"03_Quant_handout (addendum)

"03_Quant_h - Lecture 2 Quantitative Review Addendum Quantitative Review Returns on securities and portfolios Stats means variances

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Lecture 2: Quantitative Review - Addendum Quantitative Review: Returns on securities and portfolios Stats: means, variances, covariances, correlations, regressions Readings: BKM chapter 5
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- How to measure returns? - for securities & portfolios - How do returns behave? - random variables, means, variances - How do returns move together? - covariances and correlations Part A - Outline: - How do returns move together? - regressions Part B - Outline:
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Correlation measures the association between two random variables. Both variables are treated equally. -> Association Regression is another measurement. It asks what we expect a variable Y to be given another variable X. -> Prediction -> Regression can also be used when there are many factors (X’s) that seem to impact a particular Y variable.
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Regression Univariate Regression : Y t = + X t + t Y t is the endogenous or “left-hand-side” variable e X t is the explanatory or “right-hand-side” variable
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This note was uploaded on 04/09/2011 for the course MGMT 411 taught by Professor Clarke during the Winter '09 term at Purdue University-West Lafayette.

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"03_Quant_h - Lecture 2 Quantitative Review Addendum Quantitative Review Returns on securities and portfolios Stats means variances

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