FTX4056S Module 3: Portfolio Management 𝛽𝐴 = ∑𝑛𝑖=1 𝑤𝑖 𝛽𝑖

Exam Formula Sheet 0

𝑤𝐴
𝑤𝐴∗ = 0
1+(1−𝛽𝐴 )𝑤𝐴
𝑟𝑝 = (1 + 𝑟𝑆1 )(1 + 𝑟𝑆2 )(1 + 𝑟𝑆3 ) … (1 + 𝑟𝑆𝑘 ) − 1
𝛽𝑝 = 𝑤𝐴∗ 𝛽𝐴 + 𝑤𝑀
∗
𝑟1 (𝑝) = (1 + 𝑟𝑝 )1/𝑝 − 1

𝑤𝑖𝑃 = ∑𝑁 𝑖 𝑃
𝑃 𝐸(𝑅𝑝 ) = 𝛽𝑝 𝐸(𝑅𝑀 ) + 𝑤𝐴∗ 𝛼𝐴
𝑖=1 𝑖
2
∑𝑁 𝜎𝑝2 = 𝛽𝑝2 𝜎𝑀 + 𝑤𝐴∗2 𝜎 2 (𝑒𝐴 )
𝑖=1 𝑃𝑖
𝐼𝑛𝑑𝑒𝑥 𝑃 =
𝑑
2
𝑆𝑝2 = 𝑆𝑀 + 𝐼𝑅2
𝑟 = ∑𝑁
𝑖=1 𝑤𝑖 𝑟𝑖
𝐸(𝑟𝑖 ) = 𝑟𝐹 + 𝛽𝑖 (𝐸(𝑟𝑀 ) − 𝑟𝐹 )
∑𝑁 ∗
𝑖=1 𝑄𝑖 𝑃𝑖 ∑𝑁 ∗
𝑖=1 𝑄𝐵𝑖 𝑃𝐵𝑖
𝐼𝑛𝑑𝑒𝑥 𝐸 = where: 𝑑 = 𝐸 𝐶𝑜𝑣(𝑅𝑖 ,𝑅𝑀 )
𝑑 𝐼𝑛𝑑𝑒𝑥𝐵 𝛽𝑖 =
𝜎𝑀2
𝑄𝑖 𝑃𝑖
𝑤𝑖𝑀 = ∑𝑁
𝑖=1 𝑄𝑖 𝑃𝑖 𝐸(𝑟𝑝 ) = 𝑟𝐹 + 𝛽𝑝𝐹1 𝐸(𝑅1 ) + 𝛽𝑝𝐹2 𝐸(𝑅2 ) + ⋯ + 𝛽𝑝𝐹𝑘 𝐸(𝑅𝑘 )

𝑀 ∑𝑁
𝑖=1 𝑄𝑖 𝑃𝑖 ∑𝑁
𝑖=1 𝑄𝐵𝑖 𝑃𝐵𝑖
𝐼𝑛𝑑𝑒𝑥 = where: 𝑑 = 𝐸
𝑑 𝐼𝑛𝑑𝑒𝑥𝐵

𝐹
𝑤𝑖𝐹 = ∑𝑁 𝑖 𝐹
𝑖=1 𝑖

𝑛̃ = (∑𝑛𝑖=1 𝑤𝑖2 )−1

𝑅𝑖 = 𝛼𝑖 + 𝛽𝑖 𝑅𝑀 + 𝑒𝑖

𝜎𝑖2 = 𝛽𝑖2 𝜎𝑀
2
+ 𝜎 2 (𝑒𝑖 )
𝑟̅𝑝 −𝑟̅𝑓
𝑆𝑝 =
𝜎𝑝

2
𝑀 = 𝑟̅𝑝 + 𝑆𝑝 ∗ (𝜎𝑀 − 𝜎𝑝 )
𝑟̅𝑝 −𝑟̅𝑓
𝑇𝑝 =
𝛽𝑝

𝛼𝑝 = 𝑟̅𝑝 − [𝑟̅𝑓 + 𝛽𝑝 (𝑟̅𝑀 − 𝑟̅𝑓 )]

𝛼
𝐼𝑅𝑝 = 𝜎(𝑒𝑝 )
𝑝

𝑟̅𝑝 −𝑟̅𝑓
𝑆𝑜𝑟𝑡𝑖𝑛𝑜𝑝 = 𝛿𝑝

𝑟𝑝
𝐶𝑎𝑙𝑚𝑎𝑟𝑝 =
𝐷𝑀𝑎𝑥

𝑤𝑖0 = 𝛼𝑖 /𝜎 2 (𝑒𝑖 )

𝑤𝑖 = 𝑤𝑖0 / ∑𝑛𝑖=1 𝑤𝑖0

𝛼𝐴 = ∑𝑛𝑖=1 𝑤𝑖 𝛼𝑖

𝜎 2 (𝑒𝐴 ) = ∑𝑛𝑖=1 𝑤𝑖 2 𝜎(𝑒𝑖 )2

𝛼𝐴 /𝜎 2 (𝑒𝐴 )
𝑤𝐴0 = 2
𝐸(𝑅𝑀 )/𝜎𝑀

1 2