Watch, Follow, &
Connect with Us

For forums, blogs and more please visit our
Developer Tools Community.

ID: 20653, WebCab Portfolio .NET v4.2

by Ben Fairfax Email:

Apply the Markowitz and Capital Asset Pricing Model (CAPM) to analyze the construct the optimal portfolio with/without asset weight constraints.
Download Details
FTP  download also available
CDN Login Required to Download. (You will be redirected to the login page if you click on the Download Link)
To download this, you must have registered:
A free membership

For C#Builder, Version 1.0  to 1.0 49 downloads
Copyright: All rights reserved

Size: 2,561,881 bytes
Updated on Sun, 01 Aug 2004 02:05:51 GMT
Originally uploaded on Tue, 23 Sep 2003 12:53:48 GMT
SHA1 Hash: A18DFDD1958C6789C4C410C530B05178AF6D09C3
MD5 Hash: FA5866CBE1142B916D899BDED66C6426

    Explore the files in this upload


Apply the Markowitz and Capital Asset Pricing Model (CAPM) to analyze the construct the optimal portfolio with/without asset weight constraints with respect to Markowitz Theory by giving the risk, return or investors utility function; or with respect to CAPM by given the risk, return or Market Portfolio weighting. Also includes Performance Evaluation, extensive auxiliary classes/methods including equation solve and interpolation procedures, analysis of Efficient Frontier, Market Portfolio and CML.

Product Details

This suite includes the following features:

Markowitz Model - Construct optimally diversified portfolios.

Efficient Frontier - Construct the Efficient Frontier with or without constraints on the asset weights.
Utility Function - Discover and set the investors utility function.
Optimal Portfolio - Select the optimal portfolio or set of portfolios by providing the expected return desired, the maximum risk or the investors utility function.

Capital Asset Pricing Model (CAPM) - Construct optimally diversified portfolios with can hold or borrow cash.

Efficient Frontier - Construct the Efficient Frontier with or without constraints on the asset weights.
Market Portfolio - Find the Market Portfolio which offer the greater expected return per unit of risk.
Capital Market Line (CML) - Construct the CML with contains the optimal portfolio with respect to the CAPM.
Selecting Optimal Portfolio - Select the optimal portfolio by given expected return, risk or the Market Portfolio weighting.
Analysis of Optimal Portfolio - Evaluate the risk, expected return or Market Portfolio weighting of the optimal portfolio whenever one of these three properties is known.

Auxiliary Classes

Interpolation - Cubic spline and general polynomial interpolation procedures to assist in the study and manipulation of curves such as the Efficient Frontier which are evaluated at a finite number of points.
SolveFrontier - Solve the Efficient Frontier with respect to the risk, return, or the investors utility function which may be given as a function of the risk or the expected return.
TwoAssetPortfolio - Evaluate of the optimal weighting of a portfolio with two assets. This functionality can be used to analyze the effect of a single purchase or sale from an arbitrary portfolio
AssetParameters - Evaluation of the covariance matrix, expected return, volatility, portfolio risk/variance, ARCH model for expected price.
MaxRange - Evaluates the maximum range of the values of the expected return for which Efficient Frontier should be considered when the historical data set does is not consistent within the assumptions of Markowitz Theory and CAPM.
Performance Evaluation - Offers a number of procedures for accessing the return and risk adjusted return (Treynors Measure, Sharpes Ratio).

This product also has the following feature:

ADO Mediator - The ADO Mediator assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of our .NET components with the ADO.NET Database Connectivity model.
ASP.NET Web Application Examples - We provide an ASP.NET Web Application example which enables you to quickly test the functionality within this .NET Service.
ASP.NET Examples with Synthetic ADO.NET - we use a ASP.NET service to perform component calculations on SQL database columns from a remote DBMS. We apply a component's function to certain rows from the database and list the output in HTML format. This is a powerful feature since it allows you to perform calculations in a DBMS manner without having to code the C#to SQL database transaction yourself as it is all done by the ASP within the .NET Framework managed server side environment.

   Latest Comments  View All Add New

Move mouse over comment to see the full text

Could not retrieve comments. Please try again later.

Server Response from: ETNACDC04