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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+e1037fa8802b3ff162e26559d763b73334940b70
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