final_formula

final_formula - Standard Deviation of a complete portfolio...

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Note: This is prepared for your convenience only. It’s NOT meant to cover everything. You are responsible for understanding these formulas and also for memorizing formulas not listed here. Formulas Portfolio Beta: , where w i denotes the investment weight of asset i . Minimum variance portfolio: Optimal risky portfolio: CAPM: (n-factor) APT: Portfolio expected return (two risky assets): Portfolio variance (two risky assets): Correlation: Expected return of a complete portfolio that invests in a risky asset and a risk-free asset:
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Unformatted text preview: Standard Deviation of a complete portfolio that invests in a risky asset and a risk-free asset: Sharpe measure: Treynor measure: Jensen measure: Forward rate: (1 + y n ) n = (1 + y n-1 ) n-1 (1 + f n ) Modified duration: D * = D/(1+y) Bond price and modified duration: Portfolio Duration = weighted average of individual asset durations Duration of a perpetuity = (1+y)/y...
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This note was uploaded on 04/09/2012 for the course FIN 431 taught by Professor Sun during the Spring '12 term at Old Dominion.

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