OptimizerGetMaxSharpeRatio Method
Gets the efficient portfolio with maximum Sharpe ratio.
Namespace: Austra.Library.MVOAssembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+d1268756e036101f601080f153b3997e72fc912d
public static InterpolatedPortfolio? GetMaxSharpeRatio(
Portfolio[] efficientFrontier,
Matrix sigma,
double riskFreeReturn
)
- efficientFrontier Portfolio
- The list of efficient portfolios.
- sigma Matrix
- The covariance matrix.
- riskFreeReturn Double
- The risk free return.
InterpolatedPortfolioAn interpolated portfolio, or null, if it does not exist.