• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Portfolio Variance of Log Returns

Hi, I wish to ask about how to combine a series of log return time series to derive the portfolio variance - I understand that log returns is additive across time but not across components - hence for portfolio mean, the procedure is to change them to arithmetic form before doing the weights and then take the log of it. May I ask what is the procedure to do so for variance then? I haven't seen any code examples transforming it back to percentage returns so I thought perhaps I am missing something.