. -.
.: 2- :
- R | Ợ | ||
5% | 20% | 2/3 | |
15% | 40% | 1,3 |
- :
E(R)=XaRa+XR
Xi- i-
Ri
E(R)=2/3*0.05+1/3*0.15=0.08=81/3%
.8,3%.
, - , - . .
COV(RiRj)= Òij=1/TT∑t=1(Rit-E(Ri))(Rjt-E(Rj))
COV - 2- . - COV, 2- . - COV .
COV . . [-1;+1]:
ρ=COV(RiRj)/ÒiÒj
ρ=1 ( ) 2- -
ρ=0 . .
ρ=-1 ( ) / - .
2- :
Ò=√2Ò2+2Ò2+2ρÒÒ
Ò=√2/32*0,22+1/32*0,42+2*2/3*1/3*1*0,2*0,4=0,25
ρ=1 Ò=0,25
ρ=-1 Ò=
ρ=0 Ò=0,16
- ρ=1
16
15
8
5 15 20 35 45
ρ=1 , .
ρ=0 Ò=√2 Ò2+2 Ò2
ρ=0 Ò=√2/32*202+1/32*402=16,3
ρ=0 , .
ρ=-1 Ò=Ò-Ò
ρ=-1 Ò=2/3*20/100-1/3*40/100=0
ρ=-1 , , . / .
/ , . , .. / 1, =1- :
= Ò/(Ò+Ò)
=40/(20+40)=2/3
: . , .. ρ<1 . .
2. . - / - / .
3. / , .
- - .
. 2- :
1. () . .: , , , ; ; ; , .
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2. () . .: , . , .