Risk, Returns, and History
Objectives
- Calculate returns and identify measures of risk.
- Collect and analyze macroeconomic data and key financial ratios.
Reading
- 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