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Please help me, how can calculate this?
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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?
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/151457/image.png)
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Federico Becattini
on 5 Nov 2015
There is something wrong with the notation. Sigma should be a matrix but is indexed as a vector.
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