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system
getting correlation from regression slope (completely stumped)
user
using the following equations from the book a stab at the correlation can be made.   calculating the residual volatilities from equation 2.4 the correlation of stock a with stock b is 0.378 and stock b has the higher residual volatility. however, the correlation is given as a "simple model", which may suggest that it is an approximation.  if i have applied it correctly, some testing shows that it is only approximate. also of interest
assistant