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Lecture notes

Relevant Formulas Portfolio Theory for Finance

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This summary contains all the necessary formulas for the exam of Portfolio Theory.

Institution
Rijksuniversiteit Groningen (RuG)
Module
Portfolio Theory








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Jack Clark Francis, Dongcheol Kim Modern Portfolio Theory
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  • 9781118370520
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Institution
Rijksuniversiteit Groningen (RuG)
Study
Master Finance
Module
Portfolio Theory
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Document information

Uploaded on
October 29, 2022
Number of pages
4
Written in
2022/2023
Type
Lecture notes
Professor(s)
Auke plantinga & francesco febbraro
Contains
All classes

Subjects

  • finance
  • portfolio theory

Content preview

Formulas Portfolio Theory
Measure of absolute risk aversion ACW
ACW
_YET
Covariance between Stock A and Stock B Par
PAB TAB PABOA
IEEE

Weights of the Minimum Variance portfolio

wapiti
Tangency Portfolio
2 ZT E rfc

Simple Utility Function
f E r Er

Finding value of a to check the MinimumVariance set

Wg awp t C1 a Wp


Systematic us Unsystematic Risk
of bio tote Systematic var Unsystematic var
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