Portfolio Management Imp Formulas

Important Formulas

Markowitz
r Variance ok Else EP In at
11 on

2 S D Cru
LIKE on EP n 55

3 Covariance May E na y 5 on Eden Aly 57

n

Corfu y e ally 5 ie netta ally 5

net riskofstockn net risk of stocky

Co relation coefficient m Coveney netmiskofstochn.netaisle stocky

of
rn by on by

Return Wn Returnof a twy Return ofy

of a portfolio

Risk of a Portfolio Ap where why 6 t Remaining weight x Covfam

OM

wa 6h why r t 2 waWy Coxen y

Risk of a portfolio sp whenthe why r t 2 waw Coxen y

8 a minimum Rish portfolio
Weights of

Risk med of y minceofY coypu y

Wn
Risk med of both and variance
of a Cox
4 Varianceof
y Coveney

V
fly contain
the Coxfury
try Coveney

Risk med of n Tk Coveney

Wy
Risk med of bothnandy the Coxfury
try Coveney

fl
OM

Wy 1 Wa
TM
Bn
Corfam
CAPM a
Cox him net risk of stock
1 Betan on net R T on
62m m m 5 D of market
on netrisk of market

ie Beta Net disk of stock

5 D of market
Net disk of stack Beta 5D of market
B Gm
Now
Cox Chim net aisle of stock net disk of market
B 6m X Gm
B 6 m
4 B Covenim
62m
Again
Covariance bet's stock u and stocky
Cox Min Net Risk ofstock a Net risk ofstocky
Ba rm x By.fm
Coveney
Ba By 62m Muy
ru Gy
on
Cauchy a Mam 6h Mum 64 Coveney

Gu Gy On by
Mmm Mmm May

May.ru by
corelation co efficient

Cox arm net a M M

Mam aetriskofston
rn rn Gn Gm on

Mam net risk of stock Bam net disk of stock

GD of stock 5D of market

CAPM Formed to Remember

B CouCn.m or NetaisuofstochanMum 6
Am gg of market Om

metaian of stock Be Gm Acatnethichofsto

Metdish
ofStoch Mum In 1 ManateesD me
Apna Betalaga do

Cox ay Nethisle of a x net dish of y

s Barm X By 6m 2 Apnes.p.me apna
on monketkacommelation
By By 6 m
i e Mam laga do
 Jensen'salpha

a ECR Re A positive Underpriced

a negative Overpriced

N is zero ConnectlyPriced

Sml Re Rf Rm Rf Beta Betashould notbe filled

characteristicline Ecr at B Rm 9 Rbassumed tobe zero
Rm should notbe filled

Total brisk Systematic Rise t Unsystematic risk

in t.im Fei
Unsystematic fish fataldisk syst Risk

shape ratio ECR Rf

SD

Freynon Mario EG of
Beta

Arbitrage pricing theory

GDP
the'neifixity
R Be Rb th Riskpremium x Factor RiskPremXfactor2 sensitivity

t Risk1am Xfactor Sensitivity t

inflation

RP xp s
Rb RP xFie T t RR x Frey