Function portfolioVariance

portfolioVariance(
covariance: readonly (readonly number[])[],
weights: readonly number[],
): number
wᵀ·H·w: the variance of a portfolio with weights w on assets whose covariance is H.
Parameters
- covariance: readonly (readonly number[])[]
- weights: readonly number[]
Returns number
- Defined in src/dcc.ts:292