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PortfolioAnalytics (version 2.0.0)

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)

Value

numeric value of the portfolio variance

Arguments

R

xts object of asset returns

weights

vector of asset weights

Author

Ross Bennett