topic Re: Matrix multiplication in QlikView

Matrix multiplication

Wed, 25 Nov 2020 16:16:04 GMT

I'm trying to implement something to make a matrix multiplication.
I have two pivot table. The first is VaR pivot table:

VaR table has as:
- used Dimension: Equity

- expression: Stdev([Countinuosly compounded return])* NORMINV(0.95,0,1) * Total_Investment_on_Each_Equity

The second pivot table is the Correlation table built using this thread Calculate correlation coefficient among all pairs of equities:

Now my target is to make a matrix multiplication:
VaR(transposed) * Correlation.

sunny_talwar — Fri, 15 Apr 2016 16:59:12 GMT

Do you have a sample you can share with the kind of output you are looking for?

UPDATE: Sample alone should work

Fri, 15 Apr 2016 19:06:38 GMT

Here we are.
In this project you can find two pivot table: the Value at risk and the correlation matrix.

Mi target is to make the matrix multiplication between the matrix of value at risk(transposed) and the correlation matrix.

P.S. I am not able to open qlikview file since I'm using a personal edition.

Thank you, again, for your kindness and patience.

sunny_talwar — Fri, 15 Apr 2016 20:11:32 GMT

Does this look right to you, number wise:

Expression:

=Correl([Adj Close], [_Adj Close]) * Stdev([Countinuosly compounded return]) * NORMINV(0.95,0,1) * Total_Inv

Dimensions:

Notice that I have swapped Equity and _Equity dimensions