Beruflich Dokumente
Kultur Dokumente
E (r ) r
Sample Covariance:
pr
Cov ( X , Y )
i i
all _ i
E (r ) r
1
ri
n i
1
rX E (rX )rY E rY
n
Cov ( X , Y ) prX E ( rX )rY E rY
Cov ( X , Y )
Variance:
Var 2
p r r
2
XY
all _ i
2 pi ri r 2
1
ri r 2
n i
1
2
ri r 2
n i
XY
E ( rP ) w X E ( rX ) wY E ( rY )
Cov ( X , Y )
P2 w X2 X2 wY2 Y2 2 w X wY X Y XY
Sample Variance:
s2
1
rX E (rX )rY E rY
n 1
n 1
1
2
ri r 2
ri r
n 1 n i
n 1 i
r 2
n
2
2
i
s
r
n 1 n
Annuity Calculations
Replicating Portfolio
1
1
1 i n
PVIFA
i
C S B
C Cd
e h u
S
(
u
d
)
0
uC dC u
B PV d
ud
1 i 1
FVIFA
Perpetuity Calculations
PV ( perpetuity )
1
i
CAPM
E (ri ) r f i E rM r f
Cov ( ri , rM )
M2
S(1 r u) C u
1 r
u e r h
d e r h
Put-Call Parity
C P S 0 PV ( div ) PV ( X )
C 0 S 0 e T N (d1 ) Xe rT N (d 2 )
F0 S 0 1 r f D
1
S
ln 0 r 2 T
2
X
d1
T
d 2 d1 T
Spot-Futures Parity
1 rdom
F0 E 0
1 r
for