[alThor]

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I can figure out the total variance of the portfolio given % of each security. I'm hoping there is a general way to do this, as I've never been a calculus freak.


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Do what mosdef said. Write variance as a function of the shares (you only need two variables, since the third is 1-x-y).
Take the derivative of VAR with respect to x and set equal to zero.
Take the derivative of VAR with respect to y and set equal to zero.
Solve those two equations you get.

alThor

PS Ed, unfortunately variance is not linear.