WebCab Portfolio for COM v5.0 Demo

Markowitz.SetEfficientFrontier Method 

Sets the portfolios which are known to lie on the Efficient Forntier.

public void SetEfficientFrontier(
   double[] expectedReturns,
   double[,] assetWeights
);

Parameters

expectedReturns
An array where the k-term corresponds to the (k+1)-st lowest value of the expected return of teh Portfolios on the Efficient Frontier at the values at which it is known.
assetWeights
An array of dimensional two, where the k-th element is a array which contains the weights of the assets of the Portfolio on the Efficient Frontier with the (k+1)-th lowest values of the expected returns.

Remarks

This allows a portfolio (i.e. point) on the Efficient Frontier which has previously be evaluated to be used within the present analysis. This means for example that a pre-evaluate portfolio on the Efficient Frontier can be persisted by storing the associated expected return and asset weights within a database.

See Also

Markowitz Class | WebCab.COM.Finance.Portfolio Namespace