WebCab Portfolio Web Services for .NET 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 XML Web service AssetParameters.

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

See Also

Markowitz Class | Portfolio Namespace