How can calculate this formula?

5 Nov 2015

1 Answer

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I have a matrix of price time series (p1,p2...pn) and their weights w(1,n). How can calculate this formula?

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Matt J on 5 Nov 2015

Edited: Matt J on 5 Nov 2015

1 vote

v = w(:) .* sigma(:);
sigmaIndex = v.' * rho * v;

Matt J on 5 Nov 2015

I had a typo. The 2nd line should be

sigmaIndex = v.' * rho * v;

If that wasn't the misunderstanding, it's unclear what is. All of the variables are from notation given by you in your post.

Torsten on 6 Nov 2015

Edited: Torsten on 6 Nov 2015

Note that the diagonal of the matrix rho has to be set to 1.

Best wishes

Torsten.

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