WebCab Portfolio for COM v5.0 Demo

TwoAssetPortfolio.Weight2MinimizeRisk Method (Double, Double, Double, Double, Double)

Evaluates the weight (which is constrained above and below) of the first asset within a two asset portfolio which minimizes the risk of the portfolio.

public double Weight2MinimizeRisk(
   double standardDeviation1,
   double standardDeviation2,
   double covariance,
   double upperWeightBound,
   double lowerWeightBound
);

Parameters

standardDeviation1
The standard deviation of the returns of the first asset.
standardDeviation2
The standard deviation of the return of the second asset.
covariance
The covariance between the two assets within the portfolio which itself can be evaluated using Covariance or Covariance.
upperWeightBound
The lower bound on the weight of the first asset. For example, if you wish to restrict the level to which the first asset can be shorted to 20 percent, then you will need to set lower bound of -0.2. If you do not wish to allow for the possibility to short either of the assets then you will need to set a lower bound of 0.
lowerWeightBound
The lower bound on the weight of the first asset. For example, if you wish to restrict the level to which the first asset can be shorted to 20 percent, then you will need to set lower bound of -0.2.

See Also

TwoAssetPortfolio Class | WebCab.COM.Finance.Portfolio Namespace | TwoAssetPortfolio.Weight2MinimizeRisk Overload List