Four Asset Variance

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

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

View Full Document Right Arrow Icon
Four Asset Portfolio Variance 1. Covariance Form ( a ) 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 ( b ) 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 ( a ) 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 4
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 07/14/2010 for the course UGBA 18195 taught by Professor Johngonzales during the Summer '10 term at Berkeley.

Ask a homework question - tutors are online