MeanVarianceOptimization Constructor (Vector, Matrix) |
Creates an instance of the class that performs mean-variance portfolio optimization.
Namespace: FinMath.PortfolioOptimization
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
public MeanVarianceOptimization( Vector expectedReturn, Matrix expectedVariance )
Parameters
- expectedReturn
- Type: FinMath.LinearAlgebraVector
Vector of expected returns. - expectedVariance
- Type: FinMath.LinearAlgebraMatrix
Matrix of expected covariances.
See Also