WebCab Portfolio Web Services for .NET v5.0 Demo

CapitalMarket.SetAssetWeightsInequalityConstraints Method 

Sets linear inequality constraints on the asset weights of the portfolios from which the Efficient frontier is constructed.

public void SetAssetWeightsInequalityConstraints(
   double[][] inequalityConstraints,
   double[] constant
);

Remarks

Providing the Inequality Constraints

Each of the linear inequality constraints on the assets weights, namely:

c1 * w1 + c2 * w2 + ... + cN * wN + b <= L,
where c1,...,cN are the fixed coefficients of the weights within the inequality, w1,...,wN are the variables of the 1-st up to the N-th asset weight and L is the constant term. For each such inequality you wish to place on the asset weights you are required to populate the 2-dimensional array equalityConstraints, with the array:

{ c1,...,cN }

and the array constant with the value L. Note that index in the above array within the 2-dimensional array equalityConstraints and the location of the value L within the array constant, should have same index.

See Also

CapitalMarket Class | Portfolio Namespace