com.opttek.optquest
Class COptQuestPortfolioObjective

java.lang.Object
  com.opttek.optquest.COptQuestObjective
      com.opttek.optquest.COptQuestPortfolioObjective

public class COptQuestPortfolioObjective
extends COptQuestObjective

The COptQuestPortfolioObjective class defines the objective of an optimization as minimizing or maximizing a statistic on a measure. The user must define COptQuestProjectVariables with observations or period observations.

Constructor Summary

COptQuestPortfolioObjective()
Default constructor

COptQuestPortfolioObjective(java.lang.String name)
Constructor that assigns a name to the portfolio objective.

Method Summary

int	GetPortfolioMeasure() Returns the portfolio measure set by the SetPortfolioMeasure() method.
int	GetPortfolioStatistic() Returns the portfolio statistic defined by the SetPortfolioStatistic() method.
double	GetPortfolioStatisticValue() Returns the statistic value defined by the SetPortfolioStatistic() method.
boolean	IsLinear() Returns true if the objective is a linear function.
void	SetPortfolioMeasure(int measure) Defines the measure for the portfolio objective.
void	SetPortfolioStatistic(int statistic, double statisticValue) Defines the statistic for the portfolio objective.

Methods inherited from class com.opttek.optquest.COptQuestObjective

GetBestFeasible, GetBestValue, GetCurrentFeasible, GetCurrentFeasible, GetCurrentValue, GetCurrentValue, GetName, GetNthBestFeasible, GetNthBestValue, GetReplicationConfidenceLevel, GetReplicationConfidencePercent, GetReplicationConfidenceType, IsMaximize, IsMinimize, SetCurrentValue, SetCurrentValue, SetMaximize, SetMinimize, SetName, SetReplicationConfidence

Methods inherited from class java.lang.Object

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

Constructor Detail

COptQuestPortfolioObjective

public COptQuestPortfolioObjective()

Default constructor

COptQuestPortfolioObjective

public COptQuestPortfolioObjective(java.lang.String name)

Constructor that assigns a name to the portfolio objective.

Parameters:

name -

Method Detail

IsLinear

public boolean IsLinear()

Description copied from class: COptQuestObjective

Returns true if the objective is a linear function. This is true if the user defined the objective as a COptQuestObjectiveFunction or if the user defined the objective as a COptQuestStringObjective and the string expression is a linear expression using decision variables and coefficients.

Overrides:

IsLinear in class COptQuestObjective

Returns:

true if the objective is a linear function of the decision variables.

SetPortfolioStatistic

public void SetPortfolioStatistic(int statistic,
                                  double statisticValue)
                           throws COptQuestException

Defines the statistic for the portfolio objective. The statistics OCLP_PERCENTILE, OCLP_SEMI1STDDEV, OCLP_SEMI2STDDEV and OCLP_PROBABILITY require the statisticValue to be set. This value is ignored for all other statistics.

Parameters:

statistic -

• OCLP_MEAN = 1
• OCLP_MEDIAN = 2
• OCLP_PERCENTILE = 3
• OCLP_STDDEV = 4
• OCLP_SEMI1STDDEV = 5
• OCLP_VARIANCE = 6
• OCLP_SEMI1VARIANCE = 7
• OCLP_COEFFOFVAR = 8
• OCLP_COEFFOFSEMI1VAR = 9
• OCLP_PROBABILITY = 10
• OCLP_SEMI2STDDEV = 11
• OCLP_SEMI2VARIANCE = 12
• OCLP_COEFFOFSEMI2VAR = 13

statisticValue - - target value for OCLP_PERCENTILE, OCLP_SEMI1STDDEV, OCLP_SEMI2STDDEV and OCLP_PROBABILITY

Throws:

COptQuestException - if the statistic or statistic value are invalid.

GetPortfolioStatistic

public int GetPortfolioStatistic()

Returns the portfolio statistic defined by the SetPortfolioStatistic() method.

Returns:

statistic

• OCLP_MEAN = 1
• OCLP_MEDIAN = 2
• OCLP_PERCENTILE = 3
• OCLP_STDDEV = 4
• OCLP_SEMI1STDDEV = 5
• OCLP_VARIANCE = 6
• OCLP_SEMI1VARIANCE = 7
• OCLP_COEFFOFVAR = 8
• OCLP_COEFFOFSEMI1VAR = 9
• OCLP_PROBABILITY = 10
• OCLP_SEMI2STDDEV = 11
• OCLP_SEMI2VARIANCE = 12
• OCLP_COEFFOFSEMI2VAR = 13

GetPortfolioStatisticValue

public double GetPortfolioStatisticValue()

Returns the statistic value defined by the SetPortfolioStatistic() method. The statistics OCLP_PERCENTILE, OCLP_SEMI1STDDEV, OCLP_SEMI2STDDEV and OCLP_PROBABILITY require the statisticValue to be set.

Returns:

the target value for OCLP_PERCENTILE, OCLP_SEMI1STDDEV, OCLP_SEMI2STDDEV and OCLP_PROBABILITY. Returns 0 for all other statistics.

SetPortfolioMeasure

public void SetPortfolioMeasure(int measure)
                         throws COptQuestException

Defines the measure for the portfolio objective.

Parameters:

measure -

• OCLP_NPV = 1
• OCLP_IRR = 2
• OCLP_PBP = 3

Throws:

COptQuestException - if the measure is invalid.

GetPortfolioMeasure

public int GetPortfolioMeasure()

Returns the portfolio measure set by the SetPortfolioMeasure() method.

Returns:

the integer value that identifies the portfolio measure

• OCLP_NPV = 1
• OCLP_IRR = 2
• OCLP_PBP = 3