# Tag Info

You will need the covariance matrix to calculate this. Say you have a collection of $n$ assets. The value of asset $i$ is represented by the random variable $X_i$ and the corresponding portfolio weight is are $w_i$, and $v_i$ for the two portfolios. The correlation between the two portfolios is:  \frac{\sigma(w^TX,v^TX)}{\sqrt{(w^T\Sigma w)(v^T\Sigma ...