var.portfolio

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

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

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