Returns the covariance matrix for a collection of assets given a finite number of possible scenarios, the asset returns resulting from each one of these scenarios and the probability of each one of the scenarios taking place.
Returns the covariance matrix for a collection of assets given a finite number of possible scenarios, the asset returns resulting from each one of these scenarios and the probability of each one of the scenarios taking place.
public double[][] CovarianceMatrix(double[],double[][]);
Returns the (realized) covariance matrix for a collection of assets when the assets historical returns are known.
public double[][] CovarianceMatrix(double[][]);
AssetParameters Class | WebCab.Libraries.Finance.Portfolio Namespace