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com.numericalmethod.algoquant.model.portfoliooptimization.corvalan2005

## Class Corvalan2005Demo

• java.lang.Object
• com.numericalmethod.algoquant.model.portfoliooptimization.corvalan2005.Corvalan2005Demo

• @Demo
public class Corvalan2005Demo
extends Object
This paper tackles the corner solution problem of many portfolio optimizers, by optimizing the portfolio diversification with some relaxation on the volatility σ and the expected return R of a given optimized (but non-diversified) portfolio. This implementation generalizes this framework as the following optimization problem: \max_{w} D(w) \quad \text{s.t.} \\ \begin{aligned} \sqrt{w' \Sigma w} & \le \sigma^* (1 + \Delta \sigma) \\ R^* (1 - \Delta R) & \le w'r \\ w' 1 & = 1 \\ ... & \text{some extra constraints} \end{aligned} where $$( \sigma^* , R^* ) = ( \sqrt{w^{*'} \Sigma w^*} , w^{*'} r )$$, $$w^*$$ is the original optimal weights, $$\Delta \sigma, \Delta R$$ are the relaxation tolerance parameters, and $$D(w)$$ is a defined measure for portfolio diversification (DiversificationMeasure).
Well Diversified Efficient PortfoliosS
• ### Constructor Summary

Constructors
Constructor and Description
Corvalan2005Demo(double deltaSigma, double deltaR)
• ### Method Summary

All Methods
Modifier and Type Method and Description
static void main(String[] args)
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ### Constructor Detail

• #### Corvalan2005Demo

public Corvalan2005Demo(double deltaSigma,
double deltaR)
• ### Method Detail

• #### main

public static void main(String[] args)
throws Exception
Throws:
Exception