  The Theory \ Details \ table of symbols

# Table of symbols Vector of ones Confidence level Vector of instantaneous alphas Vector of ordinary least-squares estimates for instantaneous alphas Vector of portfolio betas Matrix of betas Ordinary least-squares estimate for matrix of betas Certainty equivalent Conditional Value-at-Risk Vector of dividend yields Portfolio dividend yield Diagonal matrix with elements of at the main diagonal. Vector, whose elements are equal to diagonal elements of A Vector of transaction costs Vector of regression residuals Mathematical expectation symbol Downside volatility Normalized downside volatility Inaction region Information ratio Absolute risk aversion coefficient Relative risk aversion coefficient Expected simple rate of return Mu vector Excess Mu vector Implied excess Mu vector Vector of sample estimates for excess Mu Model-implied estimate for excess Mu vector Portfolio Mu Portfolio excess Mu Excess Mu for GMV portfolio Excess Mu for tangency portfolio Set of possible values for excess Mu vector Normalized STARR ratio Simple return Simple annual rate of return Weight in riskless asset Vector of portfolio weights, corresponding to risky assets Vector of portfolio weights for GMV portfolio Vector of portfolio weights for tangency portfolio Vector of portfolio weights for Merton portfolio Vector of portfolio weights for "three-fund" portfolio Set of admissible portfolios Risk-adjusted expected excess rate of return Logarithmic return, calculated on [0,T] period Simple annual rate of return, calculated on [0,T] period Expected logarithmic rate of return, calculated on [0,T] period Portfolio expected excess growth rate in the analytical model Risk-free rate Borrowing rate Lending rate Determination coefficient in regression Target excess growth rate, minimum acceptance excess rate (MAR) Volatility vector Portfolio volatility Vector of expected excess growth rates in the analytical model Volatility of GMV portfolio Volatility of tangency portfolio Sortino ratio Normalized Sortino ratio Sharpe ratio Instantaneous Sharpe ratio STARR ratio Volatility matrix t-statistics vector for instantaneous alphas t-statistics matrix for betas Investment horizon Utility function Vector of assets relative contributions to portfolio variance Value-at-Risk Covariance matrix Sample covariance matrix Model-implied estimate of covariance matrix Covariance matrix for regression residuals  