Results 1 to 2 of 2

Math Help - Correlation problem help

  1. #1
    Newbie
    Joined
    Jul 2012
    From
    California
    Posts
    4

    Correlation problem help

    I am comparing the results of broad bond market to equity market for a hypothetical portfolio.

    The hypothetical portfolio consists of 60% large cap; 20% mid cap; 20% small cap equities.

    The correlation for the large, mid, & small cap to the broad bond market are -0.09, -0.05, -0.11 respectively.

    Would taking the weighted average of the correlation of the large, med, & small cap be the right approach to get the correlation for the bond market to the equity market?
    Follow Math Help Forum on Facebook and Google+

  2. #2
    Newbie
    Joined
    Jul 2012
    From
    California
    Posts
    4

    Re: Correlation problem help

    Well I figuered it out myself

    Since correlation are not additive I realized I cant just simply take the weighted average. So I transformed them into standard normal variables and then calculated the weighted average.
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Correlation
    Posted in the Advanced Statistics Forum
    Replies: 1
    Last Post: April 20th 2010, 06:44 AM
  2. Correlation Problem
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: February 4th 2010, 10:31 AM
  3. t-test and correlation problem
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: November 21st 2009, 01:06 PM
  4. Normal laws, correlation and probability problem
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: June 20th 2009, 09:13 AM
  5. sample correlation and population correlation
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: November 23rd 2008, 04:31 PM

Search Tags


/mathhelpforum @mathhelpforum