MvoModel(DVector, Matrix, DVector, DVector, String) 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,
	DVector lowerLimits,
	DVector upperLimits,
	string[] labels
)

Parameters

returns  DVector
Expected returns.
covariance  Matrix
Covariance of the assets.
lowerLimits  DVector
Lower limits for the weights.
upperLimits  DVector
Upper limits for the weights.
labels  String
Asset labels.

Exceptions

See Also