
Vector of ones 

Confidence level 

Vector of instantaneous alphas 

Vector of ordinary leastsquares estimates for instantaneous alphas 

Vector of portfolio betas 

Matrix of betas 

Ordinary leastsquares estimate for matrix of betas 

Certainty equivalent 

Conditional ValueatRisk 

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 

Modelimplied 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 "threefund" portfolio 

Set of admissible portfolios 

Riskadjusted 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 

Riskfree 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 

tstatistics vector for instantaneous alphas 

tstatistics matrix for betas 

Investment horizon 

Utility function 

Vector of assets relative contributions to portfolio variance 

ValueatRisk 

Covariance matrix 

Sample covariance matrix 

Modelimplied estimate of covariance matrix 

Covariance matrix for regression residuals 