WebCab Portfolio for .NET v5.0 Demo

AssetParameters.IntermediateValue Method 

Evaluates a point within the range over which the Efficient Frontier exists which lies ratio percent of the entire range from the lower bound and the (100-ratio) percent of the entire range from the upper bound.

public double IntermediateValue(
   double upperBound,
   double lowerBound,
   double ratio
);

Parameters

upperBound
The value of the expected return at the upper bound over which the Efficient Frontier exists.
lowerBound
The value of the expected return at the lower bound over which the Efficient Frontier exists.
ratio
A double between with [0,100] which determines the.

Remarks

Application

This method is useful in client applications where you wish to determine the point at which (for example) the Efficient Frontier is evaluated by qualitative rather than quantitative means. The advantage of taking this approach is that you are able to describe the qualitative information in a way that if you change the source data used, namely the historical returns then the qualitative information is still preserved. If on the other hand you encoded a point as a value then if you change the source data you would need to modify the point in order to preserve its relative position.

Examples

  1. When ratio = 50, the point found will be the mid-point between the two extremes of the range over which the Efficient Frontier exists.
  2. When ratio = 20, the point found will be four times the distance to the upper bound than the lower bound of the extremes of the expected returns over which the Efficient Frontier exists.
  3. When ratio = 0, the point found is just the lower bound of the expected return over which the Efficient Frontier exists.
  4. When ratio = 100, the point found is just the upper bound of the expected return over which the Efficient Frontier exists.

See Also

AssetParameters Class | WebCab.Libraries.Finance.Portfolio Namespace