WebCab Portfolio for COM v5.0 Demo

CapitalMarket.SetAssetWeightsInequalityConstraints Method 

Sets linear inequality constraints on the asset weights of the portfolios from which the Efficient frontier is constructed.

public void SetAssetWeightsInequalityConstraints(
   double[,] inequalityConstraints,
   double[] constant
);

Remarks

Providing the Inequality Constraints

Each of the linear inequality constraints on the assets weights, namely:

c1 * w1 + c2 * w2 + ... + cN * wN + b <= L,
where c1,...,cN are the fixed coefficients of the weights within the inequality, w1,...,wN are the variables of the 1-st up to the N-th asset weight and L is the constant term. For each such inequality you wish to place on the asset weights you are required to populate the 2-dimensional array equalityConstraints, with the array:

{ c1,...,cN }

and the array constant with the value L. Note that index in the above array within the 2-dimensional array equalityConstraints and the location of the value L within the array constant, should have same index.

See Also

CapitalMarket Class | WebCab.COM.Finance.Portfolio Namespace