PortfolioAnalytics: var.portfolio – R documentation

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var.portfolio

Calculate portfolio variance

Description

This function is used to calculate the portfolio variance via a call to constrained_objective when var is an object for mean variance or quadratic utility optimization.

Usage

var.portfolio(R, weights)

Arguments

`R`	xts object of asset returns
`weights`	vector of asset weights

Value

numeric value of the portfolio variance

Author(s)

Ross Bennett

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0

GPL-2 | GPL-3

Authors

Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]

Initial release

2018-05-17