cfa一级公式

Quantitative10100365/:D360360:==360:1360A:(1)1ContinuouslycompoundedrateofreBDBDMMBDtPPCFHoldingPeriodYieldHPYPFVPBankDiscountYieldrFtFVtrMoneyMarketYieldrHPYttrEffectivennualYieldEAYHPY12turn:rlnln1ccsHPRs236536512112111(1)(1)2(1)(1)...(1)1;;();1ttnTimeweightednMoneyweightednininArithmeticWeightediiGeometricnGeometricArithmeticHarmonicniiiyBEYHPYEAYRrrrRIRRXnXXWXXxxxXXXnXL(1)100yn2222111[()]2Excesskurtosis=Samplekurtosis-3()();:;:;111nnniiiiiixXksRangeMaxValueMinValueXXXXMADPopulationVarianceSampleVariancesMADnnnPkCoefficientofVariat切比雪夫不等式：:;xpfpsionCVXRRSharpRatio越大越好ExcessKurtosis=SampleKurtosis3()1()Oddsofevent=;Oddsagainstofevent=1()()()(|)()(|)();()()()()()=0()()()()(|)()PEPEPEPEPABPABPBPBAPAPAorBPAPBPABPABPAorBPAPBPABPBAPA一般条件：互斥事件：；贝叶斯公式：(|)()()(1)()xxnxnPABPBPxCPPPA=;贝努力实验：2221,2121,21111222212221122121,21;()[()()][()()]()[()()][()()]()();290%ConfidenceintervalforXis1.65;95%for1.96ABABnppiiiCovCovPABPAErPBErPABPAErPBErERwER2);95%for2.58~(,),;()1()(Roy'sSafety-firstRatio=;MinimumAcceptableReturnpLLpXsxXNZFzFzERRR/2/20000000000/Confidenceinterval:;pointEstimate;reliabilityfactor;StandardErrorOnetail:,;,;Twotail:,Reject:;FxxXZnXZXZnnHHHHHHHteststatisticcriticalvalue中心极限定理：000ailtoreject::~(0,1);:~(1)//HteststatisticcriticalvalueXXZtestZNttestttnnsn22221121222212121/222212121(1):~(1);:(SS)~(1,1)Testforequalityofmeans:t-statistic=(SampleVariancesassumedunequal);t-statistic=PPsnschiSquaretestxxnFtestFFnnsxxxxssssnnn条件：1/222(equal)nPortfolioManagement22221,21212221122121,2,,2()()():()[()]pMfpfpMimktiiimktmktmktifiMfpfpCov;()();'()()MpfMfppfppfpMfpMSquaredRRRRRRTreynorMeasureJensensRCAPMRRRREconomics%;1,;1,%Pr%;0,normalgood(01,necessitygood;1,Luxury);e0,inferiorgood%%%PriceofrelatedgppiiiiQOwnpriceelasticityeelasticeinelasticiceQIncomeelasticityeeeIncomeQCrosselasticity;0,;0,oodbreakevenpointifAR=ATC(Perfectcompetition);TR=TC(imperfectcompetition)shutdownpointifARAVC(Perfectcompetition);TRTVC(imperfectcompetition)TR=PQ;AR=TR/Q;ccesubstituteecomplementMR=TR/QTC=TFC+TVC;MC=TC/QAccountingprofit=totalrevenue-totalaccountingcostsEconomicprofit=Accountingprofit-implicitopportunitycosts=totalrevenue-explicitcosts-implicitcostsNormalp1110rofit=accountingprofit-economicprofit=;xyxnyNominalGDPGDPdeflator=RealGDP()()()();Fiscalbudgetdeficit=ExcessoverdomexyyMRSnxQPBaseBaseQPGDPCIGXMCSTGTSIXM用替代，用1替代currentBasePeriodRe[sticinvestment+tradebalancePriceCPI=100Price1Moneymultiplier=ReserveMV=PY;RealmoneysupplyVelocityofmoney=PricelevelRealGDP:NomalInflatirequirementFisherEffectRRE]1Fiscalmultiplier=;Marginalpropensitytoconsume1(1)RealExchangeRate(d/f)=nominalforexrate1domesticinterst(d/f):(d/f)onMPCMPCtforeignCPIdomesticCPIForwardNoArbitrageForexRateSpotrate3601foreigninterestrate360ttEquity001111TriggerPrice();Trigger()11PriceWeightedIndex=numberofstocksPrice-changeEqualWeightedIndex=(1+)EqualWeightedInniiniiArithmeticIMIMLongPpriceShortPMMMMPinitialindexvaluen1110dex=currenttotalmarketvalueMarketcapitalization-weightedindex=baseyearindexvaluebaseyeartotalmarketvalueOne-yearDDM:;Multiple-y11nGeometricnpspsssXXinitialindexvalueDPkDPPkk12020earDDM:...1(1)(1)(1)FCFE=CFO-FCInv+netborrowing;FCFF=CFO-FCInv+Int(1-t)CFO=NI+Dep-Increaseinworkingcapital;netborrowing-debtprincipal+newdebtissuesP(1nnnnssssnsDPDDPkkkkFCFEk0110100000111):;(1);(1);:[()](1)///;/nnissfiMfDDGordonGrowthModelPDDggRRROEpayoutratioROEpayoutratiokgEPSCAPMkRERRPPDgEDEPayoutRatioPayoutLeadingPETrailingPEEkgkgEkg(1)EnterpriseValue=MVofcommonstock+MVofPre-stock+MVofDebt-CashandInvestmentMarketValueofequity/;Commonequity=totalasset-totalliabilities-prefBookValueofequityRatiogkgPBRatioMVerredstockAlternative0NAVPerShareAssets-PerShareLiabilitiesProb(1)AppraisalpriceNOI/Marketcaprate;NOI=Income-OperatingExpenseMarketcaprateBenchmarkNOI/BenchmarktransnSuccessnCFVentureCapitalNPVCFiactionpriceAfterTaxNetIncomeNOIDINT*1tAfterTaxCashFlowATNIDPRNprincipalrepaymentNOITAXPRNINTDerivativefloatingrateatsettlementforwardrate360notionalprincipal39361+floatingrateatsettlement360rincipal()360OptionvdaysFRAFRAdaysdaysNetFixedRatePaymentPFixedrateLIBOR；期前，期后0000alueintrinsicvaluetimevalue/1coveredcallS;Breakeven=Sc;MaximumGain=X(Sc)protectiveputS;Breakeven=S;MaximumLoss=X(S)TfcXRSpppp－cFixedIncome112ntt=1t0FullPriceCleanPriceAccruedInterestAccruedinteresttPVCFMacaulayduration=PVCF()MacaulaydurationModifiedduration=1+periodicmarketyieldEffectiveDuration=TCouponTTPPPPy-=+=?+´=D-=Dåå+0/2Δy21absol