Пример #1
0
 public function portfolioStdDeviation()
 {
     $portfolio = new table_Portfolio();
     $w = $portfolio->weights();
     $n = 0;
     foreach ($w as $i) {
         $weights[$n] = $i;
         $n++;
     }
     $rets = $this->ReturnsArray();
     $j = 0;
     foreach ($rets as $r) {
         $returns[$j] = $r;
         $j++;
     }
     $matrix = new Finance_Matrix($weights, $rets);
     $variance = $matrix->variancePortfolio($weights, $returns);
     $portfolioStdDeviation = sqrt($variance);
     return $portfolioStdDeviation;
 }