MvoModel Class

Represents the result of a Mean-Variance Optimization.

Definition

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

Constructors

MvoModel(DVector, Matrix)Creates and calculates a MVO model.
MvoModel(DVector, Series)Creates and calculates a MVO model.
MvoModel(DVector, Matrix, Series)Creates and calculates a MVO model.
MvoModel(DVector, Matrix, String)Creates and calculates a MVO model.
MvoModel(DVector, Matrix, DVector, DVector)Creates and calculates a MVO model.
MvoModel(DVector, Matrix, DVector, DVector, Series)Creates and calculates a MVO model.
MvoModel(DVector, Matrix, DVector, DVector, String)Creates and calculates a MVO model.

Properties

CovarianceThe covariance matrix.
FirstGets the first portfolio in the efficient frontier.
ItemIndexGets a portfolio in the efficient frontier.
ItemInt32Gets a portfolio in the efficient frontier.
LabelsThe name of the assets.
LastGets the last portfolio in the efficient frontier.
LengthGets the number of portfolios in the efficient frontier.
LowerLimitsLower limits for the weights.
PortfoliosPortfolios in the efficient frontier.
ReturnsExpected returns.
SizeNumber of assets in the model.
UpperLimitsUpper limits for the weights.

Methods

EqualsDetermines whether the specified object is equal to the current object.
(Inherited from Object)
GetHashCodeServes as the default hash function.
(Inherited from Object)
GetTypeGets the Type of the current instance.
(Inherited from Object)
SetConstraints(Matrix, DVector)Add equality constraints to the model.
SetConstraints(Matrix, DVector, NVector)Add constraints to the model.
SetConstraints(Matrix, DVector, Int32)Add constraints to the model.
ToStringGets a textual representation of the model.
(Overrides ObjectToString)

See Also