Displaying 1 result from an estimated 1 matches for "sd_prices".
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)^2...