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  1. A

    spectral risk measure weighting

    In P1. T4.Chp1 section on Weighting and Spectral risk measures I do not follow the intuition behind this section at all. I understand the point where out of the two investments A and B that B would have a larger expected shortfall since the losses of B can be 10 times the VaR level even when the...
  2. A

    Var example explanation

    In the VaR section there are 3 examples given and I am struggling with understanding the second example. The text states As a second simple example, assume the result of an investment with a uniform distribution where all outcomes between a profit of 30 and a loss of 20 are equally likely. In...
  3. A

    Efficient frontier

    Apologies I realised my error in understanding. The portion in red is redundant to the point that the statement is trying to make as the straight line is the "new" efficient frontier. The straight line just wants to tell you the risk taking capacity of the investor. Lower risk averse towards F...
  4. A

    Efficient frontier

    In Chapter 1 on efficient frontier there is a statement that "Those who like to take risk will chose points close to M, or even points on the line FM that are beyond M". Also one cannot create a portfolio which is towards the upper left region of the efficient frontier. Question is which points...
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