WebCab Portfolio for .NET v5.0 Demo

TwoAssetPortfolio.Covariance Method (Double[], Double[], Double[])

Evaluates the covariance between the returns of two assets given the probability return distribution of each asset.

public double Covariance(
   double[] probability,
   double[] rateOfReturn1,
   double[] rateOfReturn2
);

Parameters

probability
probability[s] is an array of the probability of the state s occurring.
rateOfReturn1
rateOfReturn1[s] is the return (increase in market value) for the first asset in the state s.
rateOfReturn2
rateOfReturn2[s] is the return (increase in market value) for the second asset in the state s.

See Also

TwoAssetPortfolio Class | WebCab.Libraries.Finance.Portfolio Namespace | TwoAssetPortfolio.Covariance Overload List