# Questions tagged [expected-return]

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### “Smoothed” growth rate used to calculate implied equity risk premium

On Aswath Damodaran's website, he publishes an annual dataset that calculates the current equity risk premium implied by current market prices. The dataset can be found here: http://www.stern.nyu.edu/~...
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### Under Put-Call Parity, why do we add the cost of carry to Call prices but subtract them from the Stock price and Put prices?

In Natenberg (1994) Chapter 11 he outlines the Put-Call parity relationships. ...
65 views

### Detrending market data to calculate expected return (ER)

I'm a complete newbie so please be kind. I'm reading Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals by David Aronson And I'm ...
148 views

### Deriving Single Index Model (Market Model)

$R_{it}=\alpha_i+\beta_i\cdot R_{mkt}+\epsilon_{it}$ $R_{it}$ is the return of the stock of observation $R_{mkt}$ is the return of the reference market $\beta_i$ is the regression coefficient between ...
178 views

### Methods for superior estimates of returns in m.v. portfolio optimization

Leaving aside the aspects related to the estimation of the variance component (all the latest techniques to compute a stable covariance matrix of a given set of assets such as simple shrinkage, Ledoit-...
113 views

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### Implied Expected Stock Return from European Option Prices

We can calculate the expected stock return (under the measure $Q$) from at-the-money ($K=S_t$) option prices as: $$E\left(\frac{S_T-S_t}{S_t}\right)=\frac{e^{rT}}{S_t}(C_t-P_t)$$ The result is ...
41 views

### Polynomial interpolation of corrected lognormal distribution

Can anyone provide a formula for a polynomial interpolation of the corrected lognormal distribution used to model returns traditionally resulting from the wrong Brownian motion generated model? ...
51 views

I am learning the basics of portfolio management. I am confused about different ways to calculate rate of returns mentioned in the text investment and portfolio analysis. There are three methods to ...
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### Calculating expected annual returns [closed]

An economy contains these three assets: Asset A has standard deviation of returns (per annum) of 25% and market capitalisation $600m Asset B has standard deviation of 20%, market capitalisation$...
389 views

### Understanding CAPM, CML, and efficient portfolios

I'm trying to understand the CAPM model and how we can use it to understand efficient portfolios. Specfically, I'm trying to use the CML line (mapping expected returns and standard deviations of ...
366 views

### Cross-sectional Regression: Using calculated coefficient of first regression for a second regression as dependent variable

Hello stackexchange community! I am new to R and econometrics and and stuck in a step of the fama-macbeth (1973) regression, in which risk premia of stocks are estimated with a two-step regression ...
85 views

### how to find the weights in a portfolio? [closed]

Compute the weights in a portfolio consisting of two kinds of stocks if the expected return on the portfolio is to be $E(K_v)=10\%$, given the following information on the returns on stock 1 and 2:  ...