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: Any): Boolean

    Definition Classes
    AnyRef → Any

  2. final def ##(): Int

    Definition Classes
    AnyRef → Any

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

    Definition Classes
    AnyRef → Any

  4. final def asInstanceOf[T0]: T0

    Definition Classes
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  5. def calcStats(): Unit

    Calculate basis statistics (mean and covariance).

  6. def clone(): AnyRef

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

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

    Definition Classes
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  8. def equals(arg0: Any): Boolean

    Definition Classes
    AnyRef → Any

  9. def finalize(): Unit

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

  10. 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

  11. final def getClass(): Class[_]

    Definition Classes
    AnyRef → Any

  12. def hashCode(): Int

    Definition Classes
    AnyRef → Any

  13. final def isInstanceOf[T0]: Boolean

    Definition Classes
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  14. final def ne(arg0: AnyRef): Boolean

    Definition Classes
    AnyRef

  15. final def notify(): Unit

    Definition Classes
    AnyRef

  16. final def notifyAll(): Unit

    Definition Classes
    AnyRef

  17. 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.

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

    Definition Classes
    AnyRef

  19. def toString(): String

    Definition Classes
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  20. final def wait(): Unit

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    @throws( ... )

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

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    @throws( ... )

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

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Inherited from Error

Inherited from AnyRef

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