Advertisement

07.01.2007 at 03:18PM PDT, ID: 22669593
[x]
Attachment Details

Calculating a correlation formula with matrices

Asked by mircea_a in Probability & Statistics, Math & Science Questions, Algorithms

Tags: correlation, formula, calculating

Hello,

I have a formula for intra-portfolio correlation but I think that it would be much easier to compute using matrices. Can someone show me please, how can I compute Q using the intraportfolio correlation formula using matrices? (the formula can be found at: http://en.wikipedia.org/wiki/Diversification_%28finance%29)

I thought that I would have two vectors: I containing Xi values, J containing Xj and a matrix P containing the correlation coefficients.

So, how can I coupute Q using the I,J vectors and P matrix?

Thanks,
MStart Free Trial
[+][-]07.01.2007 at 03:56PM PDT, ID: 19400383

Often, when Experts are collaborating with members who have asked questions, they will request additional information about the problem. Askers respond with an author comment like this one.

Start your 7-day free trial to view this Author Comment or ask the Experts your question.

 
[+][-]07.02.2007 at 05:46AM PDT, ID: 19402862

Often, when Experts are collaborating with members who have asked questions, they will request additional information about the problem. Askers respond with an author comment like this one.

Start your 7-day free trial to view this Author Comment or ask the Experts your question.

 
[+][-]07.06.2007 at 05:59AM PDT, ID: 19431365

View this solution now by starting your 7-day free trial. Setting up your free trial is quick, easy, and secure. We will return you to this solution, unlocked, when you're done.

 

About this solution

Zones: Probability & Statistics, Math & Science Questions, Algorithms
Tags: correlation, formula, calculating
Sign Up Now!
Solution Provided By: JoseParrot
Participating Experts: 2
Solution Grade: A
 
 
[+][-]10.11.2007 at 02:43AM PDT, ID: 20055378

Experts Exchange has a courteous staff of administrators who help members get the most out of the website by means of administrative comments like this one.

Start your 7-day free trial to view this Administrative Comment or ask the Experts your question.

 
 
Loading Advertisement...
20080716-EE-VQP-32