WebCab Portfolio for COM v5.0 Demo

AssetParameters.PortfolioExpectedReturn Method 

Evaluates the expected return of a Portfolio where the expected returns of the assets within the portfolio and the weighting of those asset is known.

public double PortfolioExpectedReturn(
   double[] weights,
   double[] expectedReturns
);

Parameters

weights
weights[i] is the weight for i-th asset. Note that, weights[0] + weights[1] + ... + weights[N - 1] = 1, where each weight lies in the interval [0,1].
expectedReturns
An array of doubles where the n-th terms is expected return of the n-th asset from with the portfolio is constructed.

Remarks

Evaluating the Assets Weights and Expected Returns

When applying this method you will need to provide:

  1. The weights of the assets within the portfolio
  2. The expected returns of those assets.

The weights of the assets can be evaluated by dividing the market value of an asset within the portfolio by the total market value of the entire portfolio. For example, if a given asset within the portfolio has a market value of $200,000; and the total portfolio (including the asset being considered) has a market value of $1,000,000; then the market weighting of the asset is 0.2.

In order to evaluate the expected returns of the asset we suggest that you use one of the following methods from this class, namely:

  1. Historical Approach: ExpectedReturn, ExpectedReturns
  2. Scenario Approach: ExpectedReturn

See Also

AssetParameters Class | WebCab.COM.Finance.Portfolio Namespace