Calculating the Variance –Covariance matrix . MGT 4850 Spring 2008 University of Lethbridge. Efficient Portfolios. Efficient frontier Black (1972) – convex combination of any two efficient portfolios, e.g. if we have two efficient portfolios we can find the whole efficient frontier.
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Calculating the Variance –Covariance matrix
University of Lethbridge
Function VarCovar(rng As Range) As Variant
Dim i As Integer
Dim j As Integer
Dim numCols As Integer
numCols = rng.Columns.Count
Dim matrix() As Double
ReDim matrix(numCols - 1, numCols - 1)
For i = 1 To numCols
For j = 1 To numCols
matrix(i - 1, j - 1) = Application.WorksheetFunction.Covar(rng.Columns(i), rng.Columns(j))
VarCovar = matrix