WebCab Portfolio (J2EE Edition).Markowitz & Capital Asset Pricing Model (CAPM).
Analyze & Construct the Optimal Portfolio with/without Asset Weight
Apply the Markowitz Theory and Capital Asset Pricing Model (CAPM) to analyze and
construct the optimal portfolio with/without asset weight constraints with
respect to Markowitz Theory by giving the risk, return or investors utility
function; or with respect to CAPM by given the risk, return or Market Portfolio
weighting. Also includes Performance Evaluation, extensive auxiliary
classes/methods including equation solve and interpolation procedures, analysis
of Efficient Frontier, Market Portfolio and CML. See Also:
Other Portfolio Editions
|
Bonds Editions
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Option and Futures
Editions
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WebCab Portfolio (J2EE Edition)
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Product Details
This suite includes the following
features:
-
Markowitz Model -
Construct optimally diversified portfolios.
-
Efficient Frontier -
Construct the Efficient Frontier with or without constraints on the asset
weights.
-
Utility Function -
Discover and set the investors utility function.
-
Optimal Portfolio -
Select the optimal portfolio or set of portfolios by providing the expected
return desired, the maximum risk or the investors utility function.
-
Capital Asset Pricing Model (CAPM)
- Construct optimally diversified portfolios with can hold or borrow cash.
-
Efficient Frontier -
Construct the Efficient Frontier with or without constraints on the asset
weights.
-
Market Portfolio - Find
the Market Portfolio which offer the greater expected return per unit of
risk.
-
Capital Market Line (CML)
- Construct the CML with contains the optimal portfolio with respect to the
CAPM.
-
Selecting Optimal Portfolio
- Select the optimal portfolio by given expected return, risk or the Market
Portfolio weighting.
-
Analysis of Optimal
Portfolio - Evaluate the risk, expected return or Market Portfolio
weighting of the optimal portfolio whenever one of these three properties is
known.
-
Auxiliary Classes
-
Interpolation - Cubic
spline and general polynomial interpolation procedures to assist in the
study and manipulation of curves such as the Efficient Frontier which are
evaluated at a finite number of points.
-
SolveFrontier - Solve
the Efficient Frontier with respect to the risk, return, or the investors
utility function which may be given as a function of the risk or the
expected return.
-
TwoAssetPortfolio -
Evaluate of the optimal weighting of a portfolio with two assets. This
functionality can be used to analyze the effect of a single purchase or sale
from an arbitrary portfolio
-
AssetParameters -
Evaluation of the covariance matrix, expected return, volatility, portfolio
risk/variance, ARCH model for expected price.
-
MaxRange - Evaluates the
maximum range of the values of the expected return for which Efficient
Frontier should be considered when the historical data set does is not
consistent within the assumptions of Markowitz Theory and CAPM.
-
Performance Evaluation -
Offers a number of procedures for accessing the return and risk adjusted
return (Treynors Measure, Sharpes Ratio).
This product also contains the following features:
-
GUI Bundle - we bundle a
suite of graphical user interface JavaBean components (with 1, 2, 4 or
site-wide license) allowing the developer to plug-in a wide range of GUI
functionality (including charts/graphs) into their client applications
-
EAR Files - we provide
individual customized EAR files for the most widely used application servers
including IBM WebSphere 4.0/5.0, BEA WebLogic 6.1/7.0, Oracle 9iAS, Sun ONE
AppServer 7, Ironflare Orion 1.5.2/1.6.0, Borland AppServer 5.0, Sybase
EAServer 3.6 and JBoss 2.4.4/3.0.0
-
Self-Deploy - the relevant
servers EAR file will be self-deployed onto supported local application
servers during the installation of the self-install package. The supported
application servers include IBM WebSphere 4.0/5.0, BEA WebLogic 6.1/7.0,
Oracle 9iAS, Borland AppServer 5.0, Ironflare Orion 1.5.2/1.6.0 and JBoss
2.4.4/3.0.0
-
UML Models - to assist
system architects we provide UML diagrams of this component
Click to view the JavaDocs
See Also: Other Portfolio Editions
| Bonds Editions
|
Option and Futures
Editions
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