# Tag Info

## New answers tagged risk-management

0

I guess one can figure out the unsystematic risk by using the following formula: $Unsystematic Risk = [R_A - E(R_A)] - [R_M - E(R_M)] * \beta$ Where: $R_A$ is the actual return on the asset $E(R_A)$ is the expected return on the asset $R_M$ is the actual return on the market $E(R_M)$ is the expected return on the market You can think of the ...

2

You can't really combine the assets' log returns. You should calculate percentage returns for the three assets. Then at each time step, the portfolio's total return is: $r(i) = 0.5 \times \text{asset1_return}(i) + 0.25 \times \text{asset2_return}(i) + 0.25 \times \text{asset3_return}(i)$ Once you've calculated the time series of the portfolio's returns, ...

2

The definitions will vary from organization to organization but generally: Wealth Management is the management (either direct or through distribution to other managers) of an individual investor’s money with an emphasis on service and client relations Asset Management generally can describe both managing individual assets (like Wealth Management) and ...

0

I wrote this paper a couple of years ago where we discuss this kind of topic. On page 6, you see a formula that comes from a paper from Acerbi available in Szego's book: $$\sigma^2(ES^{(N)}_\alpha(X)) \overset{N>>1}{=} \frac{1}{N(1-\alpha)^2} \int_0^{F^{-1}(1-\alpha)} dx \int_0^{F^{-1}(1-\alpha)} dy \{ \min( F(x), F(y) ) - F(x)F(y) \}$$ This should ...

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