How the ExpCovariance matrix is calculated in ewstats function?

Hi all,

I'm checking the ewstats function definition at this link:

ewstats definition

The ExpReturns vector is well defined. But I can't find how the ExpCovariance matrix is calculated. Could you provide its definition, please?

Thank you.

[Nicholas Thomason]

Hello,

For what it's worth I wholeheartedly second this request - could you tell us how expCov is calculated using ewstats pls?

I undertstand that "There is no relationship between ewstats function and the RiskMetrics® approach for determining the expected return and covariance from a return time series." but i need to know how/why they are different

Many thanks