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Risk and Asset Allocation

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Risk and Asset Allocation


Attilio Meucci (view profile)


16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

%                                      DAt = getDAtm(A,Ablkjc,dense,DAtdenq,d,K)
% GETDATM  Computes d[k]'*Aj[k] for each lorentz block k and constraint j.
% ******************** INTERNAL FUNCTION OF SEDUMI ********************
% See also sedumi, getada2.

function DAt = getDAtm(A,Ablkjc,dense,DAtdenq,d,K)
% This file is part of SeDuMi 1.1 by Imre Polik and Oleksandr Romanko
% Copyright (C) 2005 McMaster University, Hamilton, CANADA  (since 1.1)
% Copyright (C) 2001 Jos F. Sturm (up to 1.05R5)
%   Dept. Econometrics & O.R., Tilburg University, the Netherlands.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
% Affiliation SeDuMi 1.03 and 1.04Beta (2000):
%   Dept. Quantitative Economics, Maastricht University, the Netherlands.
% Affiliations up to SeDuMi 1.02 (AUG1998):
%   CRL, McMaster University, Canada.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
% This program is free software; you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation; either version 2 of the License, or
% (at your option) any later version.
% This program is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% GNU General Public License for more details.
% You should have received a copy of the GNU General Public License
% along with this program; if not, write to the Free Software
% Foundation, Inc.,  51 Franklin Street, Fifth Floor, Boston, MA
% 02110-1301, USA
nq = length(K.q);
DAt.q = extractA(A,Ablkjc,1,2,K.mainblks(1),K.mainblks(2));
if nq > 0
    DAt.q = spdiags(d.q1,0,nq,nq) * DAt.q;
    DAt.q = DAt.q + ddot(d.q2, A, K.qblkstart, Ablkjc);
DAt.denq = adendotd(dense,d,DAt.q(dense.q,:)',DAtdenq,K.qblkstart);
if ~isempty(dense.q)
    DAt.q(dense.q,:) = 0.0;

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