Beruflich Dokumente
Kultur Dokumente
+
Portfolio Realized Return:
1 1
1
...
n
p i i n n
i
R x R x R x R
=
= = + +
Portfolio Expected Return:
1 1
1
( ) ( ) ( ) ... ( )
n
p i i n n
i
E R x E R x E R x E R
=
= = + +
Correlation:
ij
ij
i j
=
Covariance:
( )( )
( , )
A B A A B B
Cov R R E R R R R
=
Portfolio Variance (two assets):
2 2 2 2 2
1 1 2 2 1 2 12
2 2 2 2
1 1 2 2 1 2 12 1 2
( ) ( ) ( ) 2
( ) ( ) 2 ( ) ( )
p
R x R x R x x
x R x R x x R R
= + +
= + +
USEFUL FORMULA
Portfolio Standard Deviation (two assets,
correlation = -1):
1 1 1 2
(1 ) x x
Portfolio Standard Deviation (two assets,
correlation = +1):
1 1 1 2
(1 ) x x +
Variance of random variable R:
( )
2
( ) Var R E R R
=
Beta:
2
cov( , )
( )
i p
p
R R
R
=
Portfolio Beta:
=
=
n
i
i i p
x
1
The Capital Asset Pricing Model (Security
Market Line)
[ ] ] ) ( ) (
f m i f i
R R E R R E + =
(Capital Market Line)
[ ]
+ =
m
f m
e f e
R R E
R R E
] ) (
) (
Modigliani-Miller No-Tax Propositions
V
L
= V
U
) (
B o o S
r r
S
B
r r + =
Modigliani-Miller Tax Propositions
V
L
= V
U
+
c
B
( ) ) ( 1
B o C o S
r r
S
B
r r + =
Value of Levered firm (V
l
) with constant EBIT:
WACC
c
l
r
EBIT
V
) 1 (
=
Value of Unlevered firm (V
u
) with constant
EBIT:
V
u
=
EBIT(1
c
)
r
o
Weighted Ave. Cost of Capital (no tax)
B S
r
B S
B
r
B S
S
+
+
+
Weighted Average Cost of Capital (tax)
) 1 (
c B S
r
B S
B
r
B S
S
+
+
+
Aftertax Cost of Debt = (1-Tax rate) x Borrowing
rate
Cash Flow Recipe
Revenues
-Operating Expenses
=EBITDA (earnings before interest, taxes,
depreciation and amortization)
-Depreciation
=EBIT (earnings before interest and taxes)
-Taxes
=EBIAT (earnings before interest after taxes)
+Depreciation
-Capital Expenditures
-Change in Net Working Capital
+After-Tax Proceeds from Sale of Equipment
=Cash Flow
Put-Call Parity
C P = S K/ (1+r)
Call Value at maturity
max (0, S K)
Put Value at maturity
max (0, K S)
Forward Price (F)
F = S
0
* (1+r)