Optimizer Class

Mean variance optimizer.

Inheritance Hierarchy

SystemObject
Austra.Library.MVOOptimizer

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.8.0+77a1ed58155f905ef6d88f42ae024582c7e1b4c3

Syntax

public static class Optimizer

The Optimizer type exposes the following members.

Methods

	Name	Description
	GetEfficientFrontier	Executes the mean-variance optimizer in order to find the efficient frontier.
	GetMaxSharpeRatio	Gets the efficient portfolio with maximum Sharpe ratio.
	GetMinimumVarianceEfficientPortfolio	Looks at the efficient frontier for an efficient portfolio with minimum variance.
	GetTargetReturnEfficientPortfolio	Looks at the efficient frontier for an efficient portfolio with an expected return.
	GetTargetVolatilityEfficientPortfolio	Looks at the efficient frontier for an efficient portfolio with an expected volatility.

Fields

	Name	Description
	ε	Close enough to zero.

Remarks

Interface methods.