L7_Ch10 - Calculating Statistics

L7_Ch10 - Calculating Statistics - 0.0616 Type 2: Expected...

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Calculating the Statistics You may need to calculate the statistics such as means, standard deviations, covariances and correlations. Two types of data Type 1: Historical data Type 2: Expected distribution
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Type 1: Historical Data ( 29 ( 29 ( 29 1 2 1 1 ( ) var( ) 1 cov( , ) 1 n Xi i X n X Xi i n X Y Xi Yi i R mean X R n R R X n R R R R X Y n = = = = = - = - - - = -
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Type 1: Historical Data Common Treasury Year Stocks Bills 1 0.3242 0.1124 2 -0.0491 0.1471 3 0.2141 0.1054 4 0.2251 0.088 5 0.0627 0.0985 6 0.3216 0.0772 7 0.1847
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Unformatted text preview: 0.0616 Type 2: Expected Distribution 1 2 1 1 ( ) var( ) ( ) cov( , ) ( )( ) n i Xi i n X i Xi i n X Y i Xi Yi i mean X PR X P R R X Y P R R R R = = = = =-=--∑ ∑ ∑ Type 2: Expected Distribution Prob M T Rapid expansion 0.12 0.23 0.12 Moderate expansion 0.4 0.18 0.09 No growth 0.25 0.15 0.05 Moderate contraction 0.15 0.09 0.01 Serious contraction 0.08 0.03-0.02...
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This note was uploaded on 10/20/2010 for the course AD abc123 taught by Professor Cat during the Summer '09 term at City University of Hong Kong.

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L7_Ch10 - Calculating Statistics - 0.0616 Type 2: Expected...

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