Transform a Variance Matrix to be Relative to a Benchmark
Returns a matrix (or 3-dimensional array) with dimensions one smaller than the input. The returned variance is relative to the benchmark.
required. A variance matrix or a three-dimensional array where each slice of the third dimension is a variance matrix.
A character string naming which asset in
a matrix or array similar to the input
variance, but with one
less asset and containing variances that are relative to that asset.
There is a
call attribute which gives the command that created
the object (and hence the benchmark to which the object is relative).
This help was last revised 2012 January 20.
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