Matrix multiplication using measures

Anonymous Ensure that you have relationships set up between your vol and correlation tables based on the id columns.

First, create a measure to calculate the variance for each id in the vol table.

dax
Variance =
VAR CurrentID = SELECTEDVALUE(vol[id])
RETURN
CALCULATE(
SUMX(
vol,
IF(vol[id] = CurrentID, vol[value]^2, 0)
)
)

Next, create a measure to calculate the covariance using the correlation table and the variance measure.

dax
Covariance =
VAR CurrentIDRow = SELECTEDVALUE(correlation[id_row])
VAR CurrentIDColumn = SELECTEDVALUE(correlation[id_column])
VAR VolRow = CALCULATE(SUM(vol[value]), vol[id] = CurrentIDRow)
VAR VolColumn = CALCULATE(SUM(vol[value]), vol[id] = CurrentIDColumn)
VAR CorrelationValue = CALCULATE(SUM(correlation[value]), correlation[id_row] = CurrentIDRow && correlation[id_column] = CurrentIDColumn)
RETURN
VolRow * VolColumn * CorrelationValue

Add a Matrix visual to your Power BI report.
Place id_row from the correlation table in the Rows.
Place id_column from the correlation table in the Columns.
Place the Covariance measure in the Values.