com.webcab.ejb.finance.portfolio
Class PointsOnEfficientFrontier

java.lang.Object
  |
  +--com.webcab.ejb.finance.portfolio.PointsOnEfficientFrontier

public class PointsOnEfficientFrontier

extends Object

This class encapsulates/represents the points of the efficient frontier. Moreover, it allows us to associated a given set portfolio weights of a portfolio with its associated expected return. An instance of this class is obtained by invoking the method Markowitz.getPointsOnEfficientFrontier().

The expected returns and the associated weights can be retrieved by:

• directly accessing the expectedReturns, assetWeights fields
• invoking the getExpectedReturn, getAssetWeights methods

of an instance of this Enterprise JavaBean.

Method Summary

double[]	getAssetWeights(int pointIndex) Returns the weights of the assets which make up the portfolio corresponding to the pointIndex point used in order to describe the efficient frontier.
double	getExpectedReturn(int pointIndex) Returns the expected return of the given points on the efficient frontier selected.
double	getNumberOfPoints() Returns the number of (interpolation) points used in order to describe the efficient frontier.

Methods inherited from class java.lang.Object

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

Method Detail

getNumberOfPoints

public double getNumberOfPoints()

Returns the number of (interpolation) points used in order to describe the efficient frontier. Please note that the efficient frontier is represented as a finite number of distinct points. In order to evaluate the efficient frontier at an arbitary point we evaluate the cubic spline interpolation over this finite set of points.

getExpectedReturn

public double getExpectedReturn(int pointIndex)

Returns the expected return of the given points on the efficient frontier selected.

Parameters:

pointIndex - the index of the point on the efficient frontier. Please note that the index of the points runs from 1.

Throws:

IllegalArgumentException - thrown if an index is required for which there does not correspond a point of the set of points which are used to describe to the efficient frontier.

getAssetWeights

public double[] getAssetWeights(int pointIndex)

Returns the weights of the assets which make up the portfolio corresponding to the pointIndex point used in order to describe the efficient frontier.

Parameters:

pointIndex - the index of the point on the efficient frontier. Please note that the index of the points runs from 1.

Throws:

IllegalArgumentException - thrown if an index is required for which there does not correspond a point of the set of points which are used to describe to the efficient frontier.