

CONSTRAINTS

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

myOptimisationModel

private final ExpressionsBasedModel myOptimisationModel

Constructor Details

EfficientFrontier

public EfficientFrontier(FinancePortfolio.Context portfolioContext)

EfficientFrontier

public EfficientFrontier(MarketEquilibrium marketEquilibrium,
 MatrixR064 expectedExcessReturns)

EfficientFrontier

public EfficientFrontier(MatrixR064 covarianceMatrix,
 MatrixR064 expectedExcessReturns)

Method Details

calculateAssetWeights

protected MatrixR064 calculateAssetWeights()

Specified by:

calculateAssetWeights in class EquilibriumModel

reset

protected void reset()

Overrides:

reset in class OptimisedPortfolio