Packages

c

apps.optimization

PortfolioOpt

class PortfolioOpt extends Error

The PortfolioOpt class is used to solve Portfolio Optimization Problems.

Linear Supertypes
Error, AnyRef, Any
Ordering
  1. Alphabetic
  2. By Inheritance
Inherited
  1. PortfolioOpt
  2. Error
  3. AnyRef
  4. Any
  1. Hide All
  2. Show All
Visibility
  1. Public
  2. All

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
    Any
  5. def calcStats(): Unit

    Calculate basis statistics (mean and covariance).

  6. def clone(): AnyRef
    Attributes
    protected[java.lang]
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )
  7. final def eq(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  8. def equals(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  9. def finalize(): Unit
    Attributes
    protected[java.lang]
    Definition Classes
    AnyRef
    Annotations
    @throws( classOf[java.lang.Throwable] )
  10. final def flaw(method: String, message: String): Unit
    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
    Any
  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.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
    AnyRef → Any
  20. final def wait(): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )
  21. final def wait(arg0: Long, arg1: Int): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )
  22. final def wait(arg0: Long): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )

Inherited from Error

Inherited from AnyRef

Inherited from Any

Ungrouped