

Calculating volatility of multi-asset portfolio using Python - arngarden
http://www.arngarden.com/2013/06/02/calculating-volatility-of-multi-asset-portfolio-example-using-python/

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jongraehl
"Weighted average of the volatility" is an odd baseline. It presumes that the
assets are perfectly correlated. But assuming 0 correlation isn't defensible
either. If you didn't have information about the pairwise correlations, what
default value would you use for investment volatility?

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hughdbrown
If I didn't have the value, I would not use that approach. I'd use the sum of
the historical returns multiplied by their respective proportions and take the
standard deviation of those daily returns. That would be my volatility for the
portfolio.

