Calculate the average correlation between mmi assets first, Risk Management

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Calculate the average correlation between mmi assets first

Calculate the average correlation between MMI assets. First, calculate the average volatility of each asset. Second, calculate the volatility of the equal-weighted portfolio of the assets. Use Eq. (3.4) to estimate the average correlation.

Text Book: Active Portfolio Management, 2/E By Grinold.o Management, 2/E By Grinold.

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