MGFB10H3 Chapter 8: Chapter 8 Notes

• School: UTSC
• Department: Finance
• Course: MGFB10H3
• Professor: Derek Chau

Document Summary

Chapter 8 risk, return, and portfolio theory notes. Erp = erb + w (era erb) where erp = expected return on portfolio, eri = expected return on security i, and wi = portfolio weight www. notesolution. com. p = [(wa)2 (a)2 + (wb)2 (b)2 + 2 (wa) (wb) (covab)] ab = covab / a b covab = ab a b. p = [(wa)2 (a)2 + (wb)2 (b)2 + 2 (wa) (wb) (ab) (a) (b)] p = [(wa)2 (a)2 + (wb)2 (b)2] p = [(wa)2 (a)2 + (wb)2 (b)2 + 2 (wa) (wb) (a) (b)] p = [(wa)2 (a)2 + (wb)2 (b)2 2 (wa) (wb) (a) (b)] Appendices: w = (erp erb) / (era erb, daily var = dollar value of position portfolio return volatility. Summary of learning objectives: distinguish between ex post and ex ante returns and explained how they are estimated. replaced in p. Ex post means after the fact , so ex post returns are past or historical returns.