Class PortfolioOptimizer.Allocation

java.lang.Object

com.quantfinlib.optimization.PortfolioOptimizer.Allocation

Enclosing class:

PortfolioOptimizer

public static final class PortfolioOptimizer.Allocation
extends Object

An optimized allocation with its risk/return profile (same periodicity as the inputs).

Constructor Summary

Constructors

Constructor	Description
Allocation(double[] weights, double expectedReturn, double volatility, double sharpe)	Creates the value; array and collection arguments are copied.

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object other)
double	expectedReturn()	expectedReturn.
int	hashCode()
double	sharpe()	sharpe.
String	toString()
double	volatility()	volatility.
double	weights(int i)	Element i of weights.
double[]	weightsCopy()	A fresh copy of weights.
int	weightsLength()	Length of weights.

Methods inherited from class Object

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

Constructor Details

Allocation

public Allocation(double[] weights,
 double expectedReturn,
 double volatility,
 double sharpe)

Creates the value; array and collection arguments are copied.

Method Details

weights

public double weights(int i)

Element i of weights.

weightsLength

public int weightsLength()

Length of weights.

weightsCopy

public double[] weightsCopy()

A fresh copy of weights.

expectedReturn

public double expectedReturn()

expectedReturn.

volatility

public double volatility()

volatility.

sharpe

public double sharpe()

sharpe.

equals

public boolean equals(Object other)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object