Hi,

I am looking for best/elegant way to incorporate correlation of returns in portfolio.

Thank you.

Kind regards,
TY

R.Net (https://rdotnet.codeplex.com/) allows you to use R methods via .Net code.

Duane

Thank you.

To use R at this stage would be an "overkill".

I would use just the formula for computing correlations on daily returns.

Thank you.

Kind regards,
TY