Class ConstrainedPortfolioOptimizer

java.lang.Object

com.quantfinlib.optimization.ConstrainedPortfolioOptimizer

public final class ConstrainedPortfolioOptimizer
extends Object

Constrained long-only optimizer: per-asset weight bounds (position caps / floors) and an optional turnover penalty against current holdings — adjusted return = μ·w − penalty · Σ|w − w_current| — so the optimizer trades expected gain against the real cost of getting there. Same derivative-free search as PortfolioOptimizer with feasibility projection.

Constructor Summary

Constructors

Constructor	Description
ConstrainedPortfolioOptimizer(double[] expectedReturns, double[][] covariance)
ConstrainedPortfolioOptimizer(double[] expectedReturns, double[][] covariance, long seed)

Method Summary

Modifier and Type	Method	Description
PortfolioOptimizer.Allocation	maxSharpe(double riskFreeRate)
PortfolioOptimizer.Allocation	minVolatility()
ConstrainedPortfolioOptimizer	withBounds(double[] min, double[] max)	Per-asset weight bounds; must admit a fully-invested portfolio.
ConstrainedPortfolioOptimizer	withTurnoverPenalty(double[] currentWeights, double penaltyPerUnitTurnover)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

ConstrainedPortfolioOptimizer

public ConstrainedPortfolioOptimizer(double[] expectedReturns,
 double[][] covariance)

ConstrainedPortfolioOptimizer

public ConstrainedPortfolioOptimizer(double[] expectedReturns,
 double[][] covariance,
 long seed)

Method Details

withBounds

public ConstrainedPortfolioOptimizer withBounds(double[] min,
 double[] max)

Per-asset weight bounds; must admit a fully-invested portfolio.

withTurnoverPenalty

public ConstrainedPortfolioOptimizer withTurnoverPenalty(double[] currentWeights,
 double penaltyPerUnitTurnover)

Parameters:

penaltyPerUnitTurnover - expected-return units charged per unit of one-way turnover (e.g. transaction cost)

maxSharpe

public PortfolioOptimizer.Allocation maxSharpe(double riskFreeRate)

minVolatility

public PortfolioOptimizer.Allocation minVolatility()