var.relative.benchmark {BurStFin} | R Documentation |

## Transform a Variance Matrix to be Relative to a Benchmark

### Description

Returns a matrix (or 3-dimensional array) with dimensions one smaller than the input. The returned variance is relative to the benchmark.

### Usage

```
var.relative.benchmark(variance, benchmark)
```

### Arguments

`variance` |
required. A variance matrix or a three-dimensional array where each slice of the third dimension is a variance matrix. |

`benchmark` |
required.
A character string naming which asset in |

### Value

a matrix or array similar to the input `variance`

, but with one
less asset and containing variances that are relative to that asset.

There is a `call`

attribute which gives the command that created
the object (and hence the benchmark to which the object is relative).

### Revision

This help was last revised 2012 January 20.

### See Also

`var.add.benchmark`

, `var.shrink.eqcor`

,
`factor.model.stat`

, `threeDarr`

.

### Examples

```
var.orig <- array(c(400, 32, 24, 32, 64, 9.6, 24, 9.6, 144), c(3,3),
list(c("equities", "bonds", "commodities"),
c("equities", "bonds", "commodities")))
var.aa <- var.add.benchmark(var.orig, c(equities=.6, bonds=.4), "e60b40")
var.rel <- var.relative.benchmark(var.aa, "e60b40")
```

[Package

*BurStFin*version 1.3 Index]