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  #21  
Old 02-13-2018, 10:20 AM
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i don't think it matters much what you recommend as long as you can justify it. over complicating it just for the sake of it without justification isn't going to pass. i'm not even sure my recommendation would be good for the real world, but i justified it and this isn't the real world.
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  #22  
Old 02-13-2018, 12:47 PM
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So I thought the metrics were just the ones listed on the results tab (i.e. mean, min/max, ST Dev, VaR, CTE). I just talked about the pros/cons of those.

I thought the confusing part was regarding risk/return requirements. I basically created a framework that would simplify my scenario testing by adding constraints (i.e. no more than 40% can be allocated to equities, etc.) and used those constraints as my requirements.
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  #23  
Old 02-13-2018, 02:50 PM
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Originally Posted by gary786 View Post
So I thought the metrics were just the ones listed on the results tab (i.e. mean, min/max, ST Dev, VaR, CTE). I just talked about the pros/cons of those.

I thought the confusing part was regarding risk/return requirements. I basically created a framework that would simplify my scenario testing by adding constraints (i.e. no more than 40% can be allocated to equities, etc.) and used those constraints as my requirements.
I think the goal of 2 is to have you pick a risk metric and a return metric and then pick a requirement for each. I think you can use things like constraints to help you determine your requirements and mix (i.e. with no more than 40% in equities, what's the target mix to meet the risk/return requirements?)
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  #24  
Old 02-13-2018, 03:34 PM
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I have been doing research in risk/return metrics:

refer to the following that reference risk/return metrics

https://www.casact.org/education/rat...s/bingham2.ppt

refer to slide 12, things like VaR, CTE, mean etc are only expression of risk and not risk/return metrics. Risk/return metrics should be able to evaluate a risk/return trade off.

An example risk/return metrics in real life are sharpe ratio and coefficient of variation https://www.investopedia.com/terms/c...fvariation.asp
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  #25  
Old 02-13-2018, 04:12 PM
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Dang I totally just used those constraints as my "requirements". I guess if I fail with task 2 as one of the needs improvement ones, I'll know what to start with lol.

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I think the goal of 2 is to have you pick a risk metric and a return metric and then pick a requirement for each. I think you can use things like constraints to help you determine your requirements and mix (i.e. with no more than 40% in equities, what's the target mix to meet the risk/return requirements?)
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  #26  
Old 02-13-2018, 05:16 PM
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Dang I totally just used those constraints as my "requirements". I guess if I fail with task 2 as one of the needs improvement ones, I'll know what to start with lol.
Becareful. It’s not about picking risk metric and return metric separately. The two should interact with each other. See my previous comment. I don’t believe there’s such a thing as a “return metric”. There are “risk metrics” and there are metrics that incorporate both risk and return, I.e “risk/return metrics” refer to slide 12 of the CAS slides that I linked in my previous comment
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Old 02-13-2018, 06:26 PM
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Does it mean risk metric divided by return metric
Is mean/cte a risk/return metric?
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Originally Posted by ShivamS View Post
By "return", they just mean tradeoff.

For example, VaR is a risk metric. The return is the need for a higher contribution to fund for VaR(99).

based on old posts and old google groups, these two posts are what I thought.

i'm not entirely sure what you found is different. I find this pretty confusing. I think they might be lenient as long as you defend your choice, but the information you have found seems good, particularly coefficient of variation.
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Last edited by ao fan; 02-13-2018 at 06:34 PM..
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  #28  
Old 02-15-2018, 06:44 PM
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I love this thread ♥

I wish this thread was around when I was doing the FA in november, I was just as confused as OP
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  #29  
Old 02-15-2018, 07:03 PM
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I love this thread ♥

I wish this thread was around when I was doing the FA in november, I was just as confused as OP
there are better threads now than when I took it in mid January. I passed, so I guess not a huge deal, but was very confused by task 2.
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