Page 76 - CAPE Financial Services Syllabus Macmillan_Neat
P. 76
Correlation (, )
Covariance = =
CML ℎ (, ) =
CAPM =
Sharpe Ratio
=
(, ) = ∑ [ − ()][ − ()]
=1
ℎ ℎ ,
ℎ
ℎ
() = + (()− )
ℎ() ℎ
ℎ − , ,
ℎ ,
() ℎ
() = + (() − )
ℎ () ℎ ,
ℎ − ,
ℎ ′ ( ),
ℎ
( − ) ℎ
() −
ℎ () ℎ ℎ
ℎ −
ℎ
CXC A38/U2/16 71
