Package com.quantfinlib.optimization

package com.quantfinlib.optimization

Portfolio construction: PortfolioOptimizer (max Sharpe, min volatility, efficient frontier — derivative-free and deterministic), RiskParityOptimizer (equal risk contribution), BlackLitterman (equilibrium returns blended with confidence-weighted views) and ConstrainedPortfolioOptimizer (position caps/floors and turnover penalties against current holdings).

Class	Description
BlackLitterman	Black-Litterman expected returns: start from the market-implied equilibrium (reverse optimization of the market portfolio) and blend in investor views with explicit confidences — the standard cure for mean-variance optimizers' hypersensitivity to raw return estimates.
ConstrainedPortfolioOptimizer	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.
PortfolioOptimizer	Portfolio Optimization Engine (long-only, fully invested).
PortfolioOptimizer.Allocation	An optimized allocation with its risk/return profile (same periodicity as the inputs).
RiskParityOptimizer	Risk parity: the portfolio where every asset contributes equally to total risk (w_i (Σw)_i equal across assets).