TODO add more details This wrapper function provides fast matrix calculations
for univariate, multivariate, and component contributions
to Standard Deviation.
It is likely that the only one that requires much
description is the component decomposition. This
provides a weighted decomposition of the contribution
each portfolio element makes to the univariate standard
deviation of the whole portfolio.
Formally, this is the partial derivative of each
univariate standard deviation with respect to the
weights.
As with VaR
, this contribution is presented
in two forms, both a scalar form that adds up to the
univariate standard deviation of the portfolio, and a
percentage contribution, which adds up to 100 that as with any contribution calculation, contribution
can be negative. This indicates that the asset in
question is a diversified to the overall standard
deviation of the portfolio, and increasing its weight in
relation to the rest of the portfolio would decrease the
overall portfolio standard deviation.