agoldminer的博客

1. 风险与收益的平衡（RAROC）RAROC=RewardRiskRAROC=\frac{Reward}{Risk}RAROC=RiskReward​2. CMLE(RP)=RF+[E(RM)−RFσM]σPE(R_P)=R_F+\left[\frac{E(R_M)-R_F}{\sigma_M}\right]\sigma_PE(RP​)=RF​+[σM​E(RM​)−RF​​]σP​斜率是夏普比率3. CAPME(Ri)=r+βi[E(RM)−r]E(R_i)=r+\beta_i[E(R_M)

The HM model is also call Mean-Variance Model due to the fact that it is based on expected returns(mean) and the standard deviation(variance) of the various protfolios.1. Meansurements of return and riskReturn: Average return (Arithmetic return)It is us

1. Capital Allocation Line(CAL)Functions of CALThe portfolios available to an investor through combining the risk-free asset with one risky asset.Rp=wiRi+wrfRrfR_p=w_iR_i+w_{rf}R_{rf}Rp​=wi​Ri​+wrf​Rrf​σp=wiσi\sigma_p = w_i\sigma_iσp​=wi​σi​E(Rp)=Rf+E

Relative Theory and Capital Asset Pricing ModelCapital Allocation Line(CAL)Optimal portfolio along CALSelection among CALsCapital Market Line (CML)Systematic risk & Unsystematic riskBeta(β\betaβ)Assumptions of CAPMComponents of CAPMSecurity Ma

1. Sharpe Performance Index (SPI)The ratio of the mean excess return on portfolio i to the standard deviation of the returns of portfolio i2. Treynor Performance Index (TPI)3. Jensen’s Performance Index (JPI)4. Sortino Ratio5. Tracking Error6.