Record Class TurnoverAwareOptimizer.Settings

java.lang.Object

java.lang.Record

com.quantfinlib.alpha.TurnoverAwareOptimizer.Settings

Record Components:

riskAversion - λ > 0

turnoverPenalty - κ ≥ 0, per unit of |Δw|

rho - ADMM penalty parameter > 0 (1 is a reasonable start when α and Σ are on comparable scales)

maxIterations - iteration cap

tolerance - per-coordinate residual tolerance

Enclosing class:

TurnoverAwareOptimizer

public static record TurnoverAwareOptimizer.Settings(double riskAversion, double turnoverPenalty, double rho, int maxIterations, double tolerance)
extends Record

Optimiser settings.

Constructor Summary

Constructors

Constructor	Description
Settings(double riskAversion, double turnoverPenalty, double rho, int maxIterations, double tolerance)	Creates an instance of a Settings record class.

Method Summary

Modifier and Type	Method	Description
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
final int	hashCode()	Returns a hash code value for this object.
int	maxIterations()	Returns the value of the maxIterations record component.
static TurnoverAwareOptimizer.Settings	of(double riskAversion, double turnoverPenalty)
double	rho()	Returns the value of the rho record component.
double	riskAversion()	Returns the value of the riskAversion record component.
double	tolerance()	Returns the value of the tolerance record component.
final String	toString()	Returns a string representation of this record class.
double	turnoverPenalty()	Returns the value of the turnoverPenalty record component.

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Details

Settings

public Settings(double riskAversion,
 double turnoverPenalty,
 double rho,
 int maxIterations,
 double tolerance)

Creates an instance of a Settings record class.

Parameters:

riskAversion - the value for the riskAversion record component

turnoverPenalty - the value for the turnoverPenalty record component

rho - the value for the rho record component

maxIterations - the value for the maxIterations record component

tolerance - the value for the tolerance record component

Method Details

of

public static TurnoverAwareOptimizer.Settings of(double riskAversion,
 double turnoverPenalty)

toString

public final String toString()

Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.

Specified by:

toString in class Record

Returns:

a string representation of this object

hashCode

public final int hashCode()

Returns a hash code value for this object. The value is derived from the hash code of each of the record components.

Specified by:

hashCode in class Record

Returns:

a hash code value for this object

equals

public final boolean equals(Object o)

Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. All components in this record class are compared with the compare method from their corresponding wrapper classes.

Specified by:

equals in class Record

Parameters:

o - the object with which to compare

Returns:

true if this object is the same as the o argument; false otherwise.

riskAversion

public double riskAversion()

Returns the value of the riskAversion record component.

Returns:

the value of the riskAversion record component

turnoverPenalty

public double turnoverPenalty()

Returns the value of the turnoverPenalty record component.

Returns:

the value of the turnoverPenalty record component

rho

public double rho()

Returns the value of the rho record component.

Returns:

the value of the rho record component

maxIterations

public int maxIterations()

Returns the value of the maxIterations record component.

Returns:

the value of the maxIterations record component

tolerance

public double tolerance()

Returns the value of the tolerance record component.

Returns:

the value of the tolerance record component