Optimizer.GetTargetVolatilityEfficientPortfolio Method

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

Definition

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+44e7797405725ef3cf24b3ff0eba94ce6c649601
C#
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