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OptimizerGetMaxSharpeRatio Method

Gets the efficient portfolio with maximum Sharpe ratio.

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.8.0+77a1ed58155f905ef6d88f42ae024582c7e1b4c3
Syntax
C#
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public static InterpolatedPortfolio? GetMaxSharpeRatio(
	Portfolio[] efficientFrontier,
	Matrix sigma,
	double riskFreeReturn
)

Parameters

efficientFrontier  Portfolio
The list of efficient portfolios.
sigma  Matrix
The covariance matrix.
riskFreeReturn  Double
The risk free return.

Return Value

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