var.portfolio: Calculate portfolio variance
In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
var.portfolio R Documentation
Calculate portfolio variance
Description
This function is used to calculate the portfolio variance via a call to
constrained_objective when var is an object for mean variance or quadratic
utility optimization.
Usage
var.portfolio(R, weights)
Arguments
R
xts object of asset returns
weights
vector of asset weights
Value
numeric value of the portfolio variance
Author(s)
Ross Bennett
PortfolioAnalytics documentation built on July 4, 2024, 1:06 a.m.
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| var.portfolio | R Documentation |
Calculate portfolio variance
Description
This function is used to calculate the portfolio variance via a call to constrained_objective when var is an object for mean variance or quadratic utility optimization.
Usage
var.portfolio(R, weights)
Arguments
R |
xts object of asset returns |
weights |
vector of asset weights |
Value
numeric value of the portfolio variance
Author(s)
Ross Bennett
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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