FINS2624 Formula Sheet PDF

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Formula Sheet FINS2624  Fixed-Income: ∑

if b > 0 ]

[



Univariate Regression:

󰆹 (

)

[

∑

]

⁄ [

]

Confidence Interval:



Capital Allocation Line (CAL):

[

]



Portfolio Statistics (1 Risky + 1 Riskless):

||

Sharpe Ratio:

Utility Function:

[]

[]

[] []



Optimal Portfolio Allocation (1 Risky + 1 Riskless): []

 Variance: [] ] ∑

[

] 

Portfolio Statistics (2 Risky): []

||



 Covariance/Correlation: [

[]

[]



[

[]

[]

[]

∑ ]





 Expected Value:

[

 󰆹

Testing Hypotheses:



[]







 Return of a Portfolio: ∑



[]

[ ]]

[]

[]

Optimal Portfolio Allocation (2 Risky): [] []

 Minimum Variance Portfolio (2 Risky):

)

(

where []

[ ]

[ ]

[ ]

(if short-selling allowed)  Carhart 4-Factor Model: [] Equal-Weighted Portfolio of N Stocks:



[

] [

∑

]

[

[

[

]

[

]

] ([

∑∑

]

[

]

] [

])

∑

]

⁄

⁄

([] )

[]  Market Timing:

Optimal weight of individual asset i in active portfolio A:



⁄

∑

⁄

otherwise  Performance Attribution:

Single-Factor Model:



where [ ]

[ ]

[ ]

[

]

[

]

 []  []

)

(

∑ contrib. from asset allocation contrib. from security selection

 Black-Scholes formula:

√

∑



[]

[]

[

, where

[] ∑

[]

of the active portfolio A is:

Optimal weight,

[ ] [ ]

 Performance Measures:

Add new asset to old portfolio if: Stop when: 

[ ]

 APT Model:

MVE Portfolio (2 Risky):



[ ]

√

where (

Capital Market Line (CML): [] CAPM (Security Market Line): ( [ ] ) where Fama-French 3-Factor Model:

)

√

and

√

 Put-Call parity:

(without dividends) (with one dividend at time t) (with continuous dividend yield d)...