The type PointsOnEfficientFrontier which contains information concerning the risks, expected returns, and asset weights of the portfolios at the points at which the Efficient Frontier is known. Note that the units in which the expected returns will be given will correspond to the units which where used (i.e. relative or absolute) in the evaluation of the Efficient Frontier.
Remarks
That is, it represents a collection
of portfolios which offer the lowest risk for a given expected return. The
PointsOnEfficientFrontier represents the portfolios on the Efficient
Frontier by storing within a complex type the following:
Number of points at which the Efficient Frontier is known
Corresponding values of the expected returns of the points at
which the Efficient Frontier is known
Asset weights of the portfolios at the points at which the
Efficient Frontier is known
Remarks:
The advantage of introducing a complex type is that
once the values of the components have been correctly assigned there would
not arise inconsistencies with the indexing of the expected returns and
portfolio weights within a sequence of method calls. If on the other hand the expected
returns and weights are given by separate arrays then care must always be taken
in the way in which they are indexed within future application.
The risk of the portfolios which correspond to the considered points which
lie on the Efficient Frontier was not included as a component of the complex type
PointsOnEfficientFrontier because the risk is derived from the values of the
expected returns and the corresponding weights of the assets of a portfolio.