Formula sheet to course FIR 3710 PDF

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Description

Formula Sheet Arithmetic average return (r1  r2  ...  rn ) / n

Geometric rate of return [(1  r1 )(1  r 2 )..(1  rn )]1 / n  1

Holding Period Return HPR = (Ending price – Beginning price +Cash dividend) / Beginning price Return of a single asset S

E (r )  P (s )r (s ) s1S



2

2   P( s )[r (s )  E (r )] s 1

Variance of a single asset Portfolio return and risk with risk free asset E( r c ) (1  y) rf  yE( rp )

 c  y p

Capital Allocation Line

E (rc ) r f   pc [ E (rp )  rf ] Portfolio return and risk with 2 risky assets E( rp )  w1 E( r1 )  w2 E( r2 )

 2p  w12 12  w 22 22  2 w1 w2 1 2 12

Reward to variability ( E( rp )  rf ) /  p...