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1. . ( ), , , . , , 40% , 6 30%. , , 60% (12 5%). , , -11%. , , , $0,8858((1,40)6 (0,70)6 = 0,8858).
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. Alternative to Sharpe Ratio Better Measure of Performance, Futures, p. 57-58, March 1985.
21. 739
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. 21.3 , , D, . , D , , D (. ). , , .
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. 21.4 $100 000, F. $48 000, $24 000 . $8000 $4000, F $48 000 12 $96 000 .
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