WebCab Portfolio for .NET v5.0 Demo

AssetParameters.CovarianceMatrix Method (Double[][])

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

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

Parameters

historicalReturns
historicalReturns[i][t] is the historical return (increase in market value) for the asset i in the tth period. Note that the historical returns may be given in either absolute (i.e. market values) or relative (i.e percentage) terms but which ever conversion is used the returned results will be expressed within respect to the same conversation.

Remarks

Remarks on Historical Returns parameter

The historical returns for all the assets considered are provided within an array of dimension two where the array double[n] is the historical prices of the n-th asset from the collection. That is, if you think of the double array as a matrix then the i-th column are the historical values of the i-th asset.

See Also

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