MvoModel(DVector, Matrix, DVector, DVector) Constructor

Creates and calculates a MVO model.

Definition

Namespace: Austra.Library.MVO
Assembly: Austra.Library (in Austra.Library.dll) Version: 2.5.0+44e7797405725ef3cf24b3ff0eba94ce6c649601
C#
public MvoModel(
	DVector returns,
	Matrix covariance,
	DVector lowerLimits,
	DVector upperLimits
)

Parameters

returns  DVector
Expected returns.
covariance  Matrix
Covariance of the assets.
lowerLimits  DVector
Lower limits for the weights.
upperLimits  DVector
Upper limits for the weights.

See Also