MvoModel(DVector, Matrix, Series) Constructor

Creates and calculates a MVO model.

Definition

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+44e7797405725ef3cf24b3ff0eba94ce6c649601
C#
public MvoModel(
	DVector returns,
	Matrix covariance,
	params Series[] series
)

Parameters

returns  DVector
Expected returns.
covariance  Matrix
Covariance of the assets.
series  Series
A list of series to provide the asset names.

See Also