WebCab Portfolio for COM v5.0 Demo

Markowitz.CovarianceMatrixWithHistoricalReturnsKnown Method 

Deprecated.

public double[,] CovarianceMatrixWithHistoricalReturnsKnown(
   double[,] historicalReturns
);

Parameters

historicalReturns
historicalReturns[i][t] is the historical return (increase in market value) for the asset i in the tth period.

Remarks

Replaced by methods within the class AssetParameters.

Returns the covariance matrix for a collection of assets when the assets historical returns are known.

See Also

Markowitz Class | WebCab.COM.Finance.Portfolio Namespace