scalation.analytics

PortfolioOpt

class PortfolioOpt extends Error

This class is used to solve Portfilio Optimization Problems.

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Instance Constructors

  1. new PortfolioOpt(r: MatrixD, label: Array[String])

    r

    the return matrix as in revenue/profit

    label

    the label vector

Value Members

  1. final def !=(arg0: AnyRef): Boolean

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  2. final def !=(arg0: Any): Boolean

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  3. final def ##(): Int

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  4. final def ==(arg0: AnyRef): Boolean

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  5. final def ==(arg0: Any): Boolean

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  6. final def asInstanceOf[T0]: T0

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  7. def calcStats(): Unit

    Calculate basis statistics (mean and covariance).

  8. def clone(): AnyRef

    Attributes
    protected[lang]
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    @throws()

  9. final def eq(arg0: AnyRef): Boolean

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  10. def equals(arg0: Any): Boolean

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  11. def finalize(): Unit

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    protected[lang]
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  12. def flaw(method: String, message: String): Unit

    Show the flaw by printing the error message.

    Show the flaw by printing the error message.

    method

    the method where the error occurred

    message

    the error message

    Definition Classes
    Error

  13. final def getClass(): java.lang.Class[_]

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  14. def hashCode(): Int

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  15. final def isInstanceOf[T0]: Boolean

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  16. final def ne(arg0: AnyRef): Boolean

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  17. final def notify(): Unit

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  18. final def notifyAll(): Unit

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  19. def opt(): (VectorD, Double)

    Find an optimal solution to the portfolio optimization problem, i.

    Find an optimal solution to the portfolio optimization problem, i.e., find a vector x, indicating to fraction of each instrument to invest in that that minimizes the risk.

  20. final def synchronized[T0](arg0: ⇒ T0): T0

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  21. def toString(): String

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  22. final def wait(): Unit

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    @throws()

  23. final def wait(arg0: Long, arg1: Int): Unit

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  24. final def wait(arg0: Long): Unit

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Inherited from Error

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