Evaluates the expected return where portfolios on the Efficient Frontier with lower expected returns have higher risk levels.
n X n
, where n
is the number of assets from which the (optimal) portfolio can be constructed.A double equal to the expected return (to a given precision) of the point at which the Efficient Frontier 'curves back on itself'.
We evaluate the value of the expected return for which the Efficient Frontier 'curves back on itself'. For all portfolios on the Efficient Frontier with lower expected returns, there will exist another portfolio on the Efficient Frontier will the same level of risk but with a higher expected return. Therefore, the expected return evaluated here details the effective lower bound for which optimal portfolio should be selected.
@precision the precision used within the evaluation of the additional points of the Efficient Frontier. Note that the precision used here should be the same (or smaller) precision used in the original evaluation of the points of the Efficient Frontier (see CalculateEfficientFrontier).Exception Type | Condition |
---|---|
EfficientFrontierNotCalculatedException | Thrown if the Efficient Frontier has not been evaluated using CalculateEfficientFrontier. |
Markowitz Class | WebCab.Libraries.Finance.Portfolio Namespace