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MvoModel(DVector, Matrix, DVector, DVector, Series) Constructor

Creates and calculates a MVO model.

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.8.0+e1037fa8802b3ff162e26559d763b73334940b70
Syntax
C#
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public MvoModel(
	DVector returns,
	Matrix covariance,
	DVector lowerLimits,
	DVector upperLimits,
	params Series[] series
)

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.
series  Series
A list of series to provide the asset names.
See Also