DOUCHTAL'S OF PORTFOLIO ANALYSIS `I !`#` ! Multivariate probability distributions for stock; 1 . stock ?' and stock } Probability Stock ! Stock 2) 1

DOUCHTAL'S OF PORTFOLIO ANALYSIS`I !`#` ! Multivariate probability distributions for stock; 1 . stock ?' and stock }ProbabilityStock !Stock 2)1 . 121. 120\1.10. 180Q.OBD1. 10. 10.01211.0301. 1.0101 1. !`0. 120\1.10.04001 . 1301 . 11 . 9801. 1Variance / {`!2.05.151.01 1Stock ?`- 17 . 010.05^Correlations*Stock !)Stock ?)Stock }}- 01. 37 8BY0. 1619'```` = 1.1 * 0. 120 + 0. 1 x 0.150 + ... + 0. 1 {``ID.`101. 4619- 0. 7107-0. 71071\} }In` = 1500^#` = 0.1*: 10.120 - 1. 0401 x condo - 1. 4Adj + 0. 1 x 10.180 - 1.ob`^ ^`so - O. JBoj + ...where Eis the expectation operator . Note that Elm` is an ex- anke return measure , i.e. it refers" the future . By contrast , the simple mean { discussed in the previous chapter is an ex - postFrasure that is computed from a sample of past returns . To distinguish between these twoI've the same mean ( 1 . 080) .abures , EIRI is commonly referred to as the population mean . In this case, all themap ^The population variance of returns is a measure of the if"dency and is used as a measure fif !I and is calm.