medium · Quantitative Finance
If you have two portfolios with weight vectors w_1 and w_2, what matrix expression gives the covariance between their returns?
- Σ (w_1 + w_2)
- W_1 Σ w_2^top
- W_1^top Σ w_2
- W_1^top w_2 · Tr(Σ)
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