Packages

c

apps.optimization

PortfolioOpt

class PortfolioOpt extends Error

The PortfolioOpt class is used to solve Portfolio Optimization Problems.

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Visibility
  1. Public
  2. Protected

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
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  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[lang]
    Definition Classes
    AnyRef
    Annotations
    @throws(classOf[java.lang.CloneNotSupportedException]) @native() @HotSpotIntrinsicCandidate()
  7. final def eq(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  8. def equals(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef → Any
  9. final def flaw(method: String, message: String): Unit
    Definition Classes
    Error
  10. final def getClass(): Class[_ <: AnyRef]
    Definition Classes
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    Annotations
    @native() @HotSpotIntrinsicCandidate()
  11. def hashCode(): Int
    Definition Classes
    AnyRef → Any
    Annotations
    @native() @HotSpotIntrinsicCandidate()
  12. final def isInstanceOf[T0]: Boolean
    Definition Classes
    Any
  13. final def ne(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  14. final def notify(): Unit
    Definition Classes
    AnyRef
    Annotations
    @native() @HotSpotIntrinsicCandidate()
  15. final def notifyAll(): Unit
    Definition Classes
    AnyRef
    Annotations
    @native() @HotSpotIntrinsicCandidate()
  16. 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.

  17. final def synchronized[T0](arg0: => T0): T0
    Definition Classes
    AnyRef
  18. def toString(): String
    Definition Classes
    AnyRef → Any
  19. final def wait(arg0: Long, arg1: Int): Unit
    Definition Classes
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    Annotations
    @throws(classOf[java.lang.InterruptedException])
  20. final def wait(arg0: Long): Unit
    Definition Classes
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    @throws(classOf[java.lang.InterruptedException]) @native()
  21. final def wait(): Unit
    Definition Classes
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    @throws(classOf[java.lang.InterruptedException])

Deprecated Value Members

  1. def finalize(): Unit
    Attributes
    protected[lang]
    Definition Classes
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    @throws(classOf[java.lang.Throwable]) @Deprecated
    Deprecated

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