# Tag Info

Consider you have positions in $N$ assets, with market values $S$, and that the daily PnL is acquired via multiplying the daily returns vector, which is a random vector with some unknown joint probability distribution. $$p = S^T R$$ You are interested in variance of $p$ for constant $S$: $$Var(p) = E[(p-E[p])^2] = E[(S^TR - E[S^TR])^2]$$  Var(p) = E[(p-...