WebCab Portfolio for .NET v5.0 Demo

Markowitz.GetEfficientFrontierExpectedReturns Method 

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.

public double[] GetEfficientFrontierExpectedReturns();

Return Value

The expected returns of the portfolios at the points at which the Efficient Frontier is known.

Remarks

By using this method in conjunction with GetEfficientFrontierPortfolioRisks you are able to plot the Efficient Frontier for a set on points where the expected returns are plotted against the total risk. Moreover, by interpolating this set of points using Interpolation we are able to evaluate the coordinate values of the expected return and risk at an arbitrary point of the Efficient Frontier.

Stateful Nature of this Method

Before this method is called you are required to evaluate the Efficient Frontier by using the method CalculateEfficientFrontier.

Exceptions

Exception TypeCondition
EfficientFrontierNotCalculatedExceptionThrown if the Efficient Frontier has not been evaluated using CalculateEfficientFrontier.

See Also

Markowitz Class | WebCab.Libraries.Finance.Portfolio Namespace | GetEfficientFrontierAssetWeights - this associated method evaluates the corresponding weights of the assets of the corresponding portfolios on the Efficient Frontier. | GetEfficientFrontierPortfolioRisks - this associated method evaluates the corresponding risks of the portfolios at the set of points at which the Efficient Frontier is known. | Interpolation class offers methods which allow the Efficient Frontier to be constructed from a finite set of known points. Note that the most widely method by which this is performance and the internal interpolation procedure used here is cubic spline interpolation.