Evaluates the variance of the portfolio's value.
weight[i]
is the weight for asset i
. Note that, x[0] + x[1] + ... + x[N - 1]=1
.When applying this method you will need to provide:
The weights of the assets can be evaluated by dividing the market value
of an asset within the portfolio by the total market value of the entire portfolio.
For example, if a given asset within the portfolio has a market value of $200,000
;
and the total portfolio (including the asset being considered) has a market value of
$1,000,000
; then the market weighting of the asset is 0.2
.
In order to evaluate the covariance matrix of the assets we suggest that you use one of the following methods from this class, namely:
AssetParameters Class | WebCab.Libraries.Finance.Portfolio Namespace