How can calculate this formula?

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fede on 5 Nov 2015

Commented: fede on 5 Nov 2015

I have a vector of weight w(1,n) and a correlation matrix p(n,1) created from n time series. How can calculate this formula?

Torsten on 5 Nov 2015

Are the sums in numerator and denominator double sums (outer sum from i=1...n and inner sum from j=i+1,...,n) or does rho_realized depend on j ?

Best wishes

Torsten.

fede on 5 Nov 2015

I don't understand your question. the documentation is the following:

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