WebCab Portfolio for .NET v5.0 Demo

TwoAssetPortfolio.Covariance Method (Double[], Double[])

This method returns the covariance between the returns of the two assets.

public double Covariance(
   double[] historicalReturns1,
   double[] historicalReturns2
);

Parameters

historicalReturns1
historicalReturns1[t] is the return (increase in market value) of the first asset in the tth period.
historicalReturns2
historicalReturns2[t] is the return (increase in market value) of the second asset in the tth period.

Remarks

The historical returns for each asset on the `same' historical time periods must be known.

See Also

TwoAssetPortfolio Class | WebCab.Libraries.Finance.Portfolio Namespace | TwoAssetPortfolio.Covariance Overload List