Quantitative Flashcards
1
Q
PV formula
A
PV= FV/(1+i)^n
2
Q
Geometric mean
A
((1+R1) * … * (1+Rn))^1/n - 1
3
Q
Harmonic mean
Formula
A
N/sum(1/Xi)
4
Q
Variance
A
о^2=sum(xi - средняя)^2/N
5
Q
Sample variance
A
s^2= sum(xi-средняя)/(n-1)
6
Q
HPR (holding period return)
A
(Pt - P(t-1) + Dt)/P(t-1)
7
Q
CV (coefficient of variation)
A
s/средняя
s - standard deviation
8
Q
Sharpe ratio
A
(Rp-Rf)/op
9
Q
Roy’s safety first ratio
A
(Rp- Rtarget)/Op
10
Q
Expected return
Formula
A
E(X) = P(X1)X1 + P(X2)X2 +…+P(Xn)Xn
11
Q
Probalistic varience
A
O^2=Sum (P(Xn)*(Xn-E(X)^2)
12
Q
Standard deviation
A
Square Root of variance = o
13
Q
Correlation
Formula
A
Corr(R1,R2)=cov(R1,R2)/(o(R1)*o(R2))
Covariation divided by a product of two standard deviations
14
Q
Expected return of 2 stock portfolio
A
E(Rp)= w1E(R1) + w2E(R2)
15
Q
FV formula
A
FV=PV(1+i)^n
