Risk, Returns, and History


  • Calculate returns and identify measures of risk.
  • Collect and analyze macroeconomic data and key financial ratios.


  • Chapter 5: Risk, Return, and History

Quantifying Uncertainty & Risk

Lecture @ Yale in 2009
00:00 - Expectation, Variance, and Covariance
19:06 - Diversification and Risk Exposure
33:54 - Conditional Expectation
53:39 - Uncertainty in Interest Rates

Measuring Returns

Arithmetic and Geometric Returns

Effective Annual Rate

Diversification and Portfolio Calculations

Andrew Lo @ MIT in 2008

Value at Risk

Kenneth Abbott @ MIT in 2013

Defining and Measuring Risk

Aswath Damodaran @ NYU

Equity Premium and Risk

John Cochrane @ UChicago

Optional Advanced Topics

Time Varying Risk Premium

John Cochrane @ UChicago