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Lecture18-07

6 5 p 2 p n

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Unformatted text preview: @ , ! "# $ % 4 #% #$ " % % ; 220,227 × 10 × 2 . 33 = $ 1, 622 , 657 )#,@&= & B,$ * = = @6 5#%& % A ,5#2 = A ; :#,55,; 3 ,= ! +< ! "# $ % &' ! ! - 6 !! ! ! ! ! "# $ % 5 ∆P = 2 σP = n i =1 n α i ∆xi n &' < 6 ! i =1 j =1 n i =1 α iα jσ iσ j ρij α iα jσ iσ j ρ ij 2 σP = α i2σ i2 + 2 i< j where σ i is the volatilit y of variable i and σ P is the portfolio' s standard deviation ! "# $ % 7 6 4' (' ! -0! -C ∆ xi ! ! ∆ xi ! ! , ! "# $ % 6...
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