WebCab Portfolio for .NET v5.0 Demo

EasyOptimal.MarkowitzRisk Method 

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

public double[] MarkowitzRisk(
   double risk,
   double[] lowerBounds,
   double[] upperBounds,
   double[][] historicalReturns,
   int interpolationPoints,
   double precision
);

Parameters

risk
The risk for which the corresponding optimal portfolio will be found.
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
This array of dimension two is the historical returns in absolute (i.e. market price) or relative (i.e. percentage change) terms of the assets from which the optimal portfolio can be constructed. The n-th element of the 2-dimensional array is an array, where the k-th term on this array is the historical return of the n-th assets in the k-th period before the present periods return.
interpolationPoints
The number of tabulation point which are used to represent the Efficient Frontier.
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 | WebCab.Libraries.Finance.Portfolio Namespace