WebCab Portfolio Web Services for .NET v5.0 Demo

EasyOptimal.MarkowitzReturn Method 

Finds the weights of the (risky) assets of the portfolio with the lowest risk for a given expected return constructed from the available assets.

public double[] MarkowitzReturn(
   double expectedReturn,
   double[] lowerBounds,
   double[] upperBounds,
   double[][] historicalreturns,
   double precision
);

Parameters

expectedReturn
The value of the expected return for which the Efficient Frontier is evaluate and the optimal portfolio (i.e. the portfolio with the lower risk) asset weights are returned. Please note that the units in which the expected return is given should correspond to the units used (i.e. relative or absolute) used in order to evaluate the Efficient Frontier.
lowerBounds
An array where the i-th term corresponds to the lower bound on the weights (i.e. lies in the closed interval [0,1]) of the i-th asset from the collection of assets from which the portfolios can be constructed. Note that the length of this array must equal the number of assets from which the portfolios can be constructed.
upperBounds
An array where the i-th term corresponds to the upper bound on the weights (i.e. lies in the closed interval [0,1]) of the i-th asset from the collection of assets from which the portfolios can be constructed. Note that the length of this array must equal the number of assets from which the portfolios can be constructed.
historicalreturns
precision
This parameters allow the level of the precision required to be set, where the small the parameters the (generally) higher the precision.

See Also

EasyOptimal Class | Portfolio Namespace