Welcome to our Knowledge Base

Equal Correlation

You are here:
< last topic

Equal Correlation

Equal correlation method which assumes every two different assets shares the same correlation. In this way, we just have to know the correlation between assets, we can gain covariance matrix.

\(\rho_{ij} =
1 & \text{i=j} \\
c & \text{else} 
\end{cases} \)

, where c is a constant. In this way, we have \(\Sigma_{ij} = Cov(x_i,x_j) = \rho_{ij}\sigma_i \sigma_j \).

Was this article helpful?
0 out of 5 stars
5 Stars 0%
4 Stars 0%
3 Stars 0%
2 Stars 0%
1 Stars 0%
How can we improve this article?
Table of Contents

Leave a Reply

Your email address will not be published. Required fields are marked *