Module ojalgo

Package org.ojalgo.data.domain.finance.portfolio

Class BlackLittermanModel

java.lang.Object

org.ojalgo.data.domain.finance.portfolio.FinancePortfolio

org.ojalgo.data.domain.finance.portfolio.BlackLittermanModel

All Implemented Interfaces:

Comparable<FinancePortfolio>, FinancePortfolio.Context

public final class BlackLittermanModel
extends FinancePortfolio

Nested Class Summary

Nested classes/interfaces inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio

FinancePortfolio.Context

Field Summary

Fields inherited from class org.ojalgo.data.domain.finance.portfolio.FinancePortfolio

MATRIX_FACTORY

Constructor Summary

Constructors

Constructor	Description
BlackLittermanModel(FinancePortfolio.Context context, FinancePortfolio originalWeights)
BlackLittermanModel(MarketEquilibrium marketEquilibrium, MatrixR064 originalWeights)

Method Summary

Modifier and Type	Method	Description
void	addView(FinancePortfolio aView)
void	addViewWithBalancedConfidence(List<BigDecimal> someWeights, Comparable<?> aReturn)
void	addViewWithScaledConfidence(List<BigDecimal> someWeights, Comparable<?> aReturn, Comparable<?> aScale)
void	addViewWithStandardDeviation(List<BigDecimal> weights, BigDecimal expected, BigDecimal stdDev)
protected MatrixR064	calculateAssetReturns()
protected final MatrixR064	calculateAssetReturns(MatrixR064 aWeightsVctr)
protected MatrixR064	calculateAssetWeights()
protected final MatrixR064	calculateAssetWeights(MatrixR064 aReturnsVctr)
final double	calculatePortfolioReturn(FinancePortfolio weightsPortfolio)
protected final Scalar<?>	calculatePortfolioReturn(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr)
final double	calculatePortfolioVariance(FinancePortfolio weightsPortfolio)
protected final Scalar<?>	calculatePortfolioVariance(MatrixR064 aWeightsVctr)
protected final void	calibrate(MatrixR064 aWeightsVctr, MatrixR064 aReturnsVctr)
final MatrixR064	getAssetReturns()
final MatrixR064	getAssetVolatilities()
final MatrixR064	getAssetWeights()
Scalar<?>	getConfidence()	"weight on views" or "tau" A parameter that describes the general confidence in the views.
final MatrixR064	getCorrelations()
final MatrixR064	getCovariances()
final MarketEquilibrium	getMarketEquilibrium()
final double	getMeanReturn()	The mean/expected return of this instrument.
protected MatrixR064	getOriginalReturns()
protected MatrixR064	getOriginalWeights()
final double	getReturnVariance()	The instrument's return variance.
final Scalar<?>	getRiskAversion()
final String[]	getSymbols()
protected MatrixR064	getViewPortfolios()
protected MatrixR064	getViewReturns()	Scaled by risk aversion factor.
protected List<FinancePortfolio>	getViews()
protected MatrixR064	getViewVariances()	Scaled by tau / weight on views
final List<BigDecimal>	getWeights()	This method returns a list of the weights of the Portfolio's contained assets.
protected void	reset()
void	setConfidence(Comparable<?> aWeight)
final void	setRiskAversion(Comparable<?> factor)
int	size()
final List<SimpleAsset>	toSimpleAssets()
final SimplePortfolio	toSimplePortfolio()
String	toString()

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

compareTo, forecast, getConformance, getLossProbability, getLossProbability, getSharpeRatio, getSharpeRatio, getValueAtRisk, getValueAtRisk95, getVolatility, normalise, normalise

Methods inherited from class java.lang.Object

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

Constructor Details

BlackLittermanModel

public BlackLittermanModel(FinancePortfolio.Context context,
 FinancePortfolio originalWeights)

BlackLittermanModel

public BlackLittermanModel(MarketEquilibrium marketEquilibrium,
 MatrixR064 originalWeights)

Parameters:

marketEquilibrium - The covariance matrix, and market risk aversion

originalWeights - The market portfolio

Method Details

addView

public void addView(FinancePortfolio aView)

addViewWithBalancedConfidence

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

addViewWithScaledConfidence

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

addViewWithStandardDeviation

public void addViewWithStandardDeviation(List<BigDecimal> weights,
 BigDecimal expected,
 BigDecimal stdDev)

getConfidence

public Scalar<?> 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 void setConfidence(Comparable<?> aWeight)

See Also:

• getConfidence()

calculateAssetReturns

protected MatrixR064 calculateAssetReturns()

calculateAssetWeights

protected MatrixR064 calculateAssetWeights()

getOriginalReturns

protected MatrixR064 getOriginalReturns()

getOriginalWeights

protected MatrixR064 getOriginalWeights()

See Also:

• getOriginalWeights()
• EquilibriumModel.getAssetWeights()

getViewPortfolios

protected MatrixR064 getViewPortfolios()

getViewReturns

protected MatrixR064 getViewReturns()

Scaled by risk aversion factor.

getViews

protected List<FinancePortfolio> getViews()

getViewVariances

protected MatrixR064 getViewVariances()

Scaled by tau / weight on views

calculatePortfolioReturn

public final double calculatePortfolioReturn(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioReturn in interface FinancePortfolio.Context

calculatePortfolioVariance

public final double calculatePortfolioVariance(FinancePortfolio weightsPortfolio)

Specified by:

calculatePortfolioVariance in interface FinancePortfolio.Context

getAssetReturns

public final MatrixR064 getAssetReturns()

Specified by:

getAssetReturns in interface FinancePortfolio.Context

getAssetVolatilities

public final MatrixR064 getAssetVolatilities()

Specified by:

getAssetVolatilities in interface FinancePortfolio.Context

getAssetWeights

public final MatrixR064 getAssetWeights()

getCorrelations

public final MatrixR064 getCorrelations()

Specified by:

getCorrelations in interface FinancePortfolio.Context

getCovariances

public final MatrixR064 getCovariances()

Specified by:

getCovariances in interface FinancePortfolio.Context

getMarketEquilibrium

public final MarketEquilibrium getMarketEquilibrium()

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. 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 Scalar<?> 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(Comparable<?> factor)

size

public int size()

Specified by:

size in interface FinancePortfolio.Context

toSimpleAssets

public final List<SimpleAsset> toSimpleAssets()

toSimplePortfolio

public final SimplePortfolio toSimplePortfolio()

toString

public String toString()

Overrides:

toString in class FinancePortfolio

calculateAssetReturns

protected final MatrixR064 calculateAssetReturns(MatrixR064 aWeightsVctr)

calculateAssetWeights

protected final MatrixR064 calculateAssetWeights(MatrixR064 aReturnsVctr)

calculatePortfolioReturn

protected final Scalar<?> calculatePortfolioReturn(MatrixR064 aWeightsVctr,
 MatrixR064 aReturnsVctr)

calculatePortfolioVariance

protected final Scalar<?> calculatePortfolioVariance(MatrixR064 aWeightsVctr)

calibrate

protected final void calibrate(MatrixR064 aWeightsVctr,
 MatrixR064 aReturnsVctr)

reset

protected void reset()

Specified by:

reset in class FinancePortfolio