WebCab Portfolio for COM v5.0 Demo

AssetParameters Class

Provides procedures for the evaluation of various quantities which are required within the application of this Component.

For a list of all members of this type, see AssetParameters Members.

System.Object
   AssetParameters

public class AssetParameters

Remarks

These parameters include:

Note: Further methods for the evaluation of the Volatility are provided within the Volatility class.

Remarks on using Absolute or Relative Values

Within the application of portfolio theory using this component you have the option of using either relative (i.e. percentage) or absolute values. However, which ever unit convention you choose you will need to apply the convention consistently throughout the given application. The reason for this is that some of the quantities considered within portfolio theory are are dependent upon the unit. In particular, the following two quantities will need to use the corresponding units of measurement throughout a given application:

  1. Historical Values: This is the source data which is given in absolute or relative terms.
  2. Expected Returns: The expected return of the investment over the period considered which should be given and will be returned in the units used (i.e. absolute or relative) by the historical values.

These units in turn will effect the following objects:

  1. Utility Function: The values of the expected returns provided within the definition of the utility function should be in accordance with the units used to describe the historical values.
  2. Efficient Frontier: The values of the expected return which are either evaluated or given will be or will need to be in accordance with the units used within the historical values.

Therefore, whenever wishing to apply our portfolio component you should decide for the beginning whether you wish to use absolute or relative values and then stick to this choice for the remainder of the application.

It should also be pointed out that some quantities do not depend on the units used and so will be the same whichever convention is used. In particular, the asset weights are unit-less and hence the weighting of the asset within the optimal portfolio are not effected (as one might expect) by the units convention used.

Requirements

Namespace: WebCab.COM.Finance.Portfolio

Assembly: WebCab.COM.PortfolioDemo (in WebCab.COM.PortfolioDemo.dll)

See Also

AssetParameters Members | WebCab.COM.Finance.Portfolio Namespace