MeanVarianceOptimizationEfficientPortfolioRiskAversion Method |
Finds efficient portfolio for given iso-elastic utility function.
Namespace: FinMath.PortfolioOptimization
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
public FMStatus EfficientPortfolioRiskAversion( double riskAversionParameter )
Parameters
- riskAversionParameter
- Type: SystemDouble
Iso-elastic coefficient of relative risk aversion.
Return Value
Type: FMStatusStatus of the optimization.
See Also