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OptimizerGetTargetVolatilityEfficientPortfolio Method

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

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.8.0+e1037fa8802b3ff162e26559d763b73334940b70
Syntax
C#
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public static InterpolatedPortfolio? GetTargetVolatilityEfficientPortfolio(
	Portfolio[] efficientFrontier,
	Matrix sigma,
	double expectedVolatility
)

Parameters

efficientFrontier  Portfolio
The list of efficient portfolios.
sigma  Matrix
The covariance matrix.
expectedVolatility  Double
The expected volatility.

Return Value

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