CORRELATION / COVARIANCE MATRIX

  • Thread starter Thread starter Guest
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Guest

Hello all,

I'm stumped on a question and hoping someone can help me out.

When I produce a matrix it gives me only one half of the matrix (Bottom
Left). I realize that the Upper Right half would be a mirror image but I
need both halves in order to construct a Markowitz Optimal Portfolio Model.
I have so much information that copying and pasting will not work. Does
anyone know how to get Excel to produce a complete matrix or if there is an
easy way to build a complete matrix from the data?

Thanks in advance.
 
Walker said:
When I produce a matrix it gives me only one half of the matrix
(Bottom Left). I realize that the Upper Right half would be a
mirror image but I need both halves in order to construct a
Click to expand...
....

You might as well construct it using the matrix algebra form of
the covariance matrix using Excel's matrix algebra functions: MMULT,
TRANSPOSE and MINVERSE.
 
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