Ultimately I'm trying to calculate stdev contribution, but I've hit a hurdle.
What I have:
20x20 correlation matrix for various assets
Standard deviations for each asset
Returns for each asset
Weights corresponding to various portfolios
What I've derived:
Variance/Stdev for each of the portfolios
What I want:
Risk contributions for each asset in each portfolio, but that requires correlation of each asset to each individual portfolio.
So that's my hang up. I can't seem to figure out how to calculate Covar(asset,portfolio) or correl(asset,portfolio).