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  1. Last 7 days
    1. The Y-intercept of the SML is equal to the risk-free interest rate. The slope of the SML is equal to the market risk premium and reflects the risk return tradeoff at a given time: S M L : E ( R i ) = R f + β i [ E ( R M ) − R f ] {\displaystyle \mathrm {SML} :E(R_{i})=R_{f}+\beta _{i}[E(R_{M})-R_{f}]\,} where: E(Ri) is an expected return on security E(RM) is an expected return on market portfolio M β is a nondiversifiable or systematic risk RM is a market rate of return Rf is a risk-free rate

      This is one statement of the key relationship.

      The point is that the market will have a single tradeoff between unavoidable (nondiversifiable) risk and return.

      Asset's returns must reflect this, according to the theory. Their prices will be bid up (or down), until this is the case ... the 'arbitrage' process.

      Why? Because (assuming borrowing/lending at a risk free rate) *any investor can achieve a particular return for a given risk level simply by buying the 'diversified market basket' and leveraging this (for more risk) or investing the remainder in the risk free-asseet (for less risk). (And she can do no better than this.)

    2. This abnormal extra return above the market's return at a given level of risk is what is called the alpha.

      this is why you here the stock-touts bragging about their 'alpha'

    1. Capital asset pricing model

      please read this article

    2. quantity beta (β)

      You hear about this 'beta' all the time as the measure of 'the correlation of the risk of an asset with the representative market basket'...

      but confusingly, \(\beta\) is used to represent the slope of the expected return of an asset as this risk increases.

    1. If the fraction q {\displaystyle q} of a one-unit (e.g. one-million-dollar) portfolio is placed in asset X and the fraction 1 − q {\displaystyle 1-q} is placed in Y, the stochastic portfolio return is q x + ( 1 − q ) y {\displaystyle qx+(1-q)y} . If x {\displaystyle x} and y {\displaystyle y} are uncorrelated, the variance of portfolio return is var ( q x + ( 1 − q ) y ) = q 2 σ x 2 + ( 1 − q ) 2 σ y 2 {\displaystyle {\text{var}}(qx+(1-q)y)=q^{2}\sigma _{x}^{2}+(1-q)^{2}\sigma _{y}^{2}} . The variance-minimizing value of q {\displaystyle q} is q = σ y 2 / [ σ x 2 + σ y 2 ] {\displaystyle q=\sigma _{y}^{2}/[\sigma _{x}^{2}+\sigma _{y}^{2}]} , which is strictly between 0 {\displaystyle 0} and 1 {\displaystyle 1} . Using this value of q {\displaystyle q} in the expression for the variance of portfolio return gives the latter as σ x 2 σ y 2 / [ σ x 2 + σ y 2 ] {\displaystyle \sigma _{x}^{2}\sigma _{y}^{2}/[\sigma _{x}^{2}+\sigma _{y}^{2}]} , which is less than what it would be at either of the undiversified values q = 1 {\displaystyle q=1} and q = 0 {\displaystyle q=0} (which respectively give portfolio return variance of σ x 2 {\displaystyle \sigma _{x}^{2}} and σ y 2 {\displaystyle \sigma _{y}^{2}} ). Note that the favorable effect of diversification on portfolio variance would be enhanced if x {\displaystyle x} and y {\displaystyle y} were negatively correlated but diminished (though not eliminated) if they were positively correlated.

      Key building block formulae.

      • Start with 'what happens to the variance when we combine two assets (uncorrelated with same expected return)'

      • What are the variance minimizing shares and what is the resulting variance of the portfolio.

    2. Similarly, a 1985 book reported that most value from diversification comes from the first 15 or 20 different stocks in a portfolio.[6]

      the conventional wisdom is that there are sharply diminishing returns to this diversification

  2. Oct 2020
    1. This balancing act needs to take into account project complexity (size, distribution, etc.), uncertainty (risk, innovation need, etc.), and the cost of change at the project level and for each major component.
  3. Sep 2020
    1. The challenge is to find a way to live with uncertainty,

      Finding a way to be okay with uncertainty in life is a challenge for many people. I struggle with this as well. But over the last few months I have found various ways to cope with the anxiety caused by uncertainty. Because the world we live in today is full of uncertainties.

    1. Hennessy, E. A., Acabchuk, R., Arnold, P. A., Dunn, A. G., Foo, Y. Z., Johnson, B. T., Geange, S. R., Haddaway, N. R., Nakagawa, S., Mapanga, W., Mengersen, K., Page, M. J., Sánchez-Tójar, A., Welch, V., & McGuinness, L. A. (2020). Ensuring Prevention Science Research is Synthesis-Ready for Immediate and Lasting Scientific Impact [Preprint]. MetaArXiv. https://doi.org/10.31222/osf.io/ptg9j

    1. Siemieniuk, R. A., Bartoszko, J. J., Ge, L., Zeraatkar, D., Izcovich, A., Kum, E., Pardo-Hernandez, H., Rochwerg, B., Lamontagne, F., Han, M. A., Liu, Q., Agarwal, A., Agoritsas, T., Chu, D. K., Couban, R., Darzi, A., Devji, T., Fang, B., Fang, C., … Brignardello-Petersen, R. (2020). Drug treatments for covid-19: Living systematic review and network meta-analysis. BMJ, 370. https://doi.org/10.1136/bmj.m2980

  4. Aug 2020
    1. Altig, D., Baker, S. R., Barrero, J. M., Bloom, N., Bunn, P., Chen, S., Davis, S. J., Leather, J., Meyer, B. H., Mihaylov, E., Mizen, P., Parker, N. B., Renault, T., Smietanka, P., & Thwaites, G. (2020). Economic Uncertainty Before and During the COVID-19 Pandemic (Working Paper No. 27418; Working Paper Series). National Bureau of Economic Research. https://doi.org/10.3386/w27418

  5. Jul 2020
    1. This model is the most flexible and open-ended of the four; your goal as an instructor is not to design a full-fledged semester of material, activities, and assessments. Rather, your goal is to work with your class to design and become a learning community, working collaboratively and individually towards your determined learning goals. For this to work you should have: a set of possible/preferred learning objectives for your classa library of course materials, preferably with as much as possible in digital formata suggested list of digital tools and technologies that you’re comfortable from with a list of possible assignment/project/assessment ideas that are related to your learning objectivesa willingness to experiment and invite your students into the teaching & learning process. At the onset of class you will need to facilitate a conversation among you and your students about how the class will unfold. This can be done in small groups f2f, via an online communication tool, or in a hybrid mix of both. As a community you should plan on addressing the following: what are our objectives as a learning community? what kind of work could we engage in to meet these objectives? what physical/virtual spaces would we like to work in? how/when do we want to meet in these spaces?how do we want to measure (assess) if an objective has been met?what rules and policies should govern our work? how will we work virtually and respect everyone’s boundaries and personal situations? how will we work f2f and respect public health recommendations and personal situations? You will probably need to spend at least the first 1-2 weeks answering these questions together and then designing a plan for your course. Make sure you and your students talk through various complications: what if the university’s policies about meeting f2f change? what if classes are forced to move entirely virtual/remote? what someone (students or professor!) gets sick?

      This is the one for me!!!!

    2. c

      Apologies for highlighting whole swaths of paragraphs but it can't be helped sometimes lol.

    3. Finally, these are NOT meant to be comprehensive. Instead, imagine these models along a continuum of opportunity. Your challenge is to determine where your courses could fit between and among the proposals.  

      I'm wondering how much or how little faculty will need to change their curriculum/delivery depending on the various inevitable changes that we can't exactly predict will happen this school year. For those faculty member purposefully switching online, what changes have they made already, and what changes will become necessary in the near future?

  6. Jun 2020
    1. Saltelli, A., Bammer, G., Bruno, I., Charters, E., Di Fiore, M., Didier, E., Nelson Espeland, W., Kay, J., Lo Piano, S., Mayo, D., Pielke Jr, R., Portaluri, T., Porter, T. M., Puy, A., Rafols, I., Ravetz, J. R., Reinert, E., Sarewitz, D., Stark, P. B., … Vineis, P. (2020). Five ways to ensure that models serve society: A manifesto. Nature, 582(7813), 482–484. https://doi.org/10.1038/d41586-020-01812-9