MeanVarianceOptimization Class

Allows to perform mean-variance portfolio optimization.

Inheritance Hierarchy

SystemObject
FinMath.PortfolioOptimizationMeanVarianceOptimization

Namespace: FinMath.PortfolioOptimization
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170

Syntax

public class MeanVarianceOptimization

The MeanVarianceOptimization type exposes the following members.

Constructors

	Name	Description
	MeanVarianceOptimization(Vector, Matrix)	Creates an instance of the class that performs mean-variance portfolio optimization.
	MeanVarianceOptimization(Vector, Matrix, Vector, Vector)	Creates an instance of the class that performs mean-variance portfolio optimization.

Properties

	Name	Description
	MaximumReturn	Maximal possible return.
	MaximumReturnPortfolio	Maximum return portfolio.
	MaximumReturnRisk	Risk of maximum return portfolio.
	MinimumRisk	Minimal possible risk.
	MinimumRiskPortfolio	Minimum risk portfolio.
	MinimumRiskReturn	Return corresponding to minimum risk portfolio.
	PortfolioReturn	Return of the efficient portfolio.
	PortfolioRisk	Risk of the efficient portfolio.
	PortfolioWeights	Weights of the assets of the efficient portfolio.

Methods

	Name	Description
	EfficientPortfolio	Finds portfolio on the efficient frontier with given expected return.
	EfficientPortfolioRiskAversion	Finds efficient portfolio for given iso-elastic utility function.
	Equals	Determines whether the specified object is equal to the current object. (Inherited from Object.)
	FindCriticalPoints	Finds critical points of efficient frontier.
	GetHashCode	Serves as the default hash function. (Inherited from Object.)
	GetType	Gets the Type of the current instance. (Inherited from Object.)
	ToString	Returns a string that represents the current object. (Inherited from Object.)