Deprecated.
probability[i]
is the probability of market state i
occurring.returns[i][j]
is the return of the market value of the asset j
when the market is in the i
th state.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
.
Markowitz Class | WebCab.Libraries.Finance.Portfolio Namespace | Markowitz.CovarianceMatrix Overload List