WebCab Portfolio for .NET v5.0 Demo

Markowitz Members

Markowitz overview

Public Instance Constructors

Markowitz Constructor Creates a new Markowitz instance.

Public Instance Methods

CalculateEfficientFrontierOverloaded. Calculates the interpolation points used in order to construct the Efficient Frontier with a given range of expected returns for a collection of assets from which the optimal portfolio can be constructed.
CovarianceMatrixOverloaded. Deprecated.
EfficientFrontierOverloaded. Returns the (possibly constrained) weights of the assets of the portfolio which offers the least risk for a given expected return.
Equals (inherited from Object)Determines whether the specified Object is equal to the current Object.
ExpectedReturnsOverloaded. Deprecated.
GetEfficientFrontierAssetWeights This method returns the array of dimension two which gives the weights of the portfolios on the Efficient Frontier for the collection of points at which it is evaluated.
GetEfficientFrontierExpectedReturns Returns the value of the expected return at the set of points along which the Efficient Frontier has been evaluated and set to a private field.
GetEfficientFrontierPortfolioRisks Within this method we evaluate the risks which correspond to the portfolios at the points which the Efficient Frontier is known.
GetHashCode (inherited from Object)Serves as a hash function for a particular type, suitable for use in hashing algorithms and data structures like a hash table.
GetLowerConstraints Returns the values of the lower bound constraints on the asset weights set by SetConstraints.
GetPointsOnEfficientFrontier This methods returns the complex type PointsOnEfficientFrontier which represents points on the Efficient Frontier.
GetType (inherited from Object)Gets the Type of the current instance.
GetUpperConstraints Returns the values of the upper bound constraints on the asset weights set by SetConstraints.
MaxFrontierReturn Evaluates the expected return of the portfolio on the (constrained) Efficient Frontier with the highest value of the expected return.
MaxFrontierReturnWeights Returns the weights of the assets of the portfolio on the (constrained) Efficient Frontier with the highest value of the expected return.
MinFrontierReturn Returns the expected return of the portfolio on the Efficient Frontier with the lowest value of the expected return.
MinFrontierReturnWeights Returns the weights of the assets within the portfolio on the (constraints) Efficient Frontier which has the lowest value of the expected return.
OptimalPortfolioOverloaded. Evaluates the set of (possibly constrained) portfolios on the Efficient Frontier which are optimal with respect to the investors utility function.
OptimalPortfolioMaxExpected Calculates the (possibly constrained) portfolio on the Efficient Frontier which offers the maximum expected return from the set of portfolios which are selected from the Efficient Frontier by the investors utility function.
PortfolioRisk Deprecated.
PortfolioVariance Deprecated.
SetConstraints Here we allow constraints to be placed on the weights of the assets from which the portfolios within the Efficient Frontier will be constructed.
SetEfficientFrontier Sets the portfolios which are known to lie on the Efficient Forntier.
SetUtilityFunctionInterp Sets the utility function which defines an investors preferred risk - expected return profile.
SetUtilityFunctionPoly Sets the utility function which defines the investors preferred risk-return profile.
ToString (inherited from Object)Returns a String that represents the current Object.
TurningPointExpectedReturn Evaluates the expected return where portfolios on the Efficient Frontier with lower expected returns have higher risk levels.
TurningPointRisk Returns the risk of the portfolio on the Efficient Frontier, where portfolios on the Efficient Frontier with lower expected returns have higher risk.

Protected Instance Methods

Finalize (inherited from Object)Allows an Object to attempt to free resources and perform other cleanup operations before the Object is reclaimed by garbage collection.
MemberwiseClone (inherited from Object)Creates a shallow copy of the current Object.

See Also

Markowitz Class | WebCab.Libraries.Finance.Portfolio Namespace