The elements along the diagonal of the variance/covariance matrix are:
A)covariances.
B)security weights.
C)security selections.
D)variances.
E)None of the above.

Question

Quizplus · Accepted Answer

The diagonal of the variance/covariance matrix represents the variances of each individual security, which measure the variability of returns for that security alone. Therefore, the best choice is D) variances.

The Elements Along the Diagonal of the Variance/covariance Matrix Are