portfolio variance
uses asset covariance and weight to calculate the portfolio return variance.
symbols, variables and units
w: weight vector; Σ: return covariance matrix at the same time scale; σ_p²: return squared.
applicable conditions and boundaries
Historical covariance may not represent the future; the definition of income and time frequency need to be unified.
formula source code
The following is a copyable LaTeX expression.
\sigma_p^2=w^{T}\Sigma wReference and Extended Learning
MIT OpenCourseWare · Finance Theory ↗is organized according to model definition and assumptions. Please check actual conditions and original literature before engineering, research and clinical use.
portfolio varianceRisk
Unified atmospheric reference conditions in the conceptual design of the