OptimizerGetTargetVolatilityEfficientPortfolio Method
Looks at the efficient frontier for an efficient portfolio with
an expected volatility.
Namespace: Austra.Library.MVOAssembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+d1268756e036101f601080f153b3997e72fc912d
public static InterpolatedPortfolio? GetTargetVolatilityEfficientPortfolio(
Portfolio[] efficientFrontier,
Matrix sigma,
double expectedVolatility
)
- efficientFrontier Portfolio
- The list of efficient portfolios.
- sigma Matrix
- The covariance matrix.
- expectedVolatility Double
- The expected volatility.
InterpolatedPortfolioAn interpolated portfolio, or null, if it does not exist.