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I am trying to follow the paper here https://www.wiwi.uni-siegen.de/banken/dokumente/2._szenariobasierte_aa_englisch.pdf and implement the minimum regret approach. In particular, the decision under risk- minimum regret approach pag 39 However, I am stuck on how the author effectively computed the scenario-specific variance-covariance matrices Σs (pag. 24). I thought he simply computed RsRsT (ex. return for scenario 1 times itself transpose) but that is not the case unfortunately. In Annex A such Σs are reported and I can see RsRsT is not the way to get them. If any of you ever used this approach can please help? my code is already ready just the covariance has to be plugged. Thanks. Luigi

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