WebCab Portfolio for .NET v5.0 Demo

Markowitz.CovarianceMatrix Method (Double[], Double[][])

Deprecated.

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

Parameters

probability
probability[i] is the probability of market state i occurring.
returns
returns[i][j] is the return of the market value of the asset j when the market is in the ith state.

Remarks

Replaced by methods within the class AssetParameters.

Returns the covariance matrix for a collection of assets given the probability distributions of there returns. The distribution of the probability of the various returns occurring is a discrete probability distribution given by probability.

See Also

Markowitz Class | WebCab.Libraries.Finance.Portfolio Namespace | Markowitz.CovarianceMatrix Overload List