Singer-Terhaar and adding securities to portfolios

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发表于 2011-7-11 19:18 | 只看该作者

wi*LP+(1-wi)*LP=LP

So it ends up with same LP -- liquidity premium added.

IAmNeil

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发表于 2011-7-11 19:18 | 只看该作者

i dont know what all of those fancy symbols mean deriv, but i think you add the premium

Valores

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发表于 2011-7-11 19:18 | 只看该作者

i saw this on another thread but don't want to hunt it down so im kidnapping this thread.

Somebody said you add the liquidity premium to both segmented and integrated markets risk premia, is this correct? I thought it was only segmented....

nannan66

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发表于 2011-7-11 19:18 | 只看该作者

say whaaa??? no way man im pretty sure you add the liquidity premium to both.

thommo77

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发表于 2011-7-11 19:18 | 只看该作者

yeah, there was a question similar to this on the Schweser mock. BTW does anyone else feel that the multiple choice sections of the Schweser mocks are not representative of what will be on the test? Feel like its just rehashing the q-bank.

canadiananalyst

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发表于 2011-7-11 19:18 | 只看该作者

FinNinja Wrote:
-------------------------------------------------------
> Anyone else notice that these are basically the
> same thing?
>
> RP(asset class) = Std Dev(asset class) * Corr *
> sharpe ratio(mkt)
>
> or
>
> RP(asset class) / std dev(asset class) = Corr *
> sharpe ratio(mkt)
> which is:
> sharpe ratio(asset class) = Corr * sharpe
> ratio(mkt)
>
> So basically:
> Singer-Terhaar says that the SR of the asset class
> should equal the mkt SR times the correlation b/w
> the two.
> In the context of asset class selection if the
> asset class SR is greater than portfolio SR *
> correlation b/w the two you should add it to the
> portfolio

Looks pretty sound and accurate...Does the book say it's an approximation?

dyga

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发表于 2011-7-11 19:18 | 只看该作者

I have no clue what you are talking about. You threw me off by using the RP. What is RP? What is SR?

nannan66

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发表于 2011-7-11 19:18 | 只看该作者

me.tega Wrote:
-------------------------------------------------------
> I have no clue what you are talking about. You
> threw me off by using the RP. What is RP? What is
> SR?

I expect it to be Risk Premium and Sharpe Ratio