Description Usage Arguments Details Value
Calculate the standard deviation for a portfolio of two assets
1 | portSDTwoAsset(R1, R2, X1, sigma1, sigma2, rho)
|
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 |
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.
portfolio expected return
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.