WebCab Portfolio for .NET v5.0 Demo

Markowitz.TurningPointExpectedReturn Method 

Evaluates the expected return where portfolios on the Efficient Frontier with lower expected returns have higher risk levels.

public double TurningPointExpectedReturn(
   double[] expectedReturns,
   double[][] covarianceMatrix,
   double precision,
   int iterations
);

Parameters

expectedReturns
The array of the expected returns of the assets from which the portfolios can be constructed. Where the k-th term will corresponds to the percentage return (i.e. 1 percent = 0.01) or the absolute return of the k-th asset, depending on the convention used, of the set of assets from which the Portfolios (on the Efficient Frontier) can be constructed.
covarianceMatrix
The covariance matrix of the assets from which the (optimal) portfolio can be constructed. The dimensions of the (symmetric) covariance matrix will be n X n, where n is the number of assets from which the (optimal) portfolio can be constructed.
precision
iterations

Return Value

A double equal to the expected return (to a given precision) of the point at which the Efficient Frontier 'curves back on itself'.

Remarks

We evaluate the value of the expected return for which the Efficient Frontier 'curves back on itself'. For all portfolios on the Efficient Frontier with lower expected returns, there will exist another portfolio on the Efficient Frontier will the same level of risk but with a higher expected return. Therefore, the expected return evaluated here details the effective lower bound for which optimal portfolio should be selected.

@precision the precision used within the evaluation of the additional points of the Efficient Frontier. Note that the precision used here should be the same (or smaller) precision used in the original evaluation of the points of the Efficient Frontier (see CalculateEfficientFrontier).

Exceptions

Exception TypeCondition
EfficientFrontierNotCalculatedExceptionThrown if the Efficient Frontier has not been evaluated using CalculateEfficientFrontier.

See Also

Markowitz Class | WebCab.Libraries.Finance.Portfolio Namespace