BEPP 305 Lecture Notes - Lecture 1: Expected Shortfall, Sample Space, Expected Loss

• School: UPenn
• Department: Business Econ & Public Policy
• Course: BEPP 305
• Professor: Tobacman

Document Summary

Sample space {h, t: probability distribution { , , random variables , number of heads: h = 1. If h, then 1; if t, then 0: number of tails: h = 0. Sample space {h, h}, {h, t}, {t, h}, {t, t: probability distribution { , , , , random variables , number of heads: h = 1. If hh, then 2; if ht, then 1; if th, then 1; if tt, then 0: number of tails: h = 0. Proportion of heads: if hh, then 1; if ht, then ; if th, then ; if tt, then 0. Proportion of tails: if hh, then 0; if ht, then ; if th, then ; if tt, then 1. Properties of random variables: expected value (mean)- measure of central tendency, weighted average of outcomes. =(cid:2869: variance and sd measure of dispersion, measure the expected dispersion between outcomes and the mean, var/sd are higher when: