FNCE90060 - 2018 - S1 - Final Exam Formulas.pdf

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𝐵𝐵𝐵𝐵 𝐵𝐵ℎ𝐵𝐵 𝑃𝑃𝐶𝐶𝑟𝑟𝐵𝐵𝐵𝐵𝐶𝐶𝐸𝐸𝐵𝐵𝐶𝐶 = 𝑌𝑌𝑃𝑃 𝑛𝑛 ∑ 𝑌𝑌𝑃𝑃 𝑗𝑗 𝑗𝑗 𝛼𝛼 𝑠𝑠 = 𝐸𝐸 ( 𝑅𝑅 𝑠𝑠 ) ( 𝑟𝑟 𝑓𝑓 + 𝛽𝛽 𝑠𝑠 �𝐸𝐸 ( 𝑅𝑅 𝑀𝑀𝑀𝑀𝑇𝑇 ) 𝑟𝑟 𝑓𝑓 ) 𝑟𝑟 𝑀𝑀𝑘𝑘𝑡𝑡 = 𝐷𝐷𝐵𝐵𝐸𝐸 𝑛𝑛 𝑃𝑃 0 + 𝐺𝐺 = 𝐷𝐷𝐵𝐵𝐸𝐸𝐵𝐵𝑃𝑃𝐵𝐵𝐵𝐵𝑃𝑃 𝑌𝑌𝐵𝐵𝐵𝐵𝐸𝐸𝑃𝑃 + 𝐸𝐸𝐼𝐼𝑃𝑃𝐵𝐵𝐷𝐷𝐵𝐵𝐵𝐵𝑃𝑃 𝐷𝐷𝐵𝐵𝐸𝐸𝐵𝐵𝑃𝑃𝐵𝐵𝐵𝐵𝑃𝑃 𝐺𝐺𝑟𝑟𝐶𝐶𝐺𝐺𝐵𝐵ℎ 𝑅𝑅𝐸𝐸𝐵𝐵𝐵𝐵 ( 𝑅𝑅 𝑛𝑛 − 𝑟𝑟 𝑓𝑓 ) = 𝛼𝛼 𝑛𝑛 + 𝛽𝛽 𝑛𝑛 �𝑅𝑅 𝑀𝑀𝑘𝑘𝑡𝑡 − 𝑟𝑟 𝑓𝑓 + 𝜀𝜀 𝑛𝑛 𝐸𝐸 [ 𝑅𝑅 𝑛𝑛 ] = 𝑟𝑟 𝑓𝑓 + 𝛽𝛽 𝑛𝑛 �𝐸𝐸 [ 𝑅𝑅 𝑀𝑀𝑘𝑘𝑡𝑡 ] − 𝑟𝑟 𝑓𝑓 + 𝛼𝛼 𝑛𝑛 𝐸𝐸 [ 𝑅𝑅 𝑠𝑠 ] = 𝑟𝑟 𝑓𝑓 + 𝛽𝛽 𝑠𝑠 𝑒𝑒𝑓𝑓𝑓𝑓 �𝐸𝐸 [ 𝑅𝑅 𝑒𝑒𝑓𝑓𝑓𝑓 ] − 𝑟𝑟 𝑓𝑓 𝐸𝐸 [ 𝑅𝑅 𝑠𝑠 ] = 𝑟𝑟 𝑓𝑓 + � 𝛽𝛽 𝑠𝑠 𝐹𝐹𝑛𝑛 �𝐸𝐸 [ 𝑅𝑅 𝐹𝐹𝑛𝑛 ] − 𝑟𝑟 𝑓𝑓 𝑁𝑁 𝑛𝑛=1 𝐸𝐸 [ 𝑅𝑅 𝑠𝑠 ] = 𝑟𝑟 𝑓𝑓 + � 𝛽𝛽 𝑠𝑠 𝐹𝐹𝑛𝑛 𝐸𝐸 [ 𝑅𝑅 𝐹𝐹𝑛𝑛 ] 𝑁𝑁 𝑛𝑛=1 𝐸𝐸 [ 𝑅𝑅 𝑠𝑠 ] = 𝑟𝑟 𝑓𝑓 + 𝛽𝛽 𝑠𝑠 𝑀𝑀𝑘𝑘𝑡𝑡 �𝐸𝐸 [ 𝑅𝑅 𝑀𝑀𝑘𝑘𝑡𝑡 ] − 𝑟𝑟 𝑓𝑓 + 𝛽𝛽 𝑠𝑠 𝑆𝑆𝑀𝑀𝑆𝑆 𝐸𝐸 [ 𝑅𝑅 𝑆𝑆𝑀𝑀𝑆𝑆 ] + 𝛽𝛽 𝑠𝑠 𝐻𝐻𝑀𝑀𝐻𝐻 𝐸𝐸 [ 𝑅𝑅 𝐻𝐻𝑀𝑀𝐻𝐻 ] + 𝛽𝛽 𝑠𝑠 𝑃𝑃𝑅𝑅1𝑌𝑌𝑅𝑅 𝐸𝐸 [ 𝑅𝑅 𝑃𝑃𝑅𝑅1𝑌𝑌𝑅𝑅 ] 𝑌𝑌𝐸𝐸𝑟𝑟𝑘𝑘𝐵𝐵𝐵𝐵 𝑃𝑃𝐸𝐸𝐸𝐸𝑃𝑃𝐵𝐵 𝐶𝐶𝐵𝐵 𝐸𝐸𝐸𝐸𝑃𝑃𝐵𝐵𝐵𝐵𝑃𝑃 = 𝑌𝑌𝐸𝐸𝑟𝑟𝑘𝑘𝐵𝐵𝐵𝐵 𝑃𝑃𝐸𝐸𝐸𝐸𝑃𝑃𝐵𝐵 𝐶𝐶𝐵𝐵 𝐴𝐴𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 − 𝑌𝑌𝐸𝐸𝑟𝑟𝑘𝑘𝐵𝐵𝐵𝐵 𝑃𝑃𝐸𝐸𝐸𝐸𝑃𝑃𝐵𝐵 𝐶𝐶𝐵𝐵 𝐷𝐷𝐵𝐵𝑃𝑃𝐵𝐵 𝐸𝐸𝐵𝐵𝑃𝑃 𝑂𝑂𝐵𝐵ℎ𝐵𝐵𝑟𝑟 𝐿𝐿𝐵𝐵𝐸𝐸𝑃𝑃𝐵𝐵𝐸𝐸𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 𝐸𝐸 + 𝐷𝐷 = 𝑈𝑈 = 𝐴𝐴 𝑅𝑅 𝑈𝑈 = 𝐸𝐸 𝐸𝐸 + 𝐷𝐷 𝑅𝑅 𝐸𝐸 + 𝐷𝐷 𝐸𝐸 + 𝐷𝐷 𝑅𝑅 𝐷𝐷 𝑅𝑅 𝐸𝐸 = 𝑅𝑅 𝑈𝑈 + 𝐷𝐷 𝐸𝐸 ( 𝑅𝑅 𝑈𝑈 − 𝑅𝑅 𝐷𝐷 ) 𝑟𝑟 𝐸𝐸 = 𝑟𝑟 𝑈𝑈 + 𝐷𝐷 𝐸𝐸 ( 𝑟𝑟 𝑈𝑈 − 𝑟𝑟 𝐷𝐷 ) 𝑟𝑟 𝑈𝑈 = 𝐸𝐸 𝐸𝐸 + 𝐷𝐷 𝑟𝑟 𝐸𝐸 + 𝐷𝐷 𝐸𝐸 + 𝐷𝐷 𝑟𝑟 𝐷𝐷 𝑟𝑟

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