Hot answers tagged derivation
What is the data basis that you start from? If you just have the covariance matrix, then you can only calculate portfolio variance or volatility by $$ w^T \Sigma w$$ where $w$ are the portfolio weights and $\Sigma$ is the covariance matrix. If you have the individual asset continuously compounded returns $r^j_t$ where $j$ indexes assets, $j=1,\ldots,N$, and ...
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