var.portfolio: Calculate portfolio variance

View source: R/objectiveFUN.R

var.portfolioR 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.