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How can calculate this formula?

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fede
fede 2015-11-5
编辑： Torsten 2015-11-6
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
Matt J 2015-11-5
编辑：Matt J 2015-11-5
v = w(:) .* sigma(:);
sigmaIndex = v.' * rho * v;
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Matt J
Matt J 2015-11-5
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
Torsten 2015-11-6
编辑：Torsten 2015-11-6
Note that the diagonal of the matrix rho has to be set to 1.
Best wishes
Torsten.

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