Teoria portofoliului formule
description
sss
Transcript of Teoria portofoliului formule
-
1
Teoria Portofoliului
Formule
=
=
=
1
)(
2
xe
xx
xRE
T
T
p
T
p
( )
=
=
=
=
2
21
2
2
221
112
2
1
21
21
)1,,1,1(
)(,),(),(
),,,(
nnnn
n
n
T
n
T
n
T
e
RERERE
xxxx
K
KKKK
K
K
K
K
K
i
p
ip
i
p
x
==
( )[ ]
]2[1
)(1
22
11
CBAD
eBCBAD
x
p +=
+=
2
1
1
1
BACD
C
eB
eeA
T
T
T
=
=
=
=
A
Bv =
Av
1=
-
2
eA
xv11 =
Bxw
1=
B
Cw =
2
2
B
Cw =
wv xxx )1( +=
tconsA
xv tan1
, ==
=
=
A
DC
B
BCD
A
1
][
SMS =
AA
D
A
BR pp
12 +=
HG
pG
RR
RR
HG
Hp
RR
RR
0),cov( =ZP xx
BAR
CBRR
p
p
z
=
vp
wp
VzRR
RRRR
=
-
3
2
p
pxBETA
=
)( zpz RRBETAeR +=
2
p
kPk
=
21
1
)var(
),cov(
+
+==
A
BR
D
A
A
A
BR
A
BR
D
A
A
x
xx
P
QP
P
QP
Q
CBRAR
R
ff
f
p
+
=
22
( )eRCBRAR
x fpff
+
= 12 2
1
[ ]
f
ff
M
f
f
M
f
f
M
ARB
CBRAR
ARB
BRCRE
eRARB
x
+=
=
=
2
)(
1
2
1
P
M
fM
fp
RRERRE
+=
)()(
M
M
PP xx
=
[ ]fMf RREBETAeR += )(
[ ]fMKfK RRERRE += )()(
2
M
kMk
=
kM
M
kk
=
-
4
kMMkkM =
kMkkk RaR ++=
2222
kMkk +=
M
fM RRE
=
)(
])([1
)()( 110
fMkf RRER
DEPEP
+++
=