Re: [ojAlgo-user] Some questions on the Markowitz/Black Litterman classes

[Anders P. <an...@op...>]

There's no function that will give you a complete covariance matrix  
all at once, but there is code that will calculate correlations and  
covariances for you.

http://ojalgo.org/generated/org/ojalgo/random/SampleSet.html

Before you can create SampleSets from your BasicSeries you should  
make sure the series are coordinated.

http://ojalgo.org/generated/org/ojalgo/series/CoordinationSet.html


You must know your own risk aversion (factor). Mine is PI..... Either  
someone will tell you what it is or you have to experiment. If you  
run the BLApp protoype you can see what effect changing the value has.

http://ojalgo.org/blapp.html


/Anders


On 23 aug 2007, at 13.20, Paul Netherwood wrote:

> Is there a function in the library for calculating the covariance  
> matrix required for these routines or is there an easy way to  
> calculate it yourself with other functions in the library?
>
> What is the formula for the risk aversion field in  
> MarketEquilibrium class?
>
> Thanks in advance
>
> Paul Netherwood
>
>
>
>
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