portSDTwoAsset: Portfolio Standard Deviation for a Portfolio of Two Assets
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Details
Value
Description
Calculate the standard deviation for a portfolio of two assets
Usage
1
portSDTwoAsset(R1, R2, X1, sigma1, sigma2, rho)
Arguments
R1
expected return for asset 1
R2
expected return for asset 2
X1
fraction of portfolio invested in asset 1
sigma1
standard deviation for asset 1
sigma2
standard deviation for asset 2
rho
correlation coefficient between asset 1 and asset 2
Details
This is a specialized function to calculate the standard deviation of a
portfolio of two assets following the equations presented in
Chapter 3: Delineating Efficient Portfolios.
Value
portfolio expected return
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
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.
Description Usage Arguments Details Value
Description
Calculate the standard deviation for a portfolio of two assets
Usage
1 | portSDTwoAsset(R1, R2, X1, sigma1, sigma2, rho)
|
Arguments
R1 |
expected return for asset 1 |
R2 |
expected return for asset 2 |
X1 |
fraction of portfolio invested in asset 1 |
sigma1 |
standard deviation for asset 1 |
sigma2 |
standard deviation for asset 2 |
rho |
correlation coefficient between asset 1 and asset 2 |
Details
This is a specialized function to calculate the standard deviation of a portfolio of two assets following the equations presented in Chapter 3: Delineating Efficient Portfolios.
Value
portfolio expected return
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.