Optimizer Class

Mean variance optimizer.

Definition

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+44e7797405725ef3cf24b3ff0eba94ce6c649601
C#
public static class Optimizer
Inheritance
Object    Optimizer

Remarks

Interface methods.

Methods

GetEfficientFrontierExecutes the mean-variance optimizer in order to find the efficient frontier.
GetMaxSharpeRatioGets 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

εClose enough to zero.

See Also