WebCab Portfolio for COM v5.0 Demo

SolveFrontier.FindRisk Method 

Evaluates the risk of the portfolio on the Efficient Frontier which has a given expected return.

public double FindRisk(
   double expectedReturn,
   double[] riskPoints,
   double[] returnPoints
);

Parameters

expectedReturn
The value of the expected return of the portfolio on the Efficient Frontier for which the risk will be evaluated.
riskPoints
An array of doubles where the first term is the lowest value of the risk from the set of points at which the Efficient Frontier is known, the second term is the next lowest value of the risk and so on.
returnPoints
An array of doubles where the first term is the lowest value of the return from the set of points at which the Efficient Frontier is known, the second term is the next lowest values of the return and so on.

Remarks

Remarks:

  1. Since the Efficient Frontier is monotonically increasing in risk against return any possible value of the expected return will correspond on a unique value of the risk of the portfolio on the Efficient Frontier.
  2. For details concerning how to evaluated the weights of the assets within the portfolio on the Efficient Frontier with a given maximum risk please see the SolveFrontier class API documentation.

Notes on the input Parameters

A set of points on the Efficient Frontier should be evaluated using methods from the Markowitz class, in particular:

  1. riskPoints - the values of the (known) risk points on the Efficient Frontier are evaluated using the method GetEfficientFrontierPortfolioRisks
  2. returnPoints - the values of the (known) return points on the Efficient Frontier are evaluated using the method GetEfficientFrontierExpectedReturns

Note: Alternatively you may choose to use the complex type PointsOnEfficientFrontier, and the related methods from the portfolio class in order to find the set of points on the efficient frontier for which it is evaluated.

Exceptions

Exception TypeCondition
InterpolationExceptionThrown when there does not correspond a point on the interpolation function corresponding to the parameters given.
ReferencedServiceExceptionThrown if an error occurs while invoking methods of another class.

See Also

SolveFrontier Class | WebCab.COM.Finance.Portfolio Namespace | FindRisk