Table of Contents
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8 CHAPTER 1: Introduction DEFINITION OF RISK RISK TYPES RISK MANAGEMENT VERSUS RISK CONTROL RISK AVERSION EX POST AND EX ANTE DISPERSION NOTES
9 CHAPTER 2: Descriptive Statistics MEAN (OR ARITHMETIC MEAN) ANNUALISED RETURN CONTINUOUSLY COMPOUNDED RETURNS (OR LOG RETURNS) WINSORISED MEAN MEAN ABSOLUTE DEVIATION (OR MEAN DEVIATION) VARIANCE MEAN DIFFERENCE (ABSOLUTE MEAN DIFFERENCE OR GINI MEAN DIFFERENCE) RELATIVE MEAN DIFFERENCE BESSEL'S CORRECTION (POPULATION OR SAMPLE, N OR N − 1) SAMPLE VARIANCE STANDARD DEVIATION (VARIABILITY OR VOLATILITY) ANNUALISED RISK (OR TIME AGGREGATION) THE CENTRAL LIMIT THEOREM FREQUENCY AND NUMBER OF DATA POINTS ALTERNATIVE RISK ANNUALISATION METHODS NORMAL (OR GAUSSIAN) DISTRIBUTION HISTOGRAMS SKEWNESS (FISHER'S OR MOMENT SKEWNESS) SAMPLE SKEWNESS KURTOSIS (PEARSON'S KURTOSIS) EXCESS KURTOSIS (OR FISHER'S KURTOSIS) SAMPLE KURTOSIS BERA–JARQUE STATISTIC (OR JARQUE–BERA) COVARIANCE SAMPLE COVARIANCE CORRELATION (ρ) SAMPLE CORRELATION AUTOCOVARIANCE AUTOCORRELATION (OR SERIAL CORRELATION) ANNUALISED VARIABILITY IF RETURNS ARE AUTOCORRELATED NOTES
10 CHAPTER 3: Performance Appraisal Measures PERFORMANCE APPRAISAL SHARPE RATIO (REWARD TO VARIABILITY, SHARPE INDEX) ROY RATIO RISK-FREE RATE ALTERNATIVE SHARPE RATIO REVISED SHARPE RATIO ADJUSTED SHARPE RATIO SKEW-ADJUSTED SHARPE RATIO SKEWNESS–KURTOSIS RATIO ALTERNATIVE ADJUSTED SHARPE RATIOS SMOOTHING-ADJUSTED SHARPE RATIO MAD RATIO GINI RATIO RELATIVE RISK TRACKING ERROR (OR TRACKING RISK, RELATIVE RISK, ACTIVE RISK) RELATIVE SKEWNESS RELATIVE KURTOSIS INFORMATION RATIO GEOMETRIC INFORMATION RATIO MODIFIED INFORMATION RATIO ADJUSTED INFORMATION RATIO SKEW-ADJUSTED INFORMATION RATIO NOTES
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CHAPTER 4: Regression Analysis
REGRESSION EQUATION
REGRESSION