WebCab Portfolio (J2EE Edition)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.  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
- JDBC Mediator - A server side EJB component which mediates between an EJB component, clients and DBMS. The mediator moves most of a clients JDBC calls to the server and hence greatly increases the speed of JDBC client applications.
- Web Application Example - A JSP interactive HTML interface which enables you to test every component method directly from your browser.
- Synthetic JDBC - we use a JSP component to perform EJB calculations on SQL database columns from a remote DBMS. We apply an EJB function to certain rows from the database and list the output in HTML format. This is a powerful feature since it allows you to perform calculations in a JDBC manner without having to code the EJB-to-JDBC transaction yourself as it is all done by the JSP within the Application Server.
- UML Models - to assist system architects we provide UML diagrams of this component
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