Formulas Flashcards
1
Q
Utility function
A
E(R)-0.5A sigma^2
2
Q
CML
A
R= risk free + ((market-risk free)/sigma m) * sigma p
3
Q
Sharpe ratio portfolio
A
(market- risk free) / sigma m
4
Q
Treynor ratio
A
(portfolio - risk-free) / beta
5
Q
Sharpe CAPM
A
(portfolio - risk-free)/sigma p
6
Q
SML
A
R = risk free + (market- risk free)*beta
7
Q
Estimated return
A
= (P1+Div1-P0)/P0
8
Q
How to tell if under-priced
A
estimated - expected > 0
9
Q
IR ratio
A
(portfolio-benchmark)/sigma er
10
Q
Sortino
A
(Rp - T)/DR
11
Q
Downside risk
A
1/n sum (R- mean R)^2 for all R less than mean
12
Q
APT
A
risk-free + sum of beta*lambda
13
Q
Price of bond
A
C*(1/r - 1/r(1+r)^t) + FV/(1+r)^t
14
Q
present value for perpetuity
A
Cash flow/return
15
Q
Current yield
A
Coupon / Price