标题: ER - (2xSD) vs. Roy Safety First [打印本页] 作者: yuoska 时间: 2011-7-11 19:48 标题: ER - (2xSD) vs. Roy Safety First
When, in IPS, given a "can't lose more than x%" criteria, i have seen this done by either using RSF, or exp ret less 2 X Standard Dev.
Anybody have any idea when to use which, if they don't guide you (2007 i think it was told you to use the 2x SD version)作者: Analti_Calte 时间: 2011-7-11 19:48
if not given anything, i would use RSF. they usually give you the definition exp return less 2x std dev.... i think they'd be explicit. if not and all they gave you was "can't lose more than X" and nothing more, i'd be going RSF.作者: jmh530 时间: 2011-7-11 19:48
RSF - deviations you can accept before you get in trouble. - works once you have the portfolio SD - exp post.
Shortfall risk is return - 2 SD. given as -12% you could given your return objective find the max SD your portfolio can have. So this works as a ex ante calibration in the 2007 exam.
