WebCab XL Community Edition

TwoAsset.MinRisk Method

Evaluates the weight (which can be any real number) of the first asset within a two asset portfolio which minimizes the risk of the portfolio.

public double MinRisk(
   double StDev1,
   double StDev2,
   double Cov
);

Parameters

StDev1: The standard deviation of the returns of the first asset.
StDev2: The standard deviation of the return of the second asset.
Cov: The covariance between the two assets within the portfolio which itself can be evaluated using CovarHis or Covar.

Remarks

The full name of this function inside Excel is Port_TwoAsset_MinRisk.

See Also

TwoAsset Class | Portfolio Namespace