# Tag Info

Suppose you have $$X\equiv\left(x_{1},\: x_{2}\right)$$ where $x_{1}$ are the daily log returns of the security and $x_{2}$ are the daily log returns of the market. Assume further that $X$ is iid multivariate normal $$X\sim N\left(\mu,\Sigma\right)$$ People frequently calculate beta as $$\beta_{1,2}\equiv\frac{\Sigma_{1,2}}{\Sigma_{2,2}}$$ If you ...