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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

getada1(ADA, A,Ajc2,perm, d, blkstart)
%                                 ADA = getada1(ADA, A,Ajc2,perm, d, blkstart)
% GETADA1  Compute ADA(i,j) = (D(d^2; LP,Lorentz)*A.t(:,i))' *A.t(:,j),
%   and exploit sparsity as much as possible.
%   Ajc2 points just beyond LP/Lorentz nonzeros for each column
%   blkstart = K.qblkstart partitions into Lorentz blocks.
%   IMPORTANT 1: only LP and sparse Lorentz part. PSD part ignored altogether.
%   For Lorentz, it uses only det(dk) * ai[k]'*aj[k].
%   IMPORTANT 2: Computes ADA only on triu(ADA(Aord.lqperm,Aord.lqperm)).
%     Remaining entries are set to 0. (CAUTION: sparse(ADA) will therefore
%     destroy the sparsity structure !).
% ******************** INTERNAL FUNCTION OF SEDUMI ********************
% See also sedumi, getada2, getada3

function ADA = getada1(ADA, A,Ajc2,perm, d, blkstart)
% 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

disp('The SeDuMi binaries are not installed.')
disp('In Matlab, launch "install_sedumi" in the folder you put the SeDuMi files.')
disp('For more information see the file Install.txt.')
error(' ')

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