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formulas2

formulas2 - Some useful formulas E(r = P r(s)r(s s 2 = P...

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Some useful formulas E ( r ) = s Pr ( s ) r ( s ) σ 2 = s Pr ( s )( r ( s ) - E ( r )) 2 E ( r p ) = n i =1 w i E ( r i ) Cov ( r a , r b ) = s Pr ( s )( r a ( s ) - E ( r a ))( r b ( s ) - E ( r b )) Cov ( x, y + z ) = Cov ( x, y ) + Cov ( x, z ) ρ ( r a , r b ) = Cov ( r a , r b ) σ a σ b σ 2 p = w 2 a σ 2 a + w 2 b σ 2 b + 2 w a w b Cov ( r a , r b ) E ( r c ) = yE ( r p ) + (1 - y ) r f , σ c = p S = E ( r p ) - r f σ p U = E ( r ) - 1 2 . 01 2 , y * = E ( r p ) - r f . 01 2 p r i - r f = α i + β i ( r M - r f ) + e i σ 2 i = β 2 i σ 2 M + σ 2 ( e i ) R 2 i = β 2 i σ 2 M σ 2 i , ρ ( r i , r M ) 2 = R 2 i Cov ( r i , r j ) = β i β j σ 2 M E ( r i ) - r f = β i ( E (
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