Portfolio Management Quiz 2

1 $\operatorname {E} (R_{p})=\sum _{i=1}^{n}\operatorname {E} (R_{i})w_{i}\quad$

Where:

n

= number of

in the

w_{i}

= percent of

in

i

\operatorname {E} (R_{i})

= expected

of

i

\operatorname {E} (R_{p})

= expected

of the

2 $E\left(R_{i}\right)=R_{f}+B_{1}F_{1}+B_{2}F_{2}+\cdots +B_{n}F_{n}$

Where:

R_{f}

=

-

B

=

of the

to its associated

F

=

3 $E\left(\sigma _{p}^{2}\right)=\sum _{i=1}^{n}\sum _{j=1}^{n}v_{ij}w_{i}w_{j}$

for calculating

Where:

E\left(\sigma _{p}^{2}\right)

=

of

P

w_{i},w_{j}

=

of

i,j

v_{ij}

=

of

between

i

and

j

n

= number of securities in the portfolio

4 $r_{i}=r_{f}+\left(r_{m}-r_{f}\right)\beta _{i}+e_{i}$

Where:

r_{i}

=

for

_{i}

r_{f}

=

-

of

r_{m}

=

from the

\beta

= beta of

_{i}

e_{i}

= a random

(with an expected value of zero) and

with

r_{m}-r_{f}

is known as the

and measures the expected return pf the equity market over cash.