Formulas Flashcards
(8 cards)
1
Q
Calculate Mean with Weights in a Column and Means in a Column
A
=SUMPRODUCT(Weights, Means)
2
Q
Calculate Mean with Weights in a Column and Means in a Row
A
MMULT(Row,Column)
3
Q
Calculate Portfolio Standard Deviation
A
SQRT(MMULT(TRANSPOSE(Weights),MMULT(VCov,Weigths)))
4
Q
Delta Normal VaR
A
=Amount x Quantile x Scale x STD
Quantile = NORMSINV(Confidence) and Scale =SQRT(1/n)
5
Q
GVMP
A
=MM(MINVERSE(Array),Ones)/MMULT(TRANSPOSE(Ones),MMULT(MINVERSE(Array),Ones))
Or
=MMULT(MINVERSE(Array),Ones)/SUM(MMULT(MINVERSE(Array),Ones))
6
Q
Efficient Portfolio
A
=MMULT(MINVERSE(Array,Er-c MMULT(MINVERSE(Array),Er-c Weights))
7
Q
Variance
A
W1^2Variance1+W2^2Variance2+2W1W2*Cov
8
Q
Covariance Efficient with GMVP
A
=MMULT(TRANSPOSE(GVMPWeights),MMULT(VCOV, Efficient Weights))
