投资学第五缓讲风险与收益.pptVIP

Mean of a Sum Example: If E[X] = 2, E[Y] = 3, E[Z] = -5 What is E[X-2Y+Z]? Answer: Use the linearity property of Expectation... E[X-2Y+Z] = E[X] - 2E[Y] + E[Z] = 2-2(3)+(-5) = -9 Covariance Between Two Sums Tricks for Variance and Covariance 1) 不用管常数项 Ignore constants 2) 如同做两项乘积的展开. 3) 用 var(X)替代X2 ,用cov(X,Y)替代XY ,用 var(Y)替代Y2 Practice so that you can do these steps in your head! Variance of a Sum Example: What is Var[X-2Y+Z]? Answer: * * 确定性等价收益率 Certainly equivalent rate 排除风险因素后，风险资产能提供的等价的无风险收益率，称为风险资产的确定性等价收益率。 风险资产的U就是确定性等价收益率；由于无风险资产的方差为零，因此其效