Portfolio Selection by Efficient Frontier
This demo illustrates how the JMSLTM Library can be used to easily create a Java application that computes an Efficient Frontier to aid in selecting a portfolio. The source data are bimonthly rates of return for three years.
Select a computation method of EWMA, SMA, or AHP. Right click on the chart for a popup menu to save the chart as an image using ImageIO or to save the data as text.
The curves are computed using the JMSL Library classes com.imsl.math.LinearProgramming, com.imsl.math.MinConGenLin, and com.imsl.stat.Covariances.