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For calculating systematic risk(beta) for a company which is registered on stock exchange can be calculated in excel through following steps. 1. co variance of both will be multiplied 2. Divided by the variance of stock exchange index A common expression for beta is for further see link http://en.wikipedia.org/wiki/Beta_(finance) by Akhtar rasheed ...


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Others may have different views, but I've tried applying Kelly formula/fractional Kelly strategies to capital allocation, and find it rather unpractical and risky. I would honestly suggest a three-tier optimization framework that I am myself adopting: Assuming you have $M$ number of models covering multiple instruments and strategies. Your goal is to pick ...


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Bayesian Odds Ratios can be used to compare models and allocate wealth to various models based on the relative probability that each particular model is "best." You could begin to look into it more on the wiki site.


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Have a look at my paper http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2259133 I checked Kelly formula and found the answer from it is exactly as Markowitz's theory. >Thus, most issues on mean-variance theory (e.g. noise of estimation for mean and >variance) applies here. Kelly is not exactly as Markowitz's theory but they are indeed closely ...


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There would be a lot more to say if we could take into account that the -2% is the $expected$ return, but the confidence interval for an actual (observed) return can be of any width, e.g. (-22%; 20%). However, we can't compute it here because the problem doesn't supply us with the variance of beta and the error term from the fitted CAPM.


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I think there is not too much to say. At first glance it looks good if the manager loses $10\%$ if the whole market loses $30\%$. But plugging the beta and the risk-free rate into the CAPM formula we see that we would have expected a loss of $2\%$ only. So the $10\%$ are much worse than expected. Note however that there are various reason's why CAPM just ...


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Problematic is already the use of the words "conservative" and "minimum". There is no absolute minimum, worst case (in continuous models, i.e. reality), as things can always get worse than they have ever been before and than anybody anticipated. Depending on where one defines the minimum, there can always be an even more conservative investor in the market. ...



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