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MeanVarianceOptimization Constructor (Vector, Matrix, Vector, Vector)
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
Syntax
C#
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public MeanVarianceOptimization(
	Vector expectedReturn,
	Matrix expectedVariance,
	Vector minAllocation,
	Vector maxAllocation
)

Parameters

expectedReturn
Type: FinMath.LinearAlgebraVector
Vector of expected returns.
expectedVariance
Type: FinMath.LinearAlgebraMatrix
Matrix of expected covariances.
minAllocation
Type: FinMath.LinearAlgebraVector
Vector of minimum allocations (lower bounds for weights) for assets.
maxAllocation
Type: FinMath.LinearAlgebraVector
Vector of maximum allocations (upper bounds for weights) for assets.
See Also