Serving the Quantitative Finance Community

 
User avatar
liza
Topic Author
Posts: 0
Joined: May 30th, 2003, 6:40 am

covariance between a basket and index????

October 22nd, 2003, 6:30 pm

I am really confused. How can I calculate covariance between created basket of stocks and market index? Does it just sum of weight averages of covariance between each stock in basket and real index???
 
User avatar
Mukuzani
Posts: 3
Joined: March 12th, 2002, 3:59 am

covariance between a basket and index????

October 22nd, 2003, 6:51 pm

You got it