You got the 2nd one right, NICE!
You got the 1st one almost right….
————- s^2p = s^2[(1-p)/n + p)]
I honestly had to doublecheck in the CFA books. It’s around page 373 in Bk 6.
GOOD JOB!作者: Zestt 时间: 2013-4-5 23:01
Is it:
SD Client Portfolio = (Weight(Market)*SD Market)+Weight RFR
Solving for Weight(Market) when given the other variables?作者: zbird2134 时间: 2013-4-5 23:01
Wt in Client Portfolio=
Std Deviation of Portfolio (Required) after Investment / Std Deviation of Market Portfolio
Wt in Market = 1 - Wt. in Client Portfolio.
Std Deviation of Portfolio required after investment is a measure of Risk Aversion of the investor.作者: Sunshine4ever 时间: 2013-4-5 23:01
i acutally have a question related to this. Would the formula below also work regarding the var of an equal weighted portfolio?
O^2 x .5^2 + O^2*.5^2+2*.5*.5*O*O*(Corr 1,2)作者: svgleeson 时间: 2013-4-5 23:01
This is not a well know equation.
It’s on page 524 Volume VI, Reading 67: The Theory of Active Portfolio Management
Essentially, the amount the investor is invested in the risky portfolio M =
— [E(R)portfolio M - Rf] / 0.01 x A x s^2portfolio M
A = investor’s risk aversion, will be given to you.
Smiley,
Yah, I would guess so, although I would rather try what I know works.
