Returns the weights of the assets within the portfolio on the (constraints) Efficient Frontier which has the lowest value of the expected return.
public double[] MinFrontierReturnWeights( 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. Hence, when using this method in conjunction with (double, double, double[][], double[], int, double) calculateEfficientFrontier, for example it is important to ensure that the units for the expected return are used consistently throughout a given application.
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 and EfficientFrontier
we are able to do so with almost no computational overhead.