PortfolioOptimizer

This library solves financial optimization problems.

Minimum Variance Portfolio

Determines the risk-minimal investment weights of N assets, such as shares.

Let's say you have share A and share B with the following standard deviations:

Share A: 0.2
Share B: 0.3

And the following correlation coefficient matrix:

    A    B
A [1.0, 0.0]
B [0.0, 1.0]

Then, the risk-minimal investment weights are:

Share A: ~69% 
Share B: ~31%

Usage:

import com.michaelkunzmann.portfoliooptimizer.PortfolioOptimizer;

...
PortfolioOptimizer opt = new PortfolioOptimizer();
final double[] stddevs = {0.2, 0.3};
final double[][] corrCoeffs = {
		{1.0, 0.0},
		{0.0, 1.0}
};
double[] riskMinimalWeights = opt.mvp(stddevs, corrCoeffs);

Other stuff to follow...

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