第八章 风险è&micro

第八章 风险èµ

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Unformatted text preview: Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第 风风风风风风风 Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 第第第 第第第第第第第 N 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 A P σ N H B P R 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 N 第 B 第第第第第第第第第第第第第第第第第第 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 Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 风风风风风风风风风 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 N 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 B 第第 Copyright©Zhenlong Zheng2003, Department of Finance, Xiamen University 风风风风风风风风风风风风 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 1 第第 第第第第第第第第第第第第第第第第第第第第 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 (8.1) ∑ =--- + = = n i f i i p r X R X R X R 1 2 1 1 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 (8.2) : 1 1 1 1 σ σ σ X X X n i n j ij j i p = = ∑∑ = = 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 8.2 第第第第 8.1 第第第 第第 第第第第第第第第 Reward-to-Variability 第 , 第第 第第第第 p f f p r R r R σ σ ⋅- + =-- 1 1 1 1 σ f r R-- 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 A 第第第第第第第第第 B 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 A 第 B 第第第第第第第第 AB 第第第第第第第第第第第第 P R P σ B A Copyright©Zhenlong Zheng2003, Department of...
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第八章 风险èµ

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