2
$\begingroup$

Given a long / short equity portfolio, I want to have some net long exposure.

My portfolio volatility is fixed to a target, so in trying to have a certain beta to the market, the only thing I can control is my correlation to the market.

If I know the correlations of my stocks to each other and to the market, how can I target a correlation?

$\endgroup$

Your Answer

By clicking "Post Your Answer", you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.