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How can calculate this formula?

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fede
fede 2015-11-5
评论： fede 2015-11-5
I have a vector of weight w(1,n) and a correlation matrix p(n,1) created from n time series. How can calculate this formula?
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Torsten
Torsten 2015-11-5
Are the sums in numerator and denominator double sums (outer sum from i=1...n and inner sum from j=i+1,...,n) or does rho_realized depend on j ?
Best wishes
Torsten.
fede
fede 2015-11-5
I don't understand your question. the documentation is the following:

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