WebCab Portfolio Web Services for .NET v5.0 Demo

Markowitz.MaxFrontierReturnWeights Method 

Returns the weights of the assets of the portfolio on the (constrained) Efficient Frontier with the highest value of the expected return.

public double[] MaxFrontierReturnWeights(
   double[] expectedReturns
);

Parameters

expectedReturns
The array of the expected returns of the assets in absolute or relative terms from which the portfolios can be constructed. Where the k-th term corresponds to the expected return of the k-th asset. Note that the units used for the expected return will determine the units of the returned result. It is also important to point out that within any application the units for the expected returns should be used consistently throughout.

Remarks

Advantage of this approach

The distinct advantage of this approach is that in conjunction with the method minFrontierReturn we are able to evaluate a point (at the upper end of the extremum of the expected returns) corresponding to a portfolio on the Efficient Frontier. Where unlike the situation with the optimization procedures CalculateEfficientFrontier and EfficientFrontier we are able to do so with almost no computational overhead.

See Also

Markowitz Class | Portfolio Namespace | MaxFrontierReturn