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Variance for portfolio of assets



V = portvar(Asset) assigns each security an equal weight when calculating the portfolio variance.


An alternative for portfolio optimization is to use the Portfolio object for mean-variance portfolio optimization. This object supports gross or net portfolio returns as the return proxy, the variance of portfolio returns as the risk proxy, and a portfolio set that is any combination of the specified constraints to form a portfolio set. For information on the workflow when using Portfolio objects, see Portfolio Object Workflow.


V = portvar(Asset,Weight) returns the portfolio variance as an R-by-1 vector (assuming Weight is a matrix of size R-by-N) with each row representing a variance calculation for each row of Weight.


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This example shows how to use portvar to compute the variance of portfolio assets. When you don't specify weights, portvar assigns each security an equal weight when calculating the portfolio variance.

load FundMarketCash 
Returns = tick2ret(TestData);
Fund = Returns(:,1);
ans = 5.3465e-04

Input Arguments

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Asset Returns, specified as a M-by-N matrix of M asset returns for N securities.

Data Types: double

Portfolio weights, specified as a R-by-N matrix of R portfolio weights for N securities. Each row of Weight constitutes a portfolio of securities in Asset.

Data Types: double

Output Arguments

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Variance of portfolio assets, returned as a numeric value.


[1] Bodie, Kane, and Marcus. Investments. McGraw Hill, Chapter 7, 2013.

Version History

Introduced before R2006a