var.portfolio

weights

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.

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

var.portfolio function

<dl><dt>R</dt>
<dd>xts object of asset returns</dd>
<dt>weights</dt>
<dd>vector of asset weights</dd></dl>

Arguments

Author

Calculate portfolio variance — var.portfolio

<dl>

<dt>R</dt>
<dd>xts object of asset returns</dd>


<dt>weights</dt>
<dd>vector of asset weights</dd>

</dl>

Calculate portfolio variance

var.portfolio: Calculate portfolio variance

Description

Usage

Value

Arguments

Author