WebCab Portfolio for .NET v5.0 Demo

Markowitz.GetEfficientFrontierPortfolioRisks Method 

Within this method we evaluate the risks which correspond to the portfolios at the points which the Efficient Frontier is known.

public double[] GetEfficientFrontierPortfolioRisks(
   double[][] covarianceMatrix
);

Parameters

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.

Return Value

The risks of the portfolio at the points at which the Efficient Frontier is known

Remarks

Stateful Nature of this Method

Before this method is called you are required to evaluate the Efficient Frontier by using the method CalculateEfficientFrontier.

See Also

Markowitz Class | WebCab.Libraries.Finance.Portfolio Namespace | GetEfficientFrontierAssetWeights - this associated method evaluates the corresponding weights of the assets of the corresponding portfolios on the Efficient Frontier. | GetEfficientFrontierExpectedReturns - this associated method evaluates the corresponding values of the expected returns of the portfolios on the Efficient Frontier. | Interpolation - within this class we offer methods which allow the Efficient Frontier to be constructed from a finite set of known points. Note that the most widely method by which this is performance and the internal interpolation procedure used here is cubic spline interpolation.