var.portfolio: Calculate portfolio variance
In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios
Description
Usage
Arguments
Value
Author(s)
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
1
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-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.
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Description Usage Arguments Value Author(s)
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
1 | 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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