标题: Slopes of Diagrams [打印本页] 作者: king_kong 时间: 2011-7-11 19:00 标题: Slopes of Diagrams
SML(return vs. beta): the slope of the line is the market risk premium;
CML(return vs. beta): the slope of the line is the sharpe ratio;
Duration(price vs. yield): the slope of the tangent line in Price/yield diagram;
Delta(C/P vs. S): the slope of the tangent line in the Payoff diagram.
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Any other Slopes in L3?作者: Zestt 时间: 2011-7-11 19:00
note changes to above
SML(return vs. beta): the slope of the line is the market risk premium(TREYNOR)
CML(return vs. STANDARD DEVIATION): the slope of the line is the sharpe ratio;
dont forget Delta and Gamma作者: NakedPuts00 时间: 2011-7-11 19:00
hedge ratio is the slope coefficient of the regression of the asset return on the futures return
delta (for currency hedging) is the slope coefficient of the change in exchange rate to the change in option price
I think there are a couple more作者: bboo 时间: 2011-7-11 19:00
AMA Wrote:
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> deriv108 Wrote:
> --------------------------------------------------
> -----
> > Just reiterate what Xtra said...The slope of
> the
> > SML is the Treynor ratio of the market
> portfolio.
>
> You mean : The slope of the SML is (Rm - Rf) / Bm
> ?
It is E(Ri) - Rf / Bi which is equal to E(Rm) - Rf
