WebCab Portfolio for COM v5.0

Markowitz.PortfolioRisk Method

Deprecated.

public double PortfolioRisk(
double[] weight,
double[,] covarianceMatrix
);

Parameters

weight: weight[i] is the weight for asset i. Note that, x[0] + x[1] + ... + x[N - 1]=1.
covarianceMatrix: The covariance matrix of the portfolio's assets.

Remarks

Replaced by methods within the class AssetParameters.

The risk (also known as the volatility or standard deviation) of the portfolio.

See Also

Markowitz Class | WebCab.COM.Finance.Portfolio Namespace