PORTFOLIORISK

Calculate portfolio risk from a vector of weights, risk, and correlation matrix.

Description

Portfolio risk is simply a vector product of asset weights and the covariance matrix. Compute portfolio risk conviniently without having to nest complex array formulas in Microsoft Excel.

Syntax

The following describes the function signature for use in Microsoft Excel's formula bar.

=PORTFOLIORISK(weights, sigma, rho)

Input(s)

Argument	Description
weights	Vector of weights
sigma	Vector of risk estimates (or covariance matrix)
rho	Correlation matrix. You do not need to specify rho if sigma is a covariance matrix.

Output(s)

Portfolio risk estimate.

Example