Timeline for How do I calculate the weighted variance, $\sigma^2$, of a set of $N$ random variables considering their correlation $\rho$?
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| Sep 17, 2022 at 17:01 | comment | added | javascript-scholar | Thank you, Lars, this was a great finance/math answer that helped me to follow along. I still need to figure out some things about Matrix Algebra, such as what the $T$ transpose does. I will try to implement this in my code and hope you do not mind if I ask some clarifying questions if needed. And, indeed, this is related to Markowitz MPT! | |
| Sep 17, 2022 at 16:58 | vote | accept | javascript-scholar | ||
| Sep 17, 2022 at 14:55 | history | answered | Count | CC BY-SA 4.0 |