OptimizerGetMaxSharpeRatio Method

Gets the efficient portfolio with maximum Sharpe ratio.

Definition

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+44e7797405725ef3cf24b3ff0eba94ce6c649601
C#
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