skfolio.measures.variance

skfolio.measures.variance(returns, biased=False, sample_weight=None)

Compute the variance (second moment).

Parameters:

returnsndarray of shape (n_observations,) or (n_observations, n_assets)

Array of return values.

biasedbool, default=False

If False (default), computes the sample variance (unbiased); otherwise, computes the population variance (biased).

sample_weightndarray of shape (n_observations,), optional

Sample weights for each observation. If None, equal weights are assumed.

Returns:

valuefloat or ndarray of shape (n_assets,)

Variance. If returns is a 1D-array, the result is a float. If returns is a 2D-array, the result is a ndarray of shape (n_assets,).