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I have found an interesting paper on the issue
http://www.analyse-und-kritik.net/en/1980-2/AK_Backhaus_1980.pdf
In principle, beta can be much lower than -3. Beta is not determined by correlation only. The correlation only influence the sign of beta. However there is also a ratio of a stock's volatility and volatility of the market. So if the stock has an neg…
If you expect negative market returns, then the value of the market is negative. Is it possible? It is taught in financial literature that the market prices reflect expectations immediately.
Also if we expect only a short term period of negative ret…
No. The theory does not allow the expected stock market rate of return to be negative. If you expect that the whole market will go down in the long run, is it reasonable for you to hold such a portfolio? If a single stock produces negative returns i…
It is commonly accepted that outcomes that are not Pareto efficient are to be avoided, and therefore Pareto efficiency is an important criterion for evaluating economic systems and is an important decision making rule. I have doubt.
The Pareto opti…
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i've assumed market as a mix of theses three things
(CNX Ret + g.sec + AAA)/3 ???
It is a strong assumption. I am not sure it is an admissible assumption...
I have looked... but... It is not transparent for me.
Can you explain the notation? Specifically, yes, CNX, Kj, CNX Ret, g.sec, AAA, Km, New Kj...
If I correctly understood, the Km is a market return... But why do you calculate Km as
(CNX Ret + g.se…
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Comment Wall (3 comments)
- At 5:20am on August 5, 2009,
bola awojobi said…
- Grateful send as an attachment your model to baawojobi@yahoo.com. I would add my review promptly.
- At 7:22am on April 11, 2009,
Mike Miller said…
- Great - waiting to hear what you think :)
My portfolio:
http://www.marketguru.com/miller
- At 2:27pm on December 23, 2008,
Sachidanand (Sacha) Singh said… - Thank you, Sergei, for accepting as a connection
Sacha
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