## Investment Portfolio Basics

- By Andrea Idini
- In Finance
- With No Comments
- Tagged with definition portfolio portfolio optimization
- On 3 May | '2015

Considering the vector of assets *i* weight in the portfolio (with constrain ) and the vector of expect returns on the corresponding assets.

Considering the volatility of the given asset, corresponding to the standard deviation of the normal distribution of returns (and thus the risk), and the correlation between assets.

The Total Return is given by:

And the Total Risk is

with the covariance matrix with elements