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The classic Markowitz risk is $$f=\boldsymbol{x}^{T} \Sigma \boldsymbol{x}$$

Now say I have a duration vector $\boldsymbol{d}$ for my assets; and also correlation (of say change of yield) matrix $\boldsymbol{\text{K}}$.

The naive approach would be $$f = \boldsymbol{d}^{T} \boldsymbol{x}$$

But is the Markowitz style approach using duration as the measure of risk legit as well? $$\Sigma = \text{diag}(\boldsymbol{d}) \; \boldsymbol{\text{K}} \; \text{diag}(\boldsymbol{d})$$ $$f=\boldsymbol{x}^{T} \Sigma \boldsymbol{x}$$

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