Displaying 1 result from an estimated 1 matches for "stdev_portfolio".
2011 Jan 10
2
Calculating Portfolio Standard deviation
...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+(w3*sd3)^2+(w4*sd4)^2 +
2*w1*w2*sd1*sd2*correlation(ABC, DEF)+
2*w1*w3*sd1*sd3*correlation(ABC, GHI)+
2*w1*w4*sd1*sd4*correlation(ABC, JKL)+
2*w2*w3*sd2*sd3*correlation(DEF...