Class PortfolioOptimizer

java.lang.Object

org.episteme.social.economics.PortfolioOptimizer

public final class PortfolioOptimizer
extends Object

Portfolio optimization using Modern Portfolio Theory (Markowitz).

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	PortfolioOptimizer.Asset
static final record	PortfolioOptimizer.EfficientFrontierPoint
static final record	PortfolioOptimizer.Portfolio

Method Summary

Modifier and Type	Method	Description
static List<PortfolioOptimizer.EfficientFrontierPoint>	generateEfficientFrontier(List<PortfolioOptimizer.Asset> assets, Real[][] correlations, int numPoints)	Generates efficient frontier points.
static Real[][]	identityCorrelation(int n)	Creates correlation matrix (simplified: assumes given correlations).
static PortfolioOptimizer.Portfolio	optimizeMaxSharpe(List<PortfolioOptimizer.Asset> assets, Real[][] correlations, Real riskFreeRate)	Optimizes portfolio for maximum Sharpe ratio.
static PortfolioOptimizer.Portfolio	optimizeMinVolatility(List<PortfolioOptimizer.Asset> assets, Real[][] correlations, Real targetReturn)	Optimizes portfolio for minimum volatility given target return.
static Real	portfolioReturn(List<PortfolioOptimizer.Asset> assets, Real[] weights)	Calculates portfolio return.
static Real	portfolioVolatility(List<PortfolioOptimizer.Asset> assets, Real[] weights, Real[][] correlationMatrix)	Calculates portfolio volatility.
static Real	sharpeRatio(Real portfolioReturn, Real volatility, Real riskFreeRate)	Calculates Sharpe Ratio.

Methods inherited from class Object

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

Method Details

portfolioReturn

public static Real portfolioReturn(List<PortfolioOptimizer.Asset> assets,
 Real[] weights)

Calculates portfolio return.

portfolioVolatility

public static Real portfolioVolatility(List<PortfolioOptimizer.Asset> assets,
 Real[] weights,
 Real[][] correlationMatrix)

Calculates portfolio volatility.

sharpeRatio

public static Real sharpeRatio(Real portfolioReturn,
 Real volatility,
 Real riskFreeRate)

Calculates Sharpe Ratio.

optimizeMaxSharpe

public static PortfolioOptimizer.Portfolio optimizeMaxSharpe(List<PortfolioOptimizer.Asset> assets,
 Real[][] correlations,
 Real riskFreeRate)

Optimizes portfolio for maximum Sharpe ratio.

optimizeMinVolatility

public static PortfolioOptimizer.Portfolio optimizeMinVolatility(List<PortfolioOptimizer.Asset> assets,
 Real[][] correlations,
 Real targetReturn)

Optimizes portfolio for minimum volatility given target return.

generateEfficientFrontier

public static List<PortfolioOptimizer.EfficientFrontierPoint> generateEfficientFrontier(List<PortfolioOptimizer.Asset> assets,
 Real[][] correlations,
 int numPoints)

Generates efficient frontier points.

identityCorrelation

public static Real[][] identityCorrelation(int n)

Creates correlation matrix (simplified: assumes given correlations).