EasyOptimal Class

This class presents the key functionality made available from the Markowitz Theory and Capital Asset Pricing Model (CAPM) within this product in an easy to use and quickly understandable form.

For a list of all members of this type, see EasyOptimal Members.

System.Object
EasyOptimal

public class EasyOptimal

Remarks

In particular, we allow the optimal portfolio to be constructed for a given:

Expected return or Risk: for portfolios which are constructed from risky assets and possibly cash which can be borred or lent at the prevailing market rate on cash.
Investors Utility Function: for portfolio which are constructed from risky assets only.

Remarks: For the rationale as to why in the case of portfolios which may hold cash there is no rationale for introduction the investors utility function we refer the interested reader to CapitalMarket.

Two cases corresponding to Markowitz Theory and CAPM

Portfolio Theory roughly speaking considers two cases: one where we can construct the optimal portfolio from (risky) assets only and another case where we are able to construct the optimal portfolio from a combination of (risky) assets with the possibility to either lend or borrow cash to or from the market at a previaling market rate. The first case correspondings to the situation treated by Markowitz Theory adn the second to the situation treated by the Capital Asset Princign Model.

Five Stateless methods for the Five Cases

For these two cases we offer the following functionality:

Markwotiz Theory: No borrowing or lending Cash
1. MarkowitzReturn - Finds the weights of the (risky) assets of the portfolio with the lowest risk for a given expected return constructed from the available assets.
2. MarkowitzRisk - Finds the weights of the (risky) assets of the portfolio with the greatest expected return for a given risk constructed from the available assets.
3. MarkowitzUtility - Finds the weights of the (risky) assets of the portfolio(s) which are selected in accordance with the investors utility functions constructed from the available assets.
CAPM: Can borrow or lend cash at the prevailing Market rate.
1. CapmReturn - Finds the weighting of the cash element and the (risky) assets weightings of the portfolio which has the lowest risk for a given level of return constructed from the available assets.
2. CapmRisk - Finds the weighting of the cash element and the (risky) asset weightings of the portfolio which has the greatest expected return for a given value of risk which can be constructed from the available assets.

Improve Performance and Flexibility

Though this class is easy to use, it does have the draw-back that offer the performance and flexibility of the implementation will be less than clients which can be constructed using the main classes of this Components.

Requirements

Namespace: WebCab.Libraries.Finance.Portfolio