WebCab XL Community Edition

TwoAsset.CovarHis Method

This method returns the covariance between the returns of the two assets.

public double CovarHis(
double[] Returns1,
double[] Returns2
);

Parameters

Returns1: historicalReturns1[t] is the return (increase in market value) of the first asset in the tth period.
Returns2: historicalReturns2[t] is the return (increase in market value) of the second asset in the tth period.

Remarks

The historical returns for each asset on the `same' historical time periods must be known.

Excel Remarks

The full name of this function inside Excel is Port_TwoAsset_CovarHis.

See Also

TwoAsset Class | Portfolio Namespace