riskless rate การใช้

• The equation states that over any infinitesimal time interval the loss from theta and the gain from the gamma term offset each other, so that the result is a return at the riskless rate.
• Where E is the expectations operator, pj is the end-of-period random yield on the jth asset, pm is the end-of-period random yield on the market portfolio and r is one plus the riskless rate of return.
• Where the dependent variable, ( r _ j-r _ f ) _ t is  the asset return in excess of the riskless rate, the two intercepts are a _ j ^ + and a _ j ^-, for the  up-market and  down-market regime respectively, and \ beta _ j ^ + ( r _ m ^ +-r _ f ) _ t is the product of the  up-market beta and the up-market excess return, and similarly \ beta _ j ^-( r _ m ^-- r _ f ) _ t is the product of the  down-market beta and the down-market excess return . a _ j ^ +, \ beta _ j ^ +, a _ j ^-, and \ beta _ j ^-are the estimated parameters for up-market and down-market days, respectively; r _ m ^ + = r _ m on days the market index did not decline and r _ m ^-= r _ m on days it did; D is a dummy variable, which takes the value of 1 when the market index daily return is non-negative and zero otherwise .   The final term, \ epsilon _ t, reflects the idiosyncratic information not proportional to either the up-market or down-market excess returns .