This method calls the CalculateEfficientFrontier by setting the range of the expected returns over which the Efficient Frontier is evaluated to be the entire range over which the (constrained) Efficient Frontier exists.
n X n
, where n
is the number of assets from which the (optimal) portfolio can be constructed.1E-2
and 1E-10
. Note as with most numerical procedures the higher the precision the more computationally intensive the algorithm will become. The precision must be set to be a positive number less than 1; where a number of the magnitude 1E-6
will result in high precision and a number of the magnitude 1E-3
will result in rapid execution and acceptable precision for most purposes. Further details are provided within the Programmer's guide chapter of the PDF documentation.For more details concerning the issues effecting the constraints, efficiency, number of interpolation points use and so on...; we refer the reader to the documentation for the method CalculateEfficientFrontier. As mentioned above the only difference with the aforementioned method at that here the range of expected returns have been set in the fashion as detail below.
Range of Expected Returns
The range over which the (constrained) Efficient Frontier is evaluated can be evaluated by using the methods MinFrontierReturn, MaxFrontierReturn; in order to evaluate the minimum and maximum of the continuous range of the expected return over which the Efficient Frontier exists for the given set of assets considered. Note that with this procedure we have set the range over which the Efficient Frontier is constructed to be equal to this largest possible range.
Markowitz Class | Portfolio Namespace | Markowitz.CalculateEfficientFrontier Overload List