Timeline for Show that portfolio's percentage contribution to loss (PCL) equals PCR (risk)
Current License: CC BY-SA 4.0
15 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 15, 2020 at 18:25 | comment | added | Magic is in the chain | It is really down to the use of this conditional expectation formula: stats.stackexchange.com/questions/9071/… | |
| Oct 15, 2020 at 9:38 | comment | added | develarist | What does $\frac{\partial\sigma_p}{\partial\omega_i} $ equal and reduce to? | |
| Oct 15, 2020 at 5:45 | comment | added | tbzj | @Magic is in the chain Yes, you are right. I also got stuck on bivariate part, can you give some hints on bivariate part and then I can deduce the general results? | |
| Oct 15, 2020 at 3:01 | comment | added | tbzj | @develarist $f$ is just the return for each stock, we can obtain expected return for the optimal portfolio by multiplying $f$ and $\omega^*$. Also $\sigma$ is total risk of the portfolio which is $\sigma_p$ | |
| Oct 15, 2020 at 1:22 | comment | added | develarist | expected (average) return $\mu$? And what is $\sigma$ in the PCR formula? portfolio $\sigma_p$ or asset $\sigma_i$? | |
| Oct 15, 2020 at 1:13 | history | edited | develarist | CC BY-SA 4.0 |
edited title
|
| Oct 15, 2020 at 0:56 | comment | added | tbzj | @develarist f is a input variable which stands for forecast return | |
| Oct 14, 2020 at 19:49 | comment | added | Magic is in the chain | It seems like just a multivariate extension of what they have in the main text, where they use the conditional expectation of one normal random variable given the sum. The only novelty seems to be $\mu_R$ which might refer to $\mu_P$. | |
| Oct 14, 2020 at 16:45 | comment | added | develarist | What is $f$ in your objective function | |
| Oct 14, 2020 at 12:27 | history | edited | nbbo2 | CC BY-SA 4.0 |
explain PCR and PCL; edited tags
|
| Oct 14, 2020 at 12:16 | history | edited | nbbo2 | CC BY-SA 4.0 |
added 160 characters in body
|
| S Oct 14, 2020 at 11:48 | history | suggested | sp59b2 |
Added self-study tag
|
|
| Oct 14, 2020 at 11:15 | review | Suggested edits | |||
| S Oct 14, 2020 at 11:48 | |||||
| Oct 14, 2020 at 11:04 | review | First posts | |||
| Oct 14, 2020 at 12:56 | |||||
| Oct 14, 2020 at 10:59 | history | asked | tbzj | CC BY-SA 4.0 |