psd: Get a portfolio's standard deviation from the correlation...
In donboyd5/portopt: Basic Portfolio Optimization Tools
Description
Usage
Arguments
Value
Examples
Description
Get a portfolio's standard deviation from the correlation matrix, standard deviations, and asset-allocation weights.
Usage
1
psd(cormat, sdvec, wts)
Arguments
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.
Value
The portfolio standard deviation.
Examples
1
2
library("magrittr")
psd(stalebrink$cormat, stalebrink$ersd$sd, c(.25, .25, .2, .15, .1, .05))
donboyd5/portopt documentation built on May 20, 2019, 2:58 p.m.
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Description Usage Arguments Value Examples
Description
Get a portfolio's standard deviation from the correlation matrix, standard deviations, and asset-allocation weights.
Usage
1 | psd(cormat, sdvec, wts)
|
Arguments
cormat |
A correlation matrix for asset class returns. |
sdvec |
A vector of standard deviations. |
wts |
A vector of asset-allocation weights. Should sum to 1. |
Value
The portfolio standard deviation.
Examples
1 2 | library("magrittr")
psd(stalebrink$cormat, stalebrink$ersd$sd, c(.25, .25, .2, .15, .1, .05))
|
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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