This method constructs the optimal portfolios with respect to the investors utility function over the entire range for which the Efficient Frontier exists.
A array of dimension two where each of the array elements contains the weights of the assets of an optimal portfolio on the Efficient Frontier selected with respect to the Investors Utility function. For the n-th array element, the k-th terms cooresponds to the weight of the k-th asset within the n-th optimal portfolio found. If no optimal portfolio was found (i.e. no portfolio was selected from the Efficient Frontier by the investors utility function intersecting) then this method will return an empty array of dimension 2.
That is, we call the method OptimalPortfolio, where the minimum and maximum range of the expected returns are set in accordance with the methods MaxFrontierReturn and MinFrontierReturn.
Remarks:
For further details concerns the construction of the optimal portfolios we refer the reader to the documentation of OptimalPortfolio.
Exception Type | Condition |
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PortfolioException | Thrown if the number of optimal portfolios found is more than 100 . In this instance the investors utility function is probably very close if not identical to the Efficient Frontier over at least a section of the range of the expected returns considered. To address this issue to utility function should be refined so that it is more clearly distinguishable from the Efficient Frontier. Since it is very likely that modulo interpolation errors the utility function is identical to the Efficient Frontier over a section of the expected returns considered which causes the method at present in principal to fail. Anyway, once the Investors Utility function has been refined you will be able to re-apply this method. |
Markowitz Class | WebCab.Libraries.Finance.Portfolio Namespace | Markowitz.OptimalPortfolio Overload List