pub fn allocate_efficient_risk(
prices: &DMatrix<f64>,
target_return: f64,
bounds: Option<HashMap<usize, (f64, f64)>>,
tuple_bounds: Option<(f64, f64)>,
) -> Result<MeanVariance, AllocError>Expand description
Least-risk portfolio from prices whose expected return is at least target_return (an
annual figure). A target below the minimum-variance portfolio’s return yields the
minimum-variance portfolio.
bounds / tuple_bounds are as in AllocationOptions; other options take their
defaults. See allocate_with_solution for the price conventions.
§Errors
As allocate_with_solution with "efficient_risk"; an unreachable target is reported
as AllocError::OptimizationFailed.