SML(return vs. beta): the slope of the line is the market risk premium; CML(return vs. beta): the slope of the line is the sharpe ratio; Duration(price vs. yield): the slope of the tangent line in Price/yield diagram; Delta(C/P vs. S): the slope of the tangent line in the Payoff diagram. — Any other Slopes in L3?

note changes to above SML(return vs. beta): the slope of the line is the market risk premium(TREYNOR) CML(return vs. STANDARD DEVIATION): the slope of the line is the sharpe ratio; dont forget Delta and Gamma

Xtra …good save

hedge ratio is the slope coefficient of the regression of the asset return on the futures return delta (for currency hedging) is the slope coefficient of the change in exchange rate to the change in option price I think there are a couple more

Xtra Wrote: ------------------------------------------------------- > note changes to above > > SML(return vs. beta): the slope of the line is the > market risk premium(TREYNOR) > > CML(return vs. STANDARD DEVIATION): the slope of > the line is the sharpe ratio; > > dont forget Delta and Gamma Thank you Xtra. That’s a good catch.

Just reiterate what Xtra said…The slope of the SML is the Treynor ratio of the market portfolio.

deriv108 Wrote: ------------------------------------------------------- > Just reiterate what Xtra said…The slope of the > SML is the Treynor ratio of the market portfolio. You mean : The slope of the SML is (Rm - Rf) / Bm ?

AMA Wrote: ------------------------------------------------------- > deriv108 Wrote: > -------------------------------------------------- > ----- > > Just reiterate what Xtra said…The slope of > the > > SML is the Treynor ratio of the market > portfolio. > > You mean : The slope of the SML is (Rm - Rf) / Bm > ? It is E(Ri) - Rf / Bi which is equal to E(Rm) - Rf

Bcs Bm (markrt beta) = 1 ?