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Flashcards in CAIA - Equations Deck (128)
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1

Probability Weighted Standard Deviation

2

Expected Utility

3

Expected Utility with Higher Moments

4

Expected Utility Using VaR

5

Expected Utility of DB Fund

6

Expected Utility of DB with Liability Growth

7

Weight of Risky Asset in DB Plan with Liability Growth

8

Degree of Risk Aversion

9

Asset Class Return

Risk Free

+

Expected Inflation

+

Risk Premium

10

MVO objective function

11

Optimal Weight of Risky Asset

12

Hurdle Rate Criteria

13

Information Ratio in terms of information coefficient and breadth

14

Information Ratio with Transfer Coefficient

15

Information Ratio using Alpha

16

Beta of New Portfolio using futures for Tactical Asset Allocation

F = Notional amount of futures

P = Size of portfolio

17

Market Value Adjusted for Liquidity Preference

18

Estimation Error

19

Portfolio Variance

20

Marginal Contribution of Risk to Total Portfolio

21

Beta

22

Portfolio's Total Risk in Terms of Risk Factor Contributions

23

Risk of 2-asset portfolio

24

Volatility Weighted Weight

25

Change In Endowment Value

Income From Gifts

-

Spending

+

Net Investment Returns

26

Total Return in Terms of Strategic Asset Allocation, security selection and market timing

Returns from SAA

+

Security Selection

+

Market Timing

27

% Change In Pension Liabilities Given Duration and Yield

- Modified Duration x Change In Yield

28

Market Value of Equity In Terms of Operating Assets/Liabilities

(OA - OL) + (A - L)

OA/L = Operating Assets / Liability

29

Economic Life in Years

30

PV of Growth Annuity

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