Portfolio variance

Portfolio variance

Weighted sum of the covariance and variances of the assets in a portfolio.

Portfolio Variance

A measure of volatility in a portfolio. It is calculated by taking the variance and co-variance of each security in the portfolio and weighting them in proportion to that security's representation in the portfolio. It differs from a weighted average of the variances of the securities because it includes the co-variances.
References in periodicals archive ?
We use Black (1972) to find closedform solutions for the optimal portfolio weights, portfolio expected return, and portfolio variance of the VaR investor.
At their core, robos are based on mean-variance optimization (MVO) the key to which is a portfolio variance formula that works like this in a two-asset example:
Following the mean-variance model [attributed to Markowitz (1959)], the optimal hedge ratio that maximises expected utility for infinite degree of risk aversion and also minimises portfolio variance, is: (5)
Alternatively, the MV optimization can be set to minimize the portfolio variance for a given expected target return.
The change in portfolio variance is dependent on the size and value of the position holdings.
The second section analytically presents the three key concepts for tracking indices: tracking error variance, excess return, and portfolio variance.
Changes in the Components of the Industry Portfolio Variance
i], and decreasing in scaled portfolio variance (risk), [[sigma].
The objective of MV model is to find the weight of assets that will minimize the portfolio variance at a level of required rate of return.
Portfolio variance depends on the variance of each asset and also the correlations among themselves.
To create the efficient frontier we specified a return and had solver minimize the portfolio variance by changing the weight invested in each stock.