Example #1
0
 function variancePortfolio($weights, $returns)
 {
     $TranspWeight = $this->transpose($weights);
     $ArrayCov = $this->covarianceMatrix($returns);
     $object1 = new self($weights, $ArrayCov);
     $Mult = $object1->multiplicationMatrix($weights, $ArrayCov);
     $object2 = new self($Mult, $TranspWeight);
     $MatrixCovPort = $object2->multiplicationMatrix($Mult, $TranspWeight);
     $CovPort = $MatrixCovPort[0];
     return $CovPort;
 }