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Beta (finance) Expected change in price of a stock relative to the whole market. In finance, the beta (β or market beta or beta coefficient) is a statistic that measures the expected increase or decrease of an individual stock price in proportion to movements of the stock market as a whole. Beta can be used to indicate the contribution of an ...
Example of the optimal Kelly betting fraction, versus expected return of other fractional bets. In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for sizing a sequence of bets by maximizing the long-term expected value of the logarithm of wealth, which is equivalent to maximizing the long-term expected geometric growth rate.
Generalized estimating equation. In statistics, a generalized estimating equation (GEE) is used to estimate the parameters of a generalized linear model with a possible unmeasured correlation between observations from different timepoints. [1][2] Although some believe that GEEs are robust in everything [who?], even with the wrong choice of ...
Hamada's equation. In corporate finance, Hamada’s equation is an equation used as a way to separate the financial risk of a levered firm from its business risk. The equation combines the Modigliani–Miller theorem with the capital asset pricing model. It is used to help determine the levered beta and, through this, the optimal capital ...
The weighted arithmetic mean is similar to an ordinary arithmetic mean (the most common type of average), except that instead of each of the data points contributing equally to the final average, some data points contribute more than others. The notion of weighted mean plays a role in descriptive statistics and also occurs in a more general ...
q = 0 corresponds to the weighted harmonic mean, q = 1 to the weighted geometric mean, and; q = 2 to the weighted arithmetic mean. As q approaches infinity, the weighted generalized mean with exponent q − 1 approaches the maximum p i value, which is the proportional abundance of the most abundant species in the dataset.
where g(r) represents the prior probability density distribution of r, which lies in the range 0 to 1. The prior probability density distribution summarizes what is known about the distribution of r in the absence of any observation. We will assume that the prior distribution of r is uniform over the interval [0, 1]. That is, g(r) = 1. (In ...
The expected return (or expected gain) on a financial investment is the expected value of its return (of the profit on the investment). It is a measure of the center of the distribution of the random variable that is the return. [1] It is calculated by using the following formula: where. is the return in scenario ; is the probability for the ...