Hi All,could someone take me through why the portfolio variance can be written like this [$]x'Mx[$] in matrix form? where [$]M[$] is the cov matrix and [$]x[$] the assets weights. Is there any mathematical rule behind that?[$]Var(x'R) [$]= [$]x'Mx[$], where [$]R[$] are the assets returnsAlso a similar thing, the cov of 2 portfolio returns as [$]x'My[$] , where [$]y[$] are the weights of the other portfolio. Thanks
Last edited by borabora
on July 10th, 2015, 10:00 pm, edited 1 time in total.