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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.
Do you have a sample you can share with the kind of output you are looking for?
UPDATE: Sample alone should work
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.
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