Portfolio Variance of a Portfolio of N Assets in Python

python arrays numpy portfolio variance

np.dot(weights.T,np.dot(covar,weights))# array([[ 0.00064654]])

For 2D numpy arrays, np.dot is equivalent to matrix multiplication.

For a 2D array np.dotted with a 1D array, np.dot is equivalent to matrix-vector multiplication.

For 1D arrays, np.dot is equivalent to the inner product.

For numpy arrays, the * performs element-wise multiplication (with broadcasting if necessary).

weights.T*np.matrix(covar)*weights#matrix([[ 0.00064654]])

Alternatively, if you convert covar to a np.matrix, then * is equivalent to matrix multiplication.

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