utility, CALsharpe
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Catégorie :Category: nCreator TI-Nspire
Auteur Author: gaiastorage
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 1.27 Ko KB
Mis en ligne Uploaded: 22/03/2025 - 10:48:55
Uploadeur Uploader: gaiastorage (Profil)
Téléchargements Downloads: 1
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4543398
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 1.27 Ko KB
Mis en ligne Uploaded: 22/03/2025 - 10:48:55
Uploadeur Uploader: gaiastorage (Profil)
Téléchargements Downloads: 1
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4543398
Description
Fichier Nspire généré sur TI-Planet.org.
Compatible OS 3.0 et ultérieurs.
<<
U = E(r) - 1/3 * A Ã^2 1/2 = scaling factor A = investor's risk aversion Ã^2 = variance of return A> 0 risk adverse, A=0 risk neutral, A<0 risk lover CAL capital allocation line = sharpe ratio CAL e(r) = ( e(r) - rf ) / Ã [SD] Reward-to-risk ratio NOT sharpe ratio Market price of risk ( e(rm) - rf) / Ãm^2 [variance] ( e(rg) - rf) / cov (rm, rg) stock g Made with nCreator - tiplanet.org
>>
Compatible OS 3.0 et ultérieurs.
<<
U = E(r) - 1/3 * A Ã^2 1/2 = scaling factor A = investor's risk aversion Ã^2 = variance of return A> 0 risk adverse, A=0 risk neutral, A<0 risk lover CAL capital allocation line = sharpe ratio CAL e(r) = ( e(r) - rf ) / Ã [SD] Reward-to-risk ratio NOT sharpe ratio Market price of risk ( e(rm) - rf) / Ãm^2 [variance] ( e(rg) - rf) / cov (rm, rg) stock g Made with nCreator - tiplanet.org
>>
