Volatility

v1.0.0

Compute the volatility (i.e., standard deviation) of one or several portfolio(s) from either:

Portfolio assets covariance matrix
Portfolio values

References

Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution
Harry M. Markowitz, Portfolio Selection, Efficient Diversification of Investments, Second edition, Blackwell Publishers Inc.

Input

{
  "type": "object"
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioVolatility"
        ],
        "properties": {
          "portfolioVolatility": {
            "type": "number",
            "description": "The volatility of the portfolio"
          }
        }
      }
    }
  }
}