Mvo |
Represents the result of a Mean-Variance Optimization.
Inheritance HierarchySystemObject
Austra.Library.MVOMvoModel
Austra.Library.MVOMvoModel
Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.7.0+b25929339ea1019e260029cf0ebd18b3a0ce2443
SyntaxC#
public class MvoModel
The MvoModel type exposes the following members.
Constructors| Name | Description | |
|---|---|---|
 | 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| Name | Description | |
|---|---|---|
 | Covariance | The covariance matrix. |
| First | Gets the first portfolio in the efficient frontier. |
| ItemIndex | Gets a portfolio in the efficient frontier. |
| ItemInt32 | Gets a portfolio in the efficient frontier. |
| Labels | The name of the assets. |
| Last | Gets the last portfolio in the efficient frontier. |
| Length | Gets the number of portfolios in the efficient frontier. |
| LowerLimits | Lower limits for the weights. |
| Portfolios | Portfolios in the efficient frontier. |
| Returns | Expected returns. |
| Size | Number of assets in the model. |
| UpperLimits | Upper limits for the weights. |
Methods| Name | Description | |
|---|---|---|
| Equals | Determines whether the specified object is equal to the current object. (Inherited from Object) |
| GetHashCode | Serves as the default hash function. (Inherited from Object) |
| GetType | Gets 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. |
| ToString | Gets a textual representation of the model. (Overrides ObjectToString) |
See Also