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Vector of ones Vector of ones
Confidence level Confidence level
Vector of instantaneous alphas Vector of instantaneous alphas
Vector of ordinary least-squares estimates for instantaneous alphas Vector of ordinary least-squares estimates for instantaneous alphas
Vector of portfolio betas Vector of portfolio betas
Matrix of betas Matrix of betas
Ordinary least-squares estimate for matrix of betas Ordinary least-squares estimate for matrix of betas
Certainty equivalent Certainty equivalent
Conditional Value-at-Risk Conditional Value-at-Risk
Vector of dividend yields Vector of dividend yields
Portfolio dividend yield Portfolio dividend yield
Diagonal matrix with elements of x at the main diagonal. Diagonal matrix with elements of x at the main diagonal.
Vector, whose elements are equal to diagonal elements of A Vector, whose elements are equal to diagonal elements of A
Vector of transaction costs Vector of transaction costs
Vector of regression residuals Vector of regression residuals
Mathematical expectation symbol Mathematical expectation symbol
Downside volatility Downside volatility
Normalized downside volatility Normalized downside volatility
Inaction region Inaction region
Information ratio Information ratio
Absolute risk aversion coefficient Absolute risk aversion coefficient
Relative risk aversion coefficient Relative risk aversion coefficient
Expected simple rate of return Expected simple rate of return
Mu vector Mu vector
Excess Mu vector Excess Mu vector
Implied excess Mu vector Implied excess Mu vector
Vector of sample estimates for excess Mu Vector of sample estimates for excess Mu
Model-implied estimate for excess Mu vector Model-implied estimate for excess Mu vector
Portfolio Mu Portfolio Mu
Portfolio excess Mu Portfolio excess Mu
Excess Mu for GMV portfolio Excess Mu for GMV portfolio
Excess Mu for tangency portfolio Excess Mu for tangency portfolio
Set of possible values for excess Mu vector Set of possible values for excess Mu vector
Normalized STARR ratio Normalized STARR ratio
Simple return Simple return
Simple annual rate of return Simple annual rate of return
Weight in riskless asset Weight in riskless asset
Vector of portfolio weights, corresponding to risky assets Vector of portfolio weights, corresponding to risky assets
Vector of portfolio weights for GMV portfolio Vector of portfolio weights for GMV portfolio
Vector of portfolio weights for tangency portfolio Vector of portfolio weights for tangency portfolio
Vector of portfolio weights for Merton portfolio Vector of portfolio weights for Merton portfolio
Vector of portfolio weights for 'three-fund' portfolio Vector of portfolio weights for "three-fund" portfolio
Set of admissible portfolios Set of admissible portfolios
Risk-adjusted expected excess rate of return Risk-adjusted expected excess rate of return
Logarithmic return, calculated on [0,T] period Logarithmic return, calculated on [0,T] period
Simple annual rate of return, calculated on [0,T] period Simple annual rate of return, calculated on [0,T] period
Expected logarithmic rate of return, calculated on [0,T] period Expected logarithmic rate of return, calculated on [0,T] period
Portfolio expected excess growth rate in the analytical model Portfolio expected excess growth rate in the analytical model
Risk-free rate Risk-free rate
Borrowing rate Borrowing rate
Lending rate Lending rate
Determination coefficient in regression Determination coefficient in regression
Target excess growth rate, minimum acceptance excess rate (MAR) Target excess growth rate, minimum acceptance excess rate (MAR)
Volatility vector Volatility vector
Portfolio volatility Portfolio volatility
Vector of expected excess growth rates in the analytical model Vector of expected excess growth rates in the analytical model
Volatility of GMV portfolio Volatility of GMV portfolio
Volatility of tangency portfolio Volatility of tangency portfolio
Sortino ratio Sortino ratio
Normalized Sortino ratio Normalized Sortino ratio
Sharpe ratio Sharpe ratio
Instantaneous Sharpe ratio Instantaneous Sharpe ratio
STARR ratio STARR ratio
Volatility matrix Volatility matrix
t-statistics vector for instantaneous alphas t-statistics vector for instantaneous alphas
t-statistics matrix for betas t-statistics matrix for betas
Investment horizon Investment horizon
Utility function Utility function
Vector of assets relative contributions to portfolio variance Vector of assets relative contributions to portfolio variance
Value-at-Risk Value-at-Risk
Covariance matrix Covariance matrix
Sample covariance matrix Sample covariance matrix
Model-implied estimate of covariance matrix Model-implied estimate of covariance matrix
Covariance matrix for regression residuals Covariance matrix for regression residuals













 
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