portfolioVol: Compute portfolio volatility from a set of returns.
In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis

Description Usage Arguments Details Value See Also Examples

This function just calculates the portfolio volatility given a set of asset returns, R, a weight vector, w, and a covariance matrix, sigma. A scale value can be supplied which is the annualization factor for the returns if annualized volatility is desired. The default is 1 (ie. no annualization). Supply 12 for monthly data, 252 for daily, and so on.

1	portfolioVol(w = NULL, R, sigma, scale = 1)

`w`	a vector of weights. If not supplied, function will assign equal weights. Default value is `NULL`. (ie. equal weights)
`R`	an xts or matrix of asset returns.
`sigma`	a covariance matrix for the asset returns.
`scale`	an annualization factor for the returns if desired. Default = 1.

If no weight vector is supplied, the function will calculate equal weights for the portfolio assets.

a numeric value representing the portfolio volatility.

wtdAvgVol, divRatio

dts <- seq(Sys.Date()-199, Sys.Date(), 1)
returns <- matrix(rnorm(1000),ncol = 5) / 100
ret.xts <- xts(returns, dts)
cm <- cov(ret.xts)
portfolioVol(R = ret.xts, sigma = cm)