Hey guys… Any help with the following? correlation between asset A and B. Knowns: Sd of A and B as well as market, Beta of A and B I know this is a simple formula… Just can’t seem to locate it.
Can you post the problem itself as I think some info is missing. We can calculate Cov(AM) and Cov(BM) from Beta: Cov(AM) = BetaA * (st.Dev.M)^2 Cov(BM) = BetaB * (st.Dev.M)^2 We need to calculate Cov(AB) in order to derive correlation: Correlation(AB) = Cov(AB)/(St. Dev. A*St.Dev.B)
at first glance of your post i thought you are missing info. but looks like you have everything. here is a hint, step 1 : find the covariance of A&B you need all of this beta of A, B and market’s standard deviation. step 2 : if you get the cov AB , use the sashka 's correlation formula. cheers, i
I don’t think so. As stated the best you can do is get some limits. Now if you knew something like Var(A + B) you could get somewhere.
thank you. I was close