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Portfolio Management

Portfolio Management. 15. How to Calculate ß arket Risk or Systematic Risk. ßi = Beta of Asset `i` ßi = COV ( ri, rm) Return of Market Portfolio σ m 2 Variance of Market Portfolio Equate value of Covariance :

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Portfolio Management

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  1. Portfolio Management

  2. 15. How to Calculate ß arket Risk or Systematic Risk ßi = Beta of Asset `i` ßi = COV ( ri, rm) Return of Market Portfolio σm2 Variance of Market Portfolio Equate value of Covariance : ßi = σi ri,mTotal Risk of `i` × Correlation Coefficient with `m` σm Total Risk of `m` www.Safeecollege.com

  3. Systematic Risk of `i` Systematic Risk of `m` ß = ß with market risk of asset `i` with respect to market risk of `m` (index). Therefore it measures relative Systematic risk (or market risk) [Beta is not an absolute measure of risk] www.Safeecollege.com

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