Yes sigma is another name for standard deviation. The covariance matrix is calculated from the correlation matrix in my example workbook (actually the correlations are initially calculated from the covariances, but then just the correlations are published so we have to calculate the covariances again from the correlations). All you need to do is 1) supply the standard deviatios and the correlations, and 2) adjust the remaining formulas for the proper dimensions. The formulas should all extend properly by just dragging them. Post back if you have trouble.
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