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Variance for portfolio of assets


V = portvar(Asset,Weight)



M-by-N matrix of M asset returns for N securities.


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


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

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


Bodie, Kane, and Marcus. Investments. Chapter 7.

Introduced before R2006a