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  1. Nicole Seaman

    YouTube R Programming Introduction: Matrices (R intro-05)

    In R a matrix is an atomic vector with the dimension attribute. In this example, the correlation matrix is entered as a vector with sixteen elements: rho_v <-c(1.000, ...). Then the vector is translated into a matrix with rho <- matrix(rho_v, nrow = 4, ncol =4). Now it is a matrix because it has...
  2. kevolution

    Covariance matrix vs variance formula for 2-asset question

    I was looking at this specific 2-asset portfolio example and noticed that BT uses the matrix formula to get the variance of P. What I'm confused about is why do you not use the variance formula: variance = X1^2*stddev(asset1)^2 + X2^2*stddev(asset2)^2 +...