WebCab Portfolio Web Services for .NET v5.0 Demo

SolveFrontier.FindReturn Method 

Evaluates the expected return of a portfolio on the efficient frontier which has a given level of risk.

public double FindReturn(
   double risk,
   double[] riskAtPoints,
   double[] returnAtPoints
);

Parameters

risk
The value of the portfolio risk of a portfolio on the efficient frontier for which the corresponding expected return will be evaluated.
riskAtPoints
returnAtPoints

Remarks

Remark:

  1. Since the Efficient Frontier is monotonically increasing in risk against return any possible value of the expected return will correspond on a unique value of the risk of the portfolio on the Efficient Frontier.
  2. For details concerning how to evaluated the weights of the assets within the portfolio on the Efficient Frontier with a given expected return please see the SolveFrontier class API documentation.

Notes on the input Parameters

A set of points on the Efficient Frontier should be evaluated using methods from the Markowitz XML Web service, in particular:

  1. riskPoints - the values of the (known) risk points on the Efficient Frontier are evaluated using the method GetEfficientFrontierPortfolioRisks
  2. returnPoints - the values of the (known) return points on the Efficient Frontier are evaluated using the method GetEfficientFrontierExpectedReturns

Note: Alternatively you may choose to use the complex type PointsOnEfficientFrontier, and the related methods from the portfolio class in order to find the set of points on the efficient frontier for which it is evaluated.

Exceptions

Exception TypeCondition
InterpolationExceptionThrown when there does not correspond a points on the interpolation function corresponding to the parameters given.
ReferencedServiceExceptionThrown if an error occurs while invoking methods of another XML Web service.

See Also

SolveFrontier Class | Portfolio Namespace | FindReturn