What I want to do is the following:
Let's say I have two assets 1 and 2, and have a 2x2 covariance matrix.
Then I have two portfolios A and B made of weights from assets 1 and 2.
What I would like to do is create a 4x4 covariance matrix of assets 1 and 2 and portfolios A and B.
I know how to calculate the covariance of the portfolios to the assets, I'm interested if there's a 'shortcut' to creating the 4x4 matrix using matrix algebra vs. building it from parts.