org.ojalgo.finance.portfolio
Class BlackLittermanModel

java.lang.Object
  org.ojalgo.finance.portfolio.FinancePortfolio
      org.ojalgo.finance.portfolio.BlackLittermanModel

public final class BlackLittermanModel
extends FinancePortfolio

Constructor Summary

BlackLittermanModel(org.ojalgo.finance.portfolio.EquilibriumModel anEquilibriumModel)

BlackLittermanModel(MarketEquilibrium aMarketEquilibrium, BasicMatrix originalWeights)

Method Summary

void	addView(FinancePortfolio aView)
void	addViewWithBalancedConfidence(List<BigDecimal> someWeights, BigDecimal aReturn)
void	addViewWithScaledConfidence(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aScale)
void	addViewWithStandardDeviation(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aStdDev) Deprecated. v30
void	addViewWithVariance(List<BigDecimal> someWeights, BigDecimal aReturn, BigDecimal aVariance) Deprecated. v30
BasicMatrix	getAssetReturns()
List<SimpleAsset>	getAssets()
BasicMatrix	getAssetWeights()
BigDecimal	getConfidence() "weight on views" or "tau" A parameter that describes the general confidence in the views.
BasicMatrix	getCovariances()
BigDecimal	getImpliedRiskAversion(BasicMatrix aWeightsVctr, BasicMatrix aReturnsVctr)
double	getMeanReturn() The mean/expected return of this instrument.
double	getReturnVariance() The instrument's return variance.
BigDecimal	getRiskAversion()
String[]	getSymbols()
List<BigDecimal>	getWeights() This method returns a list of the weights of the Portfolio's contained assets.
void	setConfidence(BigDecimal aWeight)
void	setRiskAversion(Number aFactor)

Methods inherited from class org.ojalgo.finance.portfolio.FinancePortfolio

forecast, getSharpeRatio, getValueAtRisk, getVolatility, normalise, shift

Methods inherited from class java.lang.Object

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

Constructor Detail

BlackLittermanModel

public BlackLittermanModel(org.ojalgo.finance.portfolio.EquilibriumModel anEquilibriumModel)

BlackLittermanModel

public BlackLittermanModel(MarketEquilibrium aMarketEquilibrium,
                           BasicMatrix originalWeights)

Parameters:

aMarketEquilibrium - The covariance matrix, and market risk aversion

originalWeights - The market portfolio

Method Detail

addView

public final void addView(FinancePortfolio aView)

addViewWithBalancedConfidence

public final void addViewWithBalancedConfidence(List<BigDecimal> someWeights,
                                                BigDecimal aReturn)

addViewWithScaledConfidence

public final void addViewWithScaledConfidence(List<BigDecimal> someWeights,
                                              BigDecimal aReturn,
                                              BigDecimal aScale)

addViewWithStandardDeviation

@Deprecated
public final void addViewWithStandardDeviation(List<BigDecimal> someWeights,
                                                          BigDecimal aReturn,
                                                          BigDecimal aStdDev)

Deprecated. v30

addViewWithVariance

@Deprecated
public final void addViewWithVariance(List<BigDecimal> someWeights,
                                                 BigDecimal aReturn,
                                                 BigDecimal aVariance)

Deprecated. v30

getConfidence

public final BigDecimal getConfidence()

"weight on views" or "tau" A parameter that describes the general confidence in the views. Typically set to sometghing between 0.0 and 1.0. 0.0 = "No confidence!" Why bother... 1.0 = As confident as the market. This is highly unlikely.

setConfidence

public final void setConfidence(BigDecimal aWeight)

See Also:

getConfidence()

getAssetReturns

public final BasicMatrix getAssetReturns()

getAssets

public List<SimpleAsset> getAssets()

getAssetWeights

public final BasicMatrix getAssetWeights()

getCovariances

public final BasicMatrix getCovariances()

getImpliedRiskAversion

public final BigDecimal getImpliedRiskAversion(BasicMatrix aWeightsVctr,
                                               BasicMatrix aReturnsVctr)

getMeanReturn

public final double getMeanReturn()

Description copied from class: FinancePortfolio

The mean/expected return of this instrument. May return either the absolute or excess return of the instrument. The context in which an instance is used should make it clear which. Calling FinancePortfolio.shift(Number) with an appropriate argument will transform between absolute and excess return.

Specified by:

getMeanReturn in class FinancePortfolio

getReturnVariance

public final double getReturnVariance()

Description copied from class: FinancePortfolio

The instrument's return variance. Subclasses must override either FinancePortfolio.getReturnVariance() or FinancePortfolio.getVolatility().

Overrides:

getReturnVariance in class FinancePortfolio

getRiskAversion

public final BigDecimal getRiskAversion()

getSymbols

public final String[] getSymbols()

getWeights

public final List<BigDecimal> getWeights()

Description copied from class: FinancePortfolio

This method returns a list of the weights of the Portfolio's contained assets. An asset weight is NOT restricted to being a share/percentage - it can be anything. Most subclasses do however assume that the list of asset weights are shares/percentages that sum up to 100%. Calling FinancePortfolio.normalise() will transform any set of weights to that form.

Specified by:

getWeights in class FinancePortfolio

setRiskAversion

public final void setRiskAversion(Number aFactor)