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

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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
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This note was uploaded on 09/27/2009 for the course UGBA 133 taught by Professor Distad during the Summer '08 term at University of California, Berkeley.

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