WebCab Portfolio Web Services for .NET v5.0 Demo

TwoAssetPortfolio.Portfolio2Variance Method 

The variance for a portfolio with two assets.

public double Portfolio2Variance(
   double alpha,
   double standardDeviation1,
   double standardDeviation2,
   double correlation
);

Parameters

alpha
The weight of the first asset. Note, that the weight of an asset lies in the interval [0,1], and the sum of the assets (in this case the two assets) is 1; hence the weight of the second asset is `1-alpha'.
standardDeviation1
The standard deviation of returns for the first asset expressed in decimal format (i.e. 1 percent = 0.01).
standardDeviation2
The standard deviation of returns for the second asset expressed in decimal format (i.e. 1 percent = 0.01).
correlation
The correlation coefficient between the assets.

See Also

TwoAssetPortfolio Class | Portfolio Namespace