WebCab Portfolio for .NET v5.0 Demo

CapitalMarket.MinFrontierReturnWeights Method 

Returns the weights of the assets within the portfolio on the (constraints) Efficient Frontier which has the highest value of the expected return.

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

Parameters

expectedReturns
The array of the expected returns of the assets from which the portfolios can be constructed. Where the k-th term will correspond to the percentage return (i.e. 1 percent = 1) or the absolute return of the k-th asset from the set of assets from which the Portfolios (on the Efficient Frontier) can be constructed.

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 lower 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, we are able to do so with almost no computational overhead.

See Also

CapitalMarket Class | WebCab.Libraries.Finance.Portfolio Namespace | MinFrontierReturn