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ID:34747962
大小:4.35 MB
页数:465页
时间:2019-03-10
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1、ListofFrequentlyUsedSymbolsandNotationAtextsuchasIntermediateFinancialTheoryis,bynature,relativelynota-tionintensive.Wehaveadoptedastrategytominimizethenotationalburdenwithineachindividualchapteratthecostofbeing,attimes,inconsistentinouruseofsymbolsa
2、crosschapters.Welisthereasetofsymbolsregularlyusedwiththeirspeci¯cmeaning.Attimes,however,wehavefounditmorepracticaltousesomeofthelistedsymbolstorepresentadi®erentconcept.Inotherin-stances,clarityrequiredmakingthesymbolicrepresentationmoreprecise(e.g
3、.,bybeingmorespeci¯castothetimedimensionofaninterestrate).RomanAlphabetaAmountinvestedintheriskyasset;inChapter14,fractionofwealthinvestedintheriskyassetorportfolioATTransposeofthematrix(orvector)AcConsumption;inChapter14only,consumptionisrepresented
4、byC;whilecrepresentslnCckConsumptionofagentkinstateofnatureµµCECertaintyequivalentCAPriceofanAmericancalloptionCEPriceofaEuropeancalloptiondDividendrateoramount¢Numberofsharesinthereplicatingportfolio(ChapterxxETheexpectationsoperatorekEndowmentofage
5、ntkinstateofnatureµµfFuturesposition(Chapter16);pfPriceofafuturescontract(Chapter16)F;GCumulativedistributionfunctionsassociatedwithdensities:f;gProbabilitydensityfunctionsKThestrikeorexercisepriceofanoptionK(~x)Kurtosisoftherandomvariable~xLAlottery
6、LLagrangianmPricingkernelMThemarketportfolioMUkMarginalutilityofagentkinstateµµpPriceofanarbitraryassetPMeasureofAbsolutePrudenceqArrow-DebreupriceqbPriceofrisk-freediscountbond,occasionallydenotedprfqePriceofequityrfRateofreturnonarisk-freeassetRfGr
7、ossrateofreturnonarisk-freeassetr~RateofreturnonariskyassetR~Grossrateofreturnonariskyasset1RAAbsoluteriskaversioncoe±cientRRRelativeriskaversioncoe±cientsUsuallydenotestheamountsavedSInthecontextofdiscussingoptions,usedtodenotethepriceoftheunderlyin
8、gstockS(~x)Skewnessoftherandomvariable~xTTransitionmatrixUUtilityfunctionUvonNeuman-MorgensternutilityfunctionVUsuallydenotesvariance-covariancematrixofassetreturns;occasionallyisusedasanotherutilityfunctionsymbol;mayalsosignifyvalueasinVpThevalueofp
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