WebCab XL Community Edition

TwoAsset.PortVar Method 

The variance for a portfolio with two assets.

public double PortVar(
   double Alpha,
   double StDev1,
   double StDev2,
   double Correlation
);

Parameters

Alpha
The weight of the first asset. Note, that the weight of an asset lies in the interval [0,1], and the sum of the assets (in this case the two assets) is 1; hence the weight of the second asset is `1-alpha'.
StDev1
The standard deviation of returns for the first asset expressed in decimal format (i.e. 1 percent = 0.01).
StDev2
The standard deviation of returns for the second asset expressed in decimal format (i.e. 1 percent = 0.01).
Correlation
The correlation coefficient between the assets.

Remarks

The full name of this function inside Excel is Port_TwoAsset_PortVar.

See Also

TwoAsset Class | Portfolio Namespace