# Calculating average portfolio volatility

I have a question regarding calculating portfolio volatility. In my "problem", there are six portfolios. Five that have a holding length of one year and one that has a holding length of 200 days. Furthermore, they do not occur at the same time. Portfolio 1 in 2016, portfolio 2 in 2017, ... All six portfolios contain varying assets during their holding period, which means that the portfolios are not identical. The asset classes also have different correlations in each portfolio. My question is: how do I calculate the average volatility of these six portfolios? I thought that just taking the weighted average would be incorrect.

Any help is much appreciated! Thank you in advance.

• I am not sure I understand the problem. Do you have the daily returns for each portfolio during the relevant subperiod? If so you could put these returns together in one long vector for the whole period and find the volatility of these returns. Nov 17 '21 at 11:32