Vector * Matrix

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From: Greg Heath on 29 Mar 2010 12:23

---

On Mar 29, 11:49 am, "James " <james.pear...(a)schneidertrading.com>
wrote:
> "us " <u...(a)neurol.unizh.ch> wrote in message <hoqgsr$1a...(a)fred.mathworks.com>...
> > "James " <james.pear...(a)schneidertrading.com> wrote in message <hoqgbg$l2...(a)fred.mathworks.com>...
> > > Hi could any one help iv created a formula in excel which iv tried
> > >to re-create in Matlab but it is coming out with a different value.
>
> > > CovMatrix = 10x10 Matrix
> > > PosVal = 10x1 Vector
>
> > > My forumla in excel is:
>
> > > VP = MMULT(CovMatrix, PosVal)
> > > PortVar = MMULT(transpose(PosVal), VP)
>
> > > My forumla in Matlab is:
>
> > > VP = CovMatrix * PosVal
> > > PortVar = PosVal' * VP
>
> > > VP on both occasions comes out the same put then when i multiply
> > > this by the transpose of the PosVal this is where it seems to come
> > > out different.
>
> > > Thanks
>
> > show CSSM a small input/output example...
>
> > us
>
> Here is some test data
>
> Matrix
>
> 0.00000588      0.00000044      0.00000063      0.00000027      0.00000067
> 0.00000044      0.00000009      0.00000010      0.00000006      0.00000010
> 0.00000063      0.00000010      0.00000013      0.00000007      0.00000013
> 0.00000027      0.00000006      0.00000007      0.00000005      0.00000007
> 0.00000067      0.00000010      0.00000013      0.00000007      0.00000014
>
> PosVal
>
> 220676  -15524092       15451726        7778564  -7707771
>
> Excel =:
>
> PortVar = 232236
>
> Matlab =:
>
> PortVar = -507204400


>> A = [...
0.00000588 0.00000044 0.00000063 0.00000027
0.00000067
0.00000044 0.00000009 0.00000010 0.00000006
0.00000010
0.00000063 0.00000010 0.00000013 0.00000007
0.00000013
0.00000027 0.00000006 0.00000007 0.00000005
0.00000007
0.00000067 0.00000010 0.00000013 0.00000007
0.00000014 ]

x = [...
220676 -15524092 15451726 7778564 -7707771 ]'

Ax = A*x
xtAx = x'*Ax

A =
5.88e-006 4.4e-007 6.3e-007 2.7e-007 6.7e-007
4.4e-007 9e-008 1e-007 6e-008 1e-007
6.3e-007 1e-007 1.3e-007 7e-008 1.3e-007
2.7e-007 6e-008 7e-008 5e-008 7e-008
6.7e-007 1e-007 1.3e-007 7e-008 1.4e-007


x =
220676
-15524092
15451726
7778564
-7707771

Ax =
1.1376
-0.058962
0.13783
0.059142
0.06958


xtAx = 3.2198e+006

Hope this helps.

Greg

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