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+77a1ed58155f905ef6d88f42ae024582c7e1b4c3

Syntax

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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.

Reference

Optimizer Class

Austra.Library.MVO Namespace