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Unformatted text preview: σ = w σ + w σ + 2w wσ σ ρ ;wher ρ ∈ [-1,+ 1]
2 22 22 p a a b b a b a b a ,b x - µ T -1 N - T Z= R(T)= × GeometricAverage+ × ArithmeticAverage σ N -1 N -1 Capital gain / loss = Pending − Pbeginning Total dollar return = Dividend income + capital gain / loss Total cash if stock is sold = Initial investment + total return D1 Dividend yield = P0 P − Pt Capital gains yield = t +1 Pt Variance = σ 2 = Variance = σ 2 = ∑( x
i =1 N N i − x) 2 ∑[ ( x
i =1 N -1
2 i − x) * p i ; where p i is the probability of state i occuring Variance Standard deviation = σ = Geometric average return = E(R) = [ ( 1 + R ) * ( 1 + R ) *.....*( 1 + R ) ]
1 2 T 1 T −1 ∑ (p
i =1 N i =1 N i * R i ) ; (where p i is the probability of state i occuring) E(R p ) = ∑ [x i * E(R i )] ; where x i is the fraction / percentage of the portfolio invested in stock i. Total Return = Expected return + Unexpected return Total Return = Expected return + [(Systematic portion) + (Unsystematic portion)] βp = ∑ [x i * βi ] ; where x i is the fraction / percentage of the portfolio invested in stock i.
i =1 N Reward - to - risk ratio = E( R i ) − R f Risk premium = E( R i ) − R f CAPM : E( R i ) = R f + βi E( R M ) − R f RP = D (for Preferred stock) P0 [ [ βi EPD ++ VVV V = Common stock + preferred stock + debt ; 100% = E P D WACC = * R E + * R P + * R D * ( 1 − T) V V V E P D f A = * f E + * f P + * f D V V V 2 22 2 σ p = wa σ a + wb σ b2 + 2 wa wbσ aσ b ρ a ,b ; where ρ ∈ [-1,+1] Z= x-µ σ R(T) = T -1 N-T × Geometric Average + × Arithmetic Average N -1 N -1 σ = wσ + wσ + 2w σ ρ ;wher ρ ∈ [-1,+ ]
2 22 22 p a a b b a b a b a ,b x - µ T -1 N - T Z= R(T)= × GeometricAverage+ × ArithmeticAverage σ N -1 N -1 ...
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This test prep was uploaded on 02/20/2009 for the course H ADM 225 taught by Professor Jwellman during the Fall '07 term at Cornell University (Engineering School).
- Fall '07