; 12.2. . 12.1, . 12.1 12.1 12.2.) , . -, w, /.
, w 1, (1 - w) 2, :
(r) = wE(r1)+(l-w)E(r2) (12.4)
:
s2 = s12 + (1 - w)2 s2 + 2w (1 - w) p s1 s2 (12.5)
12.1 12.2. 12.4 , , 12.1, rr 2, (r2) 12.5 12.2. 2 , s 2 = 0 12.5 12.2. . 12.2 1 2. : , ( = 0).
. 12.3 . 12.3 , 1 2. S . 12.3 , 1, R , 2.
, In 12.3 12.4 12.5. , 25% 1 75% 2.
1 | ..?; 2 | |
'/!- & | 0,14 0,20 0 | 0,08 0,15 0 |
/
eSllleSltESgeKe&eiBe
, 1 (%) | , 2 (%) | |||
0,0800 | 0,1500 | |||
0,0950 | 0,1231 | |||
| < | 0,1016 | 0,1200 | ||
0,1100 | 0,1250 | |||
0,1400 | 0,2000 |
1 12.4, , 0,095 :
|
|
jE'(r)=0,25 E(r,) +0,75 E{r} =0,250,14 +0,750,08 =0,095 12.5 w, ,
(2 = W22 + (1 - w) (72 + 2w (1 - w) pO'iO'2
=0,252x0,22+0,752x0,152+0 =0,01515625
- =,01515625 =0,1231
. 12.3. /:
. , £'("/=0,14, -/=0,20, E(r)=0,OS, crj=0, 15, /=0.
. 12.3 , . 12.3 R S. R 2 1. , . , , 36% 1 64% 26.
(minimum-variance portfolio), 1 2. 1 36% , .
, 60% 1 40% 2, 0,1?. |
6 , 1, , :