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varience of portfolio without financial toolbox

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Sameer
Sameer 2014-5-20
回答： Roger Wohlwend 2014-5-21
how do i find the variance of a portfolio with N (variable number of assets)?
the number of stocks will change depending on number of stocks in the input file (N).
thanks

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Roger Wohlwend
Roger Wohlwend 2014-5-21
The variance of a portfolio is defined as w * C * w', where w is the vector (dimensions: 1 x N) with the portfolio weight and C is the matrix (dimensions N x N) with the variances / covariances of the assets. If you want the standard deviation of the portfolio - that is what most people are interested, even though they speak of the variance or the risk of the portfolio - just take the square root of the above term, e.g. calculate sqrt(w * C * w').

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