apps.optimization

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

    Definition Classes
    AnyRef

  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[java.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

    Attributes
    protected[java.lang]
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    @throws( classOf[java.lang.Throwable] )

  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(): Class[_]

    Definition Classes
    AnyRef → Any

  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

    Definition Classes
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  17. final def notify(): Unit

    Definition Classes
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  18. final def notifyAll(): Unit

    Definition Classes
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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

    Definition Classes
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  21. def toString(): String

    Definition Classes
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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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    @throws( ... )

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

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Inherited from Error

Inherited from AnyRef

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