Name | Description | Type | Package | Framework |
ARResamplerFactory | Class | com.numericalmethod.suanshu.model.lai2010.ceta.npeb.resampler | SuanShu | |
BrentCetaMaximizer | Class | com.numericalmethod.suanshu.model.lai2010.ceta.maximizer | SuanShu | |
Ceta | Class | com.numericalmethod.suanshu.model.lai2010.ceta | SuanShu | |
Ceta .Moments | Class | com.numericalmethod.suanshu.model.lai2010.ceta | SuanShu | |
Ceta .MomentsEstimator | Interface | com.numericalmethod.suanshu.model.lai2010.ceta | SuanShu | |
CetaMaximizer | Interface | com.numericalmethod.suanshu.model.lai2010.ceta.maximizer | SuanShu | |
CetaMaximizer .NegCetaFunction | Class | com.numericalmethod.suanshu.model.lai2010.ceta.maximizer | SuanShu | |
CetaMaximizer .Solution | Class | com.numericalmethod.suanshu.model.lai2010.ceta.maximizer | SuanShu | |
CombinedCetaMaximizer | Class | com.numericalmethod.suanshu.model.lai2010.ceta.maximizer | SuanShu | |
GARCHResamplerFactory | Class | com.numericalmethod.suanshu.model.lai2010.ceta.npeb.resampler | SuanShu | |
GridSearchCetaMaximizer | Class | com.numericalmethod.suanshu.model.lai2010.ceta.maximizer | SuanShu | |
GroupResamplerFactory | Creates re-samplers that do re-sampling for the whole group of stocks together. | Class | com.numericalmethod.suanshu.model.lai2010.ceta.npeb.resampler | SuanShu |
Lai2010NPEBModel | The Non-Parametric Empirical Bayes (NPEB) model described in the reference computes the optimal weights for asset allocation. | Class | com.numericalmethod.suanshu.model.lai2010 | SuanShu |
Lai2010NPEBModel .OptimalWeights | Class | com.numericalmethod.suanshu.model.lai2010 | SuanShu | |
ModelResamplerFactory | Class | com.numericalmethod.suanshu.model.lai2010.ceta.npeb.resampler | SuanShu | |
MVOptimizer | Solves for the optimal weight using Mean-Variance optimization. | Interface | com.numericalmethod.suanshu.model.lai2010.optimizer | SuanShu |
MVOptimizerMinWeights | Solves for weights by (active set) quadratic programming. | Class | com.numericalmethod.suanshu.model.lai2010.optimizer | SuanShu |
MVOptimizerNoConstraint | Class | com.numericalmethod.suanshu.model.lai2010.optimizer | SuanShu | |
NPEBMomentsEstimator | Class | com.numericalmethod.suanshu.model.lai2010.ceta.npeb | SuanShu | |
ResamplerModel | Interface | com.numericalmethod.suanshu.model.lai2010.fit | SuanShu | |
ReturnsMomentsEstimator | Interface | com.numericalmethod.suanshu.model.lai2010.fit | SuanShu | |
ReturnsResamplerFactory | This is a factory interface to construct new instances of multivariate resamplers. | Interface | com.numericalmethod.suanshu.model.lai2010.ceta.npeb.resampler | SuanShu |
SimpleAR1Fit | This class does a quick AR(1) fitting to the time series, essentially treating the returns as independent. | Class | com.numericalmethod.suanshu.model.lai2010.fit | SuanShu |
SimpleAR1Moments | Class | com.numericalmethod.suanshu.model.lai2010.fit | SuanShu | |
SimpleGARCHFit | This class does a quick GARCH(1,1) fitting to the time series, essentially treating the returns as independent. | Class | com.numericalmethod.suanshu.model.lai2010.fit | SuanShu |
SimpleGARCHFit .AR1GARCH11Model | Class | com.numericalmethod.suanshu.model.lai2010.fit | SuanShu | |
SimpleGARCHMoments | Estimates the moments by GARCH model. | Class | com.numericalmethod.suanshu.model.lai2010.fit | SuanShu |