WebCab Portfolio for .NET v5.0 Demo

AssetParameters.CovarianceMatrix Method

Returns the covariance matrix for a collection of assets given a finite number of possible scenarios, the asset returns resulting from each one of these scenarios and the probability of each one of the scenarios taking place.

Overload List

Returns the covariance matrix for a collection of assets given a finite number of possible scenarios, the asset returns resulting from each one of these scenarios and the probability of each one of the scenarios taking place.

public double[][] CovarianceMatrix(double[],double[][]);

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

public double[][] CovarianceMatrix(double[][]);

See Also

AssetParameters Class | WebCab.Libraries.Finance.Portfolio Namespace