Returns the weights of the assets within the portfolio on the (constraints) Efficient Frontier which has the highest value of the expected return.
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.
CapitalMarket Class | WebCab.COM.Finance.Portfolio Namespace | MinFrontierReturn