portfolio_variance: Portfolio variance
In samthorold/riskparity: Asset allocation for risk parity
View source: R/portfolio_variance.R
portfolio_variance R Documentation
Portfolio variance
Description
Portfolio variance
Usage
portfolio_variance(w, s, C)
Arguments
w
matrix
s
matrix
C
matrix
Value
vector
Examples
w <- matrix(c(.55, .25, .2))
s <- matrix(c(.24, .18, .15))
C <- matrix(c(1, 0.85, 0.3, 0.85, 1, -0.15, 0.3, -0.15, 1), nrow = 3)
portfolio_variance(w, s, C)
samthorold/riskparity documentation built on March 20, 2022, 4:03 p.m.
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View source: R/portfolio_variance.R
| portfolio_variance | R Documentation |
Portfolio variance
Description
Portfolio variance
Usage
portfolio_variance(w, s, C)
Arguments
w |
matrix |
s |
matrix |
C |
matrix |
Value
vector
Examples
w <- matrix(c(.55, .25, .2)) s <- matrix(c(.24, .18, .15)) C <- matrix(c(1, 0.85, 0.3, 0.85, 1, -0.15, 0.3, -0.15, 1), nrow = 3) portfolio_variance(w, s, C)
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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