correlation-weighted

Its been a few years out of school so my math is a bit rusty. So I'm not following dowd's example 4.1 for Correlation Weighted HS in the notes, page 26. Some questions: how did you get A = [1, 0, p, sqrt(1-p^2)] How did you get that the correlation of A bar is 0.9?

Learning objectives: Compare and contrast the age-weighted, the volatility-weighted, the correlation-weighted, and the filtered historical simulation approaches. Identify advantages and disadvantages of non-parametric estimation methods. Questions: 711.1. Bertha the risk analyst has sorted...