Documentation

portvar

Variance for portfolio of assets

Syntax

V = portvar(Asset, Weight)

Arguments

Asset

M-by-N matrix of M asset returns for N securities.

Weight

R-by-N matrix of R portfolio weights for N securities. Each row of Weight constitutes a portfolio of securities in Asset.

Description

V = portvar(Asset, Weight) returns the portfolio variance as an R-by-1vector (assuming Weight is a matrix of size R-by-N) with each row representing a variance calculation for each row of Weight.

V = portvar(Asset) assigns each security an equal weight when calculating the portfolio variance.

References

Bodie, Kane, and Marcus, Investments, Chapter 7.

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