How can calculate this formula?
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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
am 5 Nov. 2015
Bearbeitet: Matt J
am 5 Nov. 2015
v = w(:) .* sigma(:);
sigmaIndex = v.' * rho * v;
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Matt J
am 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.
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