historic-simulation

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    Explain Correlation-weighted HS example

    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?
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