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Portfolio Risk and Return Analysis

This document discusses key concepts in finance including expected return, risk measured as the range between maximum and minimum values, the Sharpe ratio which measures risk-adjusted return, correlation and measures of association between investments, how to calculate portfolio return and risk, the geometric mean to calculate average returns over time, using a t-stat to evaluate an investment's beta, the efficient frontier and minimum variance portfolio, combining a riskfree asset with a portfolio, the capital allocation line, and calculating the weight of an investment in a portfolio.

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75 views3 pages

Portfolio Risk and Return Analysis

This document discusses key concepts in finance including expected return, risk measured as the range between maximum and minimum values, the Sharpe ratio which measures risk-adjusted return, correlation and measures of association between investments, how to calculate portfolio return and risk, the geometric mean to calculate average returns over time, using a t-stat to evaluate an investment's beta, the efficient frontier and minimum variance portfolio, combining a riskfree asset with a portfolio, the capital allocation line, and calculating the weight of an investment in a portfolio.

Uploaded by

youtube2301
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd

Expected Return:

Risk: Range= Max-Min;


Sharpe ratio =

E ( p ) E ( rf )
stdev ( p )

Measures of association:
Correlation:
Portfolio return:

Portfolio risk:
Geometric mean:

T-stat= beta/SE(beta)

MVP:
Riskfree+portfolio:

CAL:

Weight of p* in c:

Theory:

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