WebCab Portfolio for COM v5.0 Demo

Volatility.VarianceWithProbabilitiesKnown Method 

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 VarianceWithProbabilitiesKnown(
   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.COM.Finance.Portfolio Namespace