object PortfolioExOpt extends App
The PortfolioExOpt
object solves the following Quadratic Programming 'QP' problem:
Given 'n' investment instruments, find a combination/portfolio that
minimizes risk for a given expected return.
> runMain apps.optimization.PortfolioExOpt
Linear Supertypes
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- PortfolioExOpt
- App
- DelayedInit
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Value Members
- val cova: MatrixD
-
val
executionStart: Long
- Definition Classes
- App
- Annotations
- @deprecatedOverriding( ... , "2.11.0" )
- def f(x: VectorD): Double
- def g(x: VectorD): Double
- val label: Array[String]
-
def
main(args: Array[String]): Unit
- Definition Classes
- App
- Annotations
- @deprecatedOverriding( "main should not be overridden" , "2.11.0" )
- val mean: VectorD
- val r: MatrixD
- val solver: ConjugateGradient
- var x: VectorD
- val x0: VectorD
Deprecated Value Members
-
def
delayedInit(body: ⇒ Unit): Unit
- Definition Classes
- App → DelayedInit
- Annotations
- @deprecated
- Deprecated
(Since version 2.11.0) the delayedInit mechanism will disappear