This method returns the array of dimension two which gives the weights of the portfolios on the Efficient Frontier for the collection of points at which it is evaluated.
The asset weights of a portfolios at the points at which the Efficient Frontier is known.
The returned array of dimension two has the following form. For the set of
points for which the Efficient Frontier is known the i
-th point
where the 1
-st point is the point corresponding to the portfolio
with the lowest expected return and the 2
-nd point corresponds to
the portfolio with the next to lowest expected return and so on; portfolios
asset weights are given by returned[i]
, where return
is the array of dimension two returned by this method.
Stateful Nature of this Method
Before this method is called you are required to evaluate the Efficient Frontier by using the method CalculateEfficientFrontier.
Markowitz Class | Portfolio Namespace | GetEfficientFrontierPortfolioRisks - this associated method evaluates the corresponding risks of the portfolios at the set of points at which the Efficient Frontier is known. | GetEfficientFrontierPortfolioRisks - this associated method evaluates the corresponding values of the expected returns of the portfolios on the Efficient Frontier.