OptimizerGetTargetReturnEfficientPortfolio Method

Looks at the efficient frontier for an efficient portfolio with an expected return.

Definition

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+d1268756e036101f601080f153b3997e72fc912d
C#
public static InterpolatedPortfolio? GetTargetReturnEfficientPortfolio(
	Portfolio[] efficientFrontier,
	Matrix sigma,
	double expectedReturn
)

Parameters

efficientFrontier  Portfolio
The list of efficient portfolios.
sigma  Matrix
The covariance matrix.
expectedReturn  Double
The expected return.

Return Value

InterpolatedPortfolio
An interpolated portfolio, or null, if it does not exist.

See Also