Packages

o

apps.optimization

PortfolioExOpt

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
App, DelayedInit, AnyRef, Any
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Inherited
  1. PortfolioExOpt
  2. App
  3. DelayedInit
  4. AnyRef
  5. Any
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Visibility
  1. Public
  2. All

Value Members

  1. val cova: MatrixD
  2. val executionStart: Long
    Definition Classes
    App
    Annotations
    @deprecatedOverriding( ... , "2.11.0" )
  3. def f(x: VectorD): Double
  4. def g(x: VectorD): Double
  5. val label: Array[String]
  6. def main(args: Array[String]): Unit
    Definition Classes
    App
    Annotations
    @deprecatedOverriding( "main should not be overridden" , "2.11.0" )
  7. val mean: VectorD
  8. val r: MatrixD
  9. val solver: ConjugateGradient
  10. var x: VectorD
  11. val x0: VectorD

Deprecated Value Members

  1. def delayedInit(body: ⇒ Unit): Unit
    Definition Classes
    App → DelayedInit
    Annotations
    @deprecated
    Deprecated

    (Since version 2.11.0) the delayedInit mechanism will disappear