![]() Even if you corrected your code and applied the correct formula, you will probably still have minor differences because of the corrected downward bias of the SD estimator.Įdit: sorry I misread the code. So those are the reasons you get different results. It is reasonable to expect, that the results are not completely independent. While the distributions are iid, the sample covariance will probably not be zero. The square of this is then no longer guaranteed to be the same.ģ. Because of this, correction might have been made by R. What I'm actually interested in is the weighted standard deviation of each portfolio. This is calculated using the variance between the mean returns of the portfolios. The standard deviation is a biased estimate if estimated via the variance. But, the standard deviation displayed in the second column is not the right one. So for independent random variables $X$ and $Y$ you can write $\rm \\ġ. ![]() You're confusing addition of random variables with concatenation of samples (easy to do, it took me a while to realize why your code didn't work!).
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