WebCab XL Community Edition

TwoAsset.MinRiskBound Method 

Evaluates the weight (which is constrained above and below) of the first asset within a two asset portfolio which minimizes the risk of the portfolio.

public double MinRiskBound(
   double StDev1,
   double StDev2,
   double Cov,
   double UpBound,
   double LowBound
);

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.
UpBound
The lower bound on the weight of the first asset. For example, if you wish to restrict the level to which the first asset can be shorted to 20 percent, then you will need to set lower bound of -0.2. If you do not wish to allow for the possibility to short either of the assets then you will need to set a lower bound of 0.
LowBound
The lower bound on the weight of the first asset. For example, if you wish to restrict the level to which the first asset can be shorted to 20 percent, then you will need to set lower bound of -0.2.

Remarks

The full name of this function inside Excel is Port_TwoAsset_MinRiskBound.

See Also

TwoAsset Class | Portfolio Namespace