Please help me, how can calculate this?

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fede 2015-11-5

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评论： fede 2015-11-5

I have: vector of weights w(1,n); a var-cov matrix sigma (n,n); a correlation matrix corrm(n,n). I have to calculate this formula. I can do utilizing matlab code?

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Federico Becattini 2015-11-5

There is something wrong with the notation. Sigma should be a matrix but is indexed as a vector.

fede 2015-11-5

for example consider the case in which i have a vector of all standardeviation for each price, called pi. How can i proceed?

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