[ojAlgo-user] Definition of optimal ...

[Anthony E. <ant...@al...>]

Hi

When i use MarkowitzModel and create a portfolio via setTargetReturn() I get back a set of ‘optimal’ weights.  is there any documentation that defines exactly what optimal is in this case?  is it the maximum SharpeRatio or max (mean return / variance) etc.  

Is there any way we can specify the formula for optimality?

There doesnt seem to be any documentation on this anywhere ....

Any pointers gratefully appreciated.

Thanks

Tony