Evaluates a point within the range over which the Efficient Frontier exists which lies ratio
percent of the entire range from the lower bound and the (100-ratio)
percent of the entire range from the upper bound.
[0,100]
which determines the.This method is useful in client applications where you wish to determine the point at which (for example) the Efficient Frontier is evaluated by qualitative rather than quantitative means. The advantage of taking this approach is that you are able to describe the qualitative information in a way that if you change the source data used, namely the historical returns then the qualitative information is still preserved. If on the other hand you encoded a point as a value then if you change the source data you would need to modify the point in order to preserve its relative position.
ratio = 50
, the point found will be the mid-point between the
two extremes of the range over which the Efficient Frontier exists.
ratio = 20
, the point found will be four times the distance to
the upper bound than the lower bound of the extremes of the expected returns over which
the Efficient Frontier exists.
ratio = 0
, the point found is just the lower bound of the
expected return over which the Efficient Frontier exists.
ratio = 100
, the point found is just the upper bound of the
expected return over which the Efficient Frontier exists.
AssetParameters Class | WebCab.Libraries.Finance.Portfolio Namespace