Автор: | Amir Sadr |
Издательство: | John Wiley & Sons Limited |
Серия: | |
Жанр произведения: | Личные финансы |
Год издания: | 0 |
isbn: | 9781119838418 |
alt="images"/>lottery is preferred to certainty‐equivalent of random payoff , absolute risk premium, relative risk premium, , value, value of a portfolio, value of th assetquantity, priceweight of th asset in a portfolio, return of an asset over a period : . Can be divided by to give rate of returnasset 's return, with mean and standard deviation ,Cmean vector, standard deviation vector, and covariance matrix of asset returnsreturn of a risk‐free assetmarket portfolio, return of the market portfoliobeta of an asset , empirical estimate of arithmetic average of samples of , forward date, future dateforward value of asset at time for forward date ‐value of a forward agreement on asset for forward date and price simple (noncompounding) forward rate that can be locked at for forward deposit period . The first term may be omitted when .continuously compounding forward rate that can be locked at for forward deposit period . The first term may be omitted when .FXforeign currency exchange ratedomestic and foreign interest rates for forward exchange rate calculationsthe ‐forward exchange rate that can be locked at today's value of an asset today's value of a contingent claim generic random sample pathvalue of a money‐market account at time along sample path normal or Gaussian random variable with mean and variance lognormal random variable whose log is CDFcumulative ditribution functionpdfprobability density functionpmfprobability mass functioncumulative distribution function of a standard () normal random variable, probability density