WebCab Portfolio for .NET v5.0 Demo

Volatility.Variance Method (Double[], Double[])

Calculates the variance of the expected returns of an asset given the assets returns in given market states and the probability of those market states occurring.

public double Variance(
   double[] probability,
   double[] returns
);

Parameters

probability
probability[s] is the probability of the state s occurring.
returns
returns[s] is the return (increase in market value) for the asset in the state s.

See Also

Volatility Class | WebCab.Libraries.Finance.Portfolio Namespace | Volatility.Variance Overload List