How can calculate this formula?

I have a matrix of price time series (p1,p2...pn) and their weights w(1,n). How can calculate this formula?

Answer 1

[Matt J]

v = w(:) .* sigma(:);

sigmaIndex = v.' * rho * v;

[fede]

I don't understand

[Matt J]

I had a typo. The 2nd line should be

sigmaIndex = v.' * rho * v;

If that wasn't the misunderstanding, it's unclear what is. All of the variables are from notation given by you in your post.

[Torsten]

Note that the diagonal of the matrix rho has to be set to 1.

Best wishes

Torsten.