{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

Four Asset Variance

# Four Asset Variance - Four Asset Portfolio Variance 1...

This preview shows page 1. Sign up to view the full content.

Four Asset Portfolio Variance 1. Covariance Form σ p 2 = w 1 w 1 σ 11 + w 1 w 2 σ 12 + w 1 w 3 σ 13 + w 1 w 4 σ 14 + w 2 w 1 σ 21 + w 2 w 2 σ 22 + w 2 w 3 σ 23 + w 2 w 4 σ 24 + w 3 w 1 σ 31 + w 3 w 2 σ 32 + w 3 w 3 σ 33 + w 3 w 4 σ 34 + w 4 w 1 σ 41 + w 4 w 2 σ 42 + w 4 w 3 σ 43 + w 4 w 4 σ 44 σ p 2 = w 1 2 σ 1 2 + w 2 2 σ 2 2 + w 3 2 σ 3 2 + w 4 2 σ 4 2 + w 1 w 2 σ 12 + w 1 w 3 σ 13 + w 1 w 4 σ 14 + w 2 w 1 σ 21 + w 2 w 3 σ 23 + w 2 w 4 σ 24 + w 3 w 1 σ 31 + w 3 w 2 σ 32 + w 3 w 4 σ 34 + w 4 w 1 σ 41 + w 4 w 2 σ 42 + w 4 w 3 σ 43 2. Correlation Form σ p 2 = w 1 2 σ 1 2 + w 2 2 σ 2 2 + w 3 2 σ 3 2 + w 4 2 σ 4 2 + w 1 w 2 σ 1 σ 2 ρ 12 + w 1 w 3 σ 1 σ 3 ρ 13 + w 1 w 4 σ 1 σ 4 ρ 14 + w 2 w 1 σ 2 σ 1 ρ 21 + w 2 w 3 σ 2 σ 3 ρ 23 + w 2 w 4 σ 2 σ 4 ρ 24 + w 3 w 1 σ 3 σ 1 ρ 31 + w 3 w 2 σ 3 σ 2 ρ 32 + w 3 w 4 σ 3 σ
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### What students are saying

• As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

Kiran Temple University Fox School of Business ‘17, Course Hero Intern

• I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

Dana University of Pennsylvania ‘17, Course Hero Intern

• The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

Jill Tulane University ‘16, Course Hero Intern