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2011 Jan 10
2
Calculating Portfolio Standard deviation
...ata.frame(ABC = c(17,24,15,22,16,22,17,22,15,19),                                          DEF = c(22,28,20,20,28,26,29,18,24,21),                                           GHI = c(32,27,32,36,37,37,34,23,25,32),                                           JKL = c(47,60,60,43,62,38,44,53,61,41)) sd_prices <- c(3.3483,3.9497,4.9721,9.3387)   # standard deviations say(sd1, sd2, sd3, sd4)                         weights <- c(0.10, 0.25, 0.20, 0.45)      # say (w1, w2, w3, w4) I need to calculate the standard deviation of the portfolio. The formula is stdev_portfolio = sqrt((w1*sd1)^2+(w2*sd2)^...