Finds the Market Portfolio by searching over the entire range of the Efficient Frontier.
n X n
, where n
is the number of assets from which the (optimal) portfolio can be constructed.For more details concerning the issues effecting the constraints, efficiency, number of interpolation points use and so on...; we refer the reader to the documentation for the method MarketPortfolio. As mentioned above the only difference with the aforementioned method at that here the range of the expected returns have been set as detail below.
Range over which the Expected Returns are set
The range over which the expected returns are set and hence the (constrained) Efficient Frontier is evaluated can be evaluated by using the methods MinFrontierReturn, MaxFrontierReturn; in order to evaluate the minimum and maximum of the continuous range of the expected return over which the Efficient Frontier exists for the given set of assets considered. Note that with this procedure we have set the range over which the Efficient Frontier is constructed to be equal to this largest possible range.
Dependency of this Construction
The Market Portfolio is found by searching along the (possibly constrained) Efficient Frontier and therefore before this methods is called and the Market Portfolio sort; the constraints on the assets should be set and the corresponding the Efficient Frontier should be constructed. You are able to set the constraints on the asset weights by calling SetConstraints, and then the (possibly constrained) Efficient Frontier over the entire possible range of values of the expected returns can be constructed by calling the method: CalculateEfficientFrontier. Please note that if the Efficient Frontier most be constructed over the entire possible range of expected returns because the interval over which it is constructed must be at least as big as the interval over which the Market Portfolio is sort which here in the entire range.
CapitalMarket Class | Portfolio Namespace | CapitalMarket.MarketPortfolio Overload List | MarketPortfolio | MinFrontierReturn | MaxFrontierReturn