Class OptimisedPortfolio

java.lang.Object

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

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

org.ojalgo.data.domain.finance.portfolio.OptimisedPortfolio

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

Direct Known Subclasses:

EfficientFrontier, MarkowitzModel

abstract class OptimisedPortfolio
extends EquilibriumModel

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
final class	OptimisedPortfolio.Optimiser
(package private) static final class	OptimisedPortfolio.Template

Nested classes/interfaces inherited from class FinancePortfolio

FinancePortfolio.Context

Field Summary

Fields

Modifier and Type	Field	Description
(package private) static final String	BALANCE
private final MatrixR064	myExpectedExcessReturns
private final Optimisation.Options	myOptimisationOptions
private Optimisation.State	myOptimisationState
private boolean	myShortingAllowed
private final OptimisedPortfolio.Template[]	myTemplates
(package private) static final String	VARIANCE

Fields inherited from class FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
protected final MatrixR064	calculateAssetReturns()
(package private) final Optimisation.Options	getOptimisationOptions()
(package private) OptimisedPortfolio.Template	getVariable(int index)
protected final MatrixR064	handle(Optimisation.Result optimisationResult)
final boolean	isShortingAllowed()
(package private) final ExpressionsBasedModel	makeModel(Map<int[], LowerUpper> constraints)
OptimisedPortfolio.Optimiser	optimiser()
protected void	reset()
final void	setShortingAllowed(boolean allowed)

Methods inherited from class EquilibriumModel

calculateAssetReturns, calculateAssetWeights, 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

BALANCE

static final String BALANCE

See Also:

• Constant Field Values

VARIANCE

static final String VARIANCE

See Also:

• Constant Field Values

myExpectedExcessReturns

private final MatrixR064 myExpectedExcessReturns

myOptimisationOptions

private final Optimisation.Options myOptimisationOptions

myOptimisationState

private transient Optimisation.State myOptimisationState

myShortingAllowed

private boolean myShortingAllowed

myTemplates

private final OptimisedPortfolio.Template[] myTemplates

Constructor Details

OptimisedPortfolio

OptimisedPortfolio(FinancePortfolio.Context portfolioContext)

OptimisedPortfolio

OptimisedPortfolio(MarketEquilibrium marketEquilibrium,
 MatrixR064 expectedExcessReturns)

OptimisedPortfolio

OptimisedPortfolio(MatrixR064 covarianceMatrix,
 MatrixR064 expectedExcessReturns)

Method Details

isShortingAllowed

public final boolean isShortingAllowed()

optimiser

public OptimisedPortfolio.Optimiser optimiser()

setShortingAllowed

public final void setShortingAllowed(boolean allowed)

calculateAssetReturns

protected final MatrixR064 calculateAssetReturns()

Specified by:

calculateAssetReturns in class EquilibriumModel

handle

protected final MatrixR064 handle(Optimisation.Result optimisationResult)

reset

protected void reset()

Overrides:

reset in class EquilibriumModel

getOptimisationOptions

final Optimisation.Options getOptimisationOptions()

getVariable

OptimisedPortfolio.Template getVariable(int index)

makeModel

final ExpressionsBasedModel makeModel(Map<int[], LowerUpper> constraints)