How do you calculate the one day standard deviation (in dollars) for a portfolio that is short $30,000? How do you calculate the weightings to use? I already have the necessary covariance matrix.
Your weights, including cash, should sum to 1. Divide the positions by the portfolio net asset value to get the weights. For example, a \$100 portfolio with a \$50 short position would have \$150 in cash so the weights would be -0.5 and 1.5 for the stock and cash respectively.