Questions tagged [allocation]

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How to reconcile CAPM with Discounted Cash Flows valuation?

According to CAPM (in its most basic form) our asset allocation will only depend on the expected returns and the covariance matrix of returns. If we also consider the risk-free asset and assume that ...
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Allocation methodologies under FRTBA SA

Hi I have been comparing several methodologies for allocation of standalone capital charge to the underlying desks and I keep getting very vague results on which allocation is superior in terms of ...
Anna Litvin's user avatar
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How to calculate contributions to the granularity adjustment

In the Basel pillar 2 framework a granularity adjustment is introduced. While the capital requirements in pillar 1 do not take concetrations into account, this is meant to be covered with this ...
Richi Wa's user avatar
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For mean-variance portfolio optimization, shouldn't all the allocations sum to 1?

Reading a paper by Black and Litterman, I'm having trouble understanding the set of valid allocations in which we're trying to optimize expected returns. In Table III, the authors show two portfolios ...
Arthur Santana's user avatar
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Looking for an optimal investment function from stock market model

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Fiddod's user avatar
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