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CapitalMarket Methods

The methods of the CapitalMarket class are listed below. For a complete list of CapitalMarket class members, see the CapitalMarket Members topic.

Public Instance Methods

CalculateEfficientFrontierOverloaded. Constructs the Efficient Fonrtier over a given range of the expected return.
Equals (inherited from Object)Determines whether the specified Object is equal to the current Object.
GetEfficientFrontierAssetWeights Returns the array of dimension two containing the weights of the known portfolios on the Efficient Frontier.
GetEfficientFrontierExpectedReturns Returns the value of the expected return at the set of points along which the Efficient Frontier has been evaluated and set to a private field.
GetEfficientFrontierPortfolioRisks Evaluates the risk of the portfolios at the points the Efficient Frontier have been constructed.
GetHashCode (inherited from Object)Serves as a hash function for a particular type, suitable for use in hashing algorithms and data structures like a hash table.
GetLowerConstraints Returns the values of the lower bound constraints on the asset weights set by SetConstraints.
GetPointsOnEfficientFrontier Returns the complex type PointsOnEfficientFrontier which represents points on the Efficient Frontier.
GetType (inherited from Object)Gets the Type of the current instance.
GetUpperConstraints Returns the values of the upper bound constraints on the asset weights set by SetConstraints.
MarketPortfolioOverloaded. Constructs the Market Portfolio and returns the portfolios asset weights.
MarketPortfolioExpectedReturnOverloaded. Evaluates the expected return of the Market Portfolio when the asset weights of the Market Portfolio are known.
MarketPortfolioRiskOverloaded. Evaluates the total risk of the Market Portfolio.
MaxFrontierReturn Evaluates the expected return of the portfolio on the (constrained) Efficient Frontier with the highest value of the expected return.
MaxFrontierReturnWeights Returns the weights of the assets of the portfolio on the (constrained) Efficient Frontier with the highest value of the expected return.
MaxFrontierWithConstraintsReturn Calculates the upper bound of the expected return of the (constrained) Efficient Frontier when linear asset weight constraints has been set using SetAssetWeightsInequalityConstraints or SetAssetWeightsEqualityConstraints.
MinFrontierReturn Returns the expected return of the portfolio on the Efficient Frontier with the lowest value of the expected return.
MinFrontierReturnWeights Returns the weights of the assets within the portfolio on the (constraints) Efficient Frontier which has the highest value of the expected return.
MinFrontierWithConstraintsReturn Calculates the lower bound of the expected return of the (constrained) Efficient Frontier when linear asset weight constraints has been set using SetAssetWeightsInequalityConstraints or SetAssetWeightsEqualityConstraints.
ReturnCML Find the corresponding value of the expected return of the portfolio on the Capital Market Line (CML) when the total risk is known.
RiskCML Calculates the risk of the optimal Capital Market Line (CML) portfolio for a given expected return.
SetAssetWeightsEqualityConstraints Sets linear equality constraints of the asset weights of the portfolios from which the Efficient frontie is constructed.
SetAssetWeightsInequalityConstraints Sets linear inequality constraints on the asset weights of the portfolios from which the Efficient frontier is constructed.
SetConstraints Sets upper and lower bounds on the weights of the assets from which the optimal portfolios can be constructed.
ToString (inherited from Object)Returns a String that represents the current Object.
Weight2Risk Evaluates the total risk of a portfolio on the CML when the weighting of the Market Portfolio within the portfolio selected for the CML is known.
WeightCML For a given level of the expected return we evaluate the proportion of the investors wealth to invest in the Market Portfolio (as constructed in MarketPortfolio) such that we have the Capital Market Line (CML) portfolio which offers to lowest risk for the given level of the expected return.

Protected Instance Methods

Finalize (inherited from Object)Allows an Object to attempt to free resources and perform other cleanup operations before the Object is reclaimed by garbage collection.
MemberwiseClone (inherited from Object)Creates a shallow copy of the current Object.

See Also

CapitalMarket Class | Portfolio Namespace