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1

I don't think you can say anything general on this type of setup, certainly not from an empirical point of view. Assume the market conditions change between the two periods, then $ES$ could be higher or lower. If you assume some distribution for you returns, then they should probably be the same if the two periods have the same length.


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Sure a lot of traditional (mutual) buy side funds use MPT. They also mostly subscribe to the efficient market hypotheses. And they also do not hide the fact that they have no interest to lobby many retirement investment and savings schemes to allow for long/short investments but hold on to long-only. And finally, most of them underperform simple benchmark ...


3

Lots of wealth management firms still use MPT; in my experience regulators like it because they understand it. If asset returns are normally distributed, the standard deviation of the portfolio is a coherent risk measure (this can be seen by noting that the normal distribution's CVaR, which is a coherent risk measure, can be written as $$\mu+c \sigma$$ ...


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I am engineer studying Finance, therefore Im not an expert in Math/Stat, but not noob. I disagree with the previous answer. In fact, I know portfolio managers and hedge fund assesors that usses MPT. It must be said that you need to know what that represents, and also not only focus your investment in MPT, but consider other methods. Like in every other ...


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MPT should be called Medieval Portfolio Theory, it is a theory from 50 years ago with huge theoretical flaws (mean-variance utility, use of Pearson's correlation that is not coherent, based on historical data). Come on, it is an error maximizer. The least one could do is Michoud resampling, but it is patented. Or a bayesian Black-Litterman would be more ...


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a) The formula for Beta is: $$\beta_i=\frac{\sigma_{i,M}^2}{\sigma_M^2}=\frac{0.165^2}{0.11^2}=2.25$$ b) So by the CAPM equation, the expected return for the asset is: $$E(R_i)=r_f+\beta(R_M-r_f)=0.04+2.25(0.12-0.04)=0.22=22\%$$ c) If the variance of the stock is $0.22^2$, since this variance was multiplied by $\beta=2.25$, we get: ...


0

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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Edited: The risk free rate is positive because the factors of production, and the perception of time (from an individual's perspective) are limited. Limited supply of desirable goods such as houses (or limited capacity to make them from land, labour and capital), gives them a positive value in society (versus say air, which is in almost unlimited supply, ...


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I think a blanket haircut is a bad idea as it could mask actual excessive P&L that should be flagged. I would recommend a documented process where P&L that exceeds a threshold is investigated and technology issues can be handled by hand. In this situation, you can more safely apply a haircut to individual items where you can identify the ...



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