Portfolio Constructor

Represents a portfolio in the efficient frontier.

Definition

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+44e7797405725ef3cf24b3ff0eba94ce6c649601
C#
public Portfolio(
	DVector weights,
	double lambda,
	double mean,
	double variance
)

Parameters

weights  DVector
Asset weights.
lambda  Double
Risk tolerance.
mean  Double
Expected return.
variance  Double
Expected volatility.

See Also