portvar_calc: Portfolio Variance
In antshi/auxPort: Auxiliary functions for portfolio optimization
Description
Usage
Arguments
Value
Examples
Description
Calculates the in-sample variance of a portfolio
Usage
1
portvar_calc(Sigma, weights)
Arguments
Sigma
a pxp covariance matrix of returns.
weights
a numeric vector, the portfolio weights.
Value
a double, the portfolio variance
Examples
1
2
3
4
5
data(sp500_rets)
Sigma <- var(sp500_rets[,-1])
p <- dim(Sigma)[2]
weights <- rep(1/p, p)
portvar <- portvar_calc(Sigma, weights)
antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.
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Description Usage Arguments Value Examples
Description
Calculates the in-sample variance of a portfolio
Usage
1 | portvar_calc(Sigma, weights)
|
Arguments
Sigma |
a pxp covariance matrix of returns. |
weights |
a numeric vector, the portfolio weights. |
Value
a double, the portfolio variance
Examples
1 2 3 4 5 | data(sp500_rets)
Sigma <- var(sp500_rets[,-1])
p <- dim(Sigma)[2]
weights <- rep(1/p, p)
portvar <- portvar_calc(Sigma, weights)
|
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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