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

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Some useful formulas E ( r )= ± s Pr ( s ) r ( s ) σ 2 = ± s ( s )( r ( s ) - E ( r )) 2 E ( r p n ± i =1 w i E ( r i ) Cov ( r a ,r b ± s ( s )( r a ( s ) - E ( r a ))( r b ( s ) - E ( r b )) ( x,y + z ( )+ ( x,z ) ρ ( r a b ( r a 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 ( r a b ) E ( r c yE ( r p )+(1 - y ) r f 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 ( r i M ) 2 = R 2 i ( r i j β i β j σ 2 M E ( r i ) - r f = β i ( E ( r M ) - r f ) β i = ( r i M ) σ 2 M = ρ ( r i M ) σ i σ M β p = n ± i =1 w i β i α i = E ( r i ) - r f - β
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This note was uploaded on 11/02/2011 for the course FIN 310 taught by Professor Ardaugh during the Fall '09 term at Ill. Chicago.

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