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  #211  
Old 03-27-2018, 11:43 AM
davesned29 davesned29 is offline
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the first question addresses dealign with 100% equities. Once i pick either a maximum or a specific equity allocation, i generally still find the best option has no treasuries at all, i.e. if i say 20% is a good equity number then the smallest mean/cte is with no treasuries and 80% bonds.
If i pick 50% equities, then the lowest mean/cte is no treasuries and 50% bonds.
I arbitrarily set a min Treasuries and also a min (total fixed securities). Not surprisingly, that led to an asset mix of min Treasuries, balance of min total fixed Bonds, and the max possible Equities. Justified that by tying my ideas to what I read in UAP.
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  #212  
Old 03-27-2018, 11:52 AM
arto83 arto83 is offline
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I arbitrarily set a min Treasuries and also a min (total fixed securities). Not surprisingly, that led to an asset mix of min Treasuries, balance of min total fixed Bonds, and the max possible Equities. Justified that by tying my ideas to what I read in UAP.
thanks. what risk/return metric did you use?
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  #213  
Old 03-27-2018, 01:23 PM
sungx88 sungx88 is offline
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I arbitrarily set a min Treasuries and also a min (total fixed securities). Not surprisingly, that led to an asset mix of min Treasuries, balance of min total fixed Bonds, and the max possible Equities. Justified that by tying my ideas to what I read in UAP.
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thanks. what risk/return metric did you use?
i followed a similar approach where i arbitrarily set an equity %. i set a low % since it's a risky asset. then i just ran scenarios seesawing the other two assets (and the fixed equity %) until i liked the numbers. i lucked out where i was able to find a balance that minimized CTE.

i realized that as long as you use some logical/common sense reasoning, arbitrary numbers are acceptable. you don't need to justify every single number with another number. once you realize that, the whole assessment becomes a bit easier.

i used mean, coefficient of variation, and CTE. i reasoned that those three parameters cover all bases (average expected contribution amount, amount of deviation, and amount at highly adverse situations)
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  #214  
Old 03-29-2018, 09:21 AM
davesned29 davesned29 is offline
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thanks. what risk/return metric did you use?
I used the Sharpe Ratio, as outlined earlier in this thread. Then I used CTE(75) as a risk metric.

Oh, but I didn't call it a "Sharpe Ratio". That's where the ideology was derived from, but it's a little modified. Not that that would necessarily matter, but it might rub a grader the wrong way if they are already familiar with Sharpe.
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