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Markowitz.MinFrontierReturn Method 

Returns the expected return of the portfolio on the Efficient Frontier with the lowest value of the expected return.

public double MinFrontierReturn(
   double[] expectedReturns
);

Parameters

expectedReturns
The array of the expected returns of the assets in absolute or relative terms from which the portfolios can be constructed. Where the k-th term corresponds to the expected return of the k-th asset.Note that the units used for the expected return will determine the units of the returned result. Hence, when using this method in conjunction with CalculateEfficientFrontier, for example it is important to ensure that the units for the expected return are used consistently throughout a given application.

Remarks

Advantage of this approach

The distinct advantage of this approach is that in conjunction with the method MinFrontierReturnWeights we are able to evaluate a point (at the lower end of the extremum of the expected returns) corresponding to a portfolio on the Efficient Frontier. Where unlike the situation with the optimization procedures CalculateEfficientFrontier and EfficientFrontier we are able to do so with almost no computational overhead.

See Also

Markowitz Class | Portfolio Namespace | MinFrontierReturnWeights