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  1. #9
    VBAX Guru Kenneth Hobs's Avatar
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    Paul, weight=fraction=%. If X1=10% then 10% was invested in stock 1. If X2=20% then 20% was invested in stock 2 and so on.

    On sites like this one, the weight is divided equally. For N (number of stock) = 13 then each would weight as 1/13.
    http://www.assetcorrelation.com/

    This site has some correlation coefficients for up to 15 stocks for 15-30 days. Not sure how they compute those.
    http://www.macroaxis.com/invest/mark...-Fund-Total-Bo

    I am working on a macro to make filling the correlation coefficient matrix using just the data shown in the first link. I will check it against what my udf shows. (Based on the quote below, this will not be needed.)

    Based on some other web site's definition, the formula is misleading to my way of thinking. I will modify my code to conform with the following exception in the last sentence to the formula. The probability matrix should look more like that on the assetcorrelation site. So, instead of 25 sums for the 5 stocks, we would just need 5*2=10 as you said ilyenabox.
    Where Q is the intra-portfolio correlation, Xi is the fraction invested in asset i, Xj is the fraction invested in asset j, Pij is the correlation between assets i and j, The expression may be computed at least when i does not equal j.
    Last edited by Kenneth Hobs; 01-22-2009 at 09:22 PM.

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