Uses of Class
com.quantfinlib.optimization.PortfolioOptimizer.Allocation

Packages that use PortfolioOptimizer.Allocation

Package	Description
com.quantfinlib.optimization	Portfolio optimisers and the solvers behind them.

Uses of PortfolioOptimizer.Allocation in com.quantfinlib.optimization

Methods in com.quantfinlib.optimization that return PortfolioOptimizer.Allocation

Modifier and Type	Method	Description
static PortfolioOptimizer.Allocation	RiskParityOptimizer.equalRiskContribution(double[] expectedReturns, double[][] covariance)	Equal-risk-contribution weights (expected returns used only for reporting).
PortfolioOptimizer.Allocation	ConstrainedPortfolioOptimizer.maxSharpe(double riskFreeRate)
PortfolioOptimizer.Allocation	PortfolioOptimizer.maxSharpe(double riskFreeRate)	Maximum Sharpe ratio portfolio.
PortfolioOptimizer.Allocation	ConstrainedPortfolioOptimizer.minVolatility()
PortfolioOptimizer.Allocation	PortfolioOptimizer.minVolatility()	Minimum volatility portfolio.
static PortfolioOptimizer.Allocation	RiskParityOptimizer.riskBudget(double[] expectedReturns, double[][] covariance, double[] budgets)	Risk-budgeting weights: asset i carries the fraction budgets[i] of portfolio variance.

Methods in com.quantfinlib.optimization that return types with arguments of type PortfolioOptimizer.Allocation

Modifier and Type	Method	Description
List<PortfolioOptimizer.Allocation>	PortfolioOptimizer.efficientFrontier(int points)	Minimum-variance frontier: for each of points target returns evenly spaced from the lowest to the highest asset expected return, the long-only portfolio of least variance that earns exactly that return.