Calculating Portfolio Variance using the Variance Covariance Matrix in Excel
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- Опубликовано: 22 авг 2024
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This is the second video in a series that illustrates how to use the Variance Covariance Matrix to estimate the Portfolio Standard Deviation. Estimating the Variance of the portfolio is important for understanding the benefits of diversification and for also also estimating Value at Risk type metrics etc.
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Really helped me finished my Wharton Capstone. Finally!
the best method and explanation ever!! Hat off to you Sir!
Thanks a lot man. Didn't knew the CTRL+SHIFT+ENTER trick to make it work.
it doesn`t work with me, do you know how to fix it ?
@@rahafnasser9747 when you put the formula on the cell and press enter you get an error (That's ok because you are using the same data twice). Then you have to click that cell and press ctrl+shift+ enter and it somehow comes up with the result. That's all i know, hope it helps.
The formula for portfolio variance doesn't appear to work in Excel for a 23 asset portfolio. I keep getting the value error. I copied your formula and yes I pressed Ctrl shift enter.
I got the value error when I used the default var-cov matrix from excel; it leaves the upper triangular 0 by default. It worked fine when I fixed that.
Thank you for your efforts. Please upload more.
Great explanation. Thanks a lot, sir!
Thank you!
you solve my problem, I was struggling with variance calculation, thankq
Thank you Sir
thanks a lot sir..really informative stuff
I cant thank you enough mate
how to we calculate for the weighted covarience table
Is there any method to calculate VAR at different correlation level through variance-covariance method? Please reply
Very Informative, Thanks
thank you!
How do we calculate the shares outstanding ??
thank you
Hi Sir. What if I have a short position in my portfolio? Should
I have negative weitghs then..? Thanks
If there are 30 stocks, how do we deal with them?
same method
danke je wel
Why do we assume the returns is 0.1? Is that a rule or is there a reason ?
nop Just part of the example.
Why cant we take the mean of the average returns of each individual stock over holding period as the return?
Great work
Sir please how did u get the shares outstanding?
how can covariance of GE GE is 0.1?????? Shouldnt it be 1???
Prateek Sarin cause it is the variance of GE
you are confusing with correlation
The variance of GE is the sum of all returns (x - average)^2 divided by (number of observations - 1). Covariance is the sum of all returns for first stock (x - average) times sum of all returns for second stock (y - average) divided by (number of observations - 1). So if both stocks of the same then its the sum of (x - average)*(x - average) / n-1 = sum of (x - average)^2 / n -1 = variance. The covariance of a series with itself is therefore equal to the variance of the series. So GE covariance with itself = GE's variance.
Thank you!
Thank you!