第七章 风险机&

第七章 风险机&

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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第 第第第第
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第 第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第 第第第第第第第 : 第第第第第第第第第第第第第第第第第 第第第第 第第第第第 第第第第 第第第第 第第第第
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第第
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第 第第第第第 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第 第第第第第第 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第   
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第第第 第第第第第第第第第第第第第第第 1 1 ( ) t t t t D P P R P - - + - =
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第第 = = n i i i P R R 1
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第 σ 第第第 = - = n i i i P R R 1 2 ) ( ) ( σ
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第第第第 第第第第第第第第第第第第第第第第第第第 A 第 B 第第第第第第第第第 X A X B ,X A +X B =1 第第第第第第第第第第第第第           P 第第第第第第第第第第 A B 第第第第第第第第第第第第第第 , 第第第第第 :                   P =X A    A  + X B B   R R R R R R
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第第第第 第第第第第第第第第第第第第第第第 σ P 2 第第第 : σ P 2 =X A 2 σ A 2 + X B 2 σ B 2 +2X A X B σ AB
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第第 , 第第第第第第第第 ρ AB 第第第第第第第第第第 ρ AB = σ AB / σ A σ B                -1 ≤ρ AB ≤+1                       
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Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第第第第第第第第 σ
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第七章 风险机&

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