Notation Reference

Notation Reference#

This document contains the LaTeX notation definitions used throughout the course materials.

Usage Notes#

The LaTeX commands defined in this document are automatically compiled into the global MathJax configuration and are available in all discussion notebooks. Exercise notebooks maintain their own local copies for standalone use.

Chapter 1: Risk and Return Metrics#

Symbol	Definition	Description
\(\E\)	`E`	Financial notation
\(\Nassets\)	`K`	Financial notation
\(\Ntime\)	`N`	Time/maturity
\(\covest\)	`\hat{\boldsymbol{\Sigma}}`	Covariance
\(\covmat\)	`\boldsymbol{\Sigma}`	Covariance
\(\meanest\)	`\hat{\mu}`	Greek parameter notation
\(\meanestvec\)	`\hat{\boldsymbol{\mu}}`	Greek parameter notation
\(\muvec\)	`\boldsymbol{\mu}`	Greek parameter notation
\(\onevecNt\)	`\boldsymbol{1}_{\Ntime\times 1}`	Financial notation
\(\rmat\)	`\boldsymbol{R}`	Interest rate
\(\rvec\)	`\boldsymbol{r}`	Interest rate

Chapter 1: Optimizing Risk and Return#

Symbol	Definition	Description
\(\Nsec\)	`K`	Financial notation
\(\avg\)	`\text{avg}`	Avg
\(\covmat\)	`\boldsymbol{\Sigma}`	Covariance
\(\mux\)	`\tilde{\mu}`	Greek parameter notation
\(\muxvec\)	`\boldsymbol{\mux}`	Greek parameter notation
\(\quant\)	`q`	Financial notation
\(\rVaRqtau\)	`r^{\VaR_{q,\tau}}`	Interest rate
\(\rf\)	`r_f`	Risk-free rate
\(\rx\)	`\tilde{r}`	Interest rate
\(\sigx\)	`\tilde{\sigma}`	Greek parameter notation
\(\tan\)	`\text{tan}`	Tan
\(\wt\)	`w`	Portfolio weight
\(\wtvec\)	`\boldsymbol{\wt}`	Portfolio weight
\(\zscore\)	`\texttt{z}`	Financial notation

Chapter 2: Replicating Regressions#

Symbol	Definition	Description
\(\hyg\)	`\text{hyg}`	Hyg
\(\spy\)	`\text{spy}`	Spy
\(\targ\)	`EEM`	Financial notation

Chapter 3: Value-at-Risk#

Symbol	Definition	Description
\(\CVaR\)	`\text{CVaR}`	Variance
\(\E\)	`E`	Financial notation
\(\Nt\)	`N`	Financial notation
\(\Ntime\)	`N`	Time/maturity
\(\Pr\)	`\mathbb{P}`	Mathematical set notation
\(\VaR\)	`\text{VaR}`	Variance
\(\VaRqtau\)	`\VaR_{q,\tau}`	Variance
\(\cdf\)	`\Phi`	Financial notation
\(\cdfz\)	`\cdf_{\zscore}`	Financial notation
\(\loss\)	`L`	Financial notation
\(\pdf\)	`\phi`	Greek angle/parameter notation
\(\pdfz\)	`\pdf_{\zscore}`	Price
\(\pnl\)	`\Gamma`	Profit and loss
\(\pnlCVaRqtau\)	`\pnl^{\CVaR_{q,\tau}}`	Variance
\(\pnlVaRqtau\)	`\pnl^{\VaR_{q,\tau}}`	Variance
\(\port\)	`\Pi`	Price
\(\quant\)	`q`	Financial notation
\(\rCVaRqtau\)	`r^{\CVaR_{q,\tau}}`	Interest rate
\(\rVaRqtau\)	`r^{\VaR_{q,\tau}}`	Interest rate
\(\rlog\)	`\texttt{r}`	Interest rate
\(\zscore\)	`\texttt{z}`	Financial notation

Chapter 3: Coherent Risk Measures#

Symbol	Definition	Description
\(\riskmeasure\)	`\varrho`	Risk-free rate

Chapter 7: Forecasting#

Symbol	Definition	Description
\(\E\)	`E`	Financial notation
\(\rx\)	`\tilde{r}`	Interest rate

C.1.2. MV Optimization of the Harvard Endowment#

Symbol	Definition	Description
\(\mutarg\)	`\tilde{\boldsymbol{\mu}}^{\text{port}}`	Port
\(\mux\)	`\tilde{\mu}`	Greek parameter notation
\(\wEW\)	`\boldsymbol{\text{w}}^{\text{EW}}`	Portfolio weight
\(\wREG\)	`\boldsymbol{\text{w}}^{\text{REG}}`	Portfolio weight
\(\wRP\)	`\boldsymbol{\text{w}}^{\text{RP}}`	Portfolio weight

C.1.0. Harvard’s Endowment#

Symbol	Definition	Description
\(\mutarg\)	`\tilde{\boldsymbol{\mu}}^{\text{port}}`	Port
\(\mux\)	`\tilde{\mu}`	Greek parameter notation
\(\wEW\)	`\boldsymbol{\text{w}}^{\text{EW}}`	Portfolio weight
\(\wREG\)	`\boldsymbol{\text{w}}^{\text{REG}}`	Portfolio weight
\(\wRP\)	`\boldsymbol{\text{w}}^{\text{RP}}`	Portfolio weight
\(\wtan\)	`\boldsymbol{\text{w}}^{\text{tan}}`	Portfolio weight

C.3.1. Solution to Barnstable#

Symbol	Definition	Description
\(\Pr\)	`\mathbb{P}`	Mathematical set notation

C.3.0. Barnstable and Long-Run Risk#

Symbol	Definition	Description
\(\Pr\)	`\mathbb{P}`	Mathematical set notation

E.2.1 Replicating Regressions#

Symbol	Definition	Description
\(\hyg\)	`\text{hyg}`	Hyg
\(\spy\)	`\text{spy}`	Spy
\(\targ\)	`EEM`	Financial notation

C.2.0. ProShares Replication#

Symbol	Definition	Description
\(\hfri\)	`\text{hfri}`	Hfri
\(\merr\)	`\text{merr}`	Merr

Total commands documented: 51 Commands organized across 12 chapters