WebCab XL Community Edition

Volatility.VarianceProb Method 

Calculates the variance of the expected returns of an asset given the assets returns in given market states and the probability of those market states occurring.

public double VarianceProb(
   double[] Probability,
   double[] Returns
);

Parameters

Probability
probability[s] is the probability of the state s occurring.
Returns
returns[s] is the return (increase in market value) for the asset in the state s.

Remarks

The full name of this function inside Excel is Port_Volatility_VarianceProb.

See Also

Volatility Class | Portfolio Namespace