Description Usage Arguments Value Examples
Get a portfolio's standard deviation from the correlation matrix, standard deviations, and asset-allocation weights.
1 | psd(cormat, sdvec, wts)
|
cormat |
A correlation matrix for asset class returns. |
sdvec |
A vector of standard deviations. |
wts |
A vector of asset-allocation weights. Should sum to 1. |
The portfolio standard deviation.
1 2 | library("magrittr")
psd(stalebrink$cormat, stalebrink$ersd$sd, c(.25, .25, .2, .15, .1, .05))
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