WebCab Portfolio for COM v5.0 Demo

CapitalMarket.MaxFrontierWithConstraintsReturn Method 

Calculates the upper bound of the expected return of the (constrained) Efficient Frontier when linear asset weight constraints has been set using SetAssetWeightsInequalityConstraints or SetAssetWeightsEqualityConstraints.

public double MaxFrontierWithConstraintsReturn(
   double[,] cov,
   double[] expectedReturns,
   double precision
);

Return Value

The upper bound of the expected return in decimal format (i.e. 1 percent = 0.01) over which the Efficient Frontier exists.

Remarks

Note: If only upper and lower bound constraints have been set on the asset weights using SetConstraints, then the upper bound of the Efficient Frontier can be evaluated using MaxFrontierReturn.

See Also

CapitalMarket Class | WebCab.COM.Finance.Portfolio Namespace