研究生考试博迪《投资学》(第9版)笔记和课后习题详解第三部分 共七部分
合集下载
相关主题
- 1、下载文档前请自行甄别文档内容的完整性,平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益,请联系客服反馈,我们会尽快为您处理(人工客服工作时间:9:00-18:30)。
:itt1rx~~1~~1¥J~1tEJiJT~~£L~t~~~1ft~~*~:tm~I¥J~::tJ
0 0
~ooo 9-1 ?JT7F=
E(r)
E(rJ
rI
._______ _ _ _ ______.__ _ _ _ _ _ ____,
wenku.baidu.com(J
(4) ~IEJ~~~f£
m~~~m~~~m~N~~~~~,m~~~IEJNA~~~~~~~~m~,~w~ilift~~~~lli~~* ~*m~~~*ffl~om~~~m~~,~-~A~-~,~~~~~~§W~~~m~,m~N~•~~~~~,~ ili~~~IEJ~~~f£0
1ffiB~) ~iiE~~£1.~, iiE~~_§_~~t&~-JXl~bt$~:
~1'-~~~~f£JXl~~1fr~~-T~1'-~~mN~~~1'-~~m~JXll3ft~~~~&,~~m~JXll3ftm-TN~~
rfftm Jxl r~~ft;t f1r - E ( rM ) - 1j rf=f tm)i )~ (]"~
9
1. ~*~tz:JE1flm~ ( 1) CAPM 1¥J ~*'fEZJE OO~~·*tN~~ , $~N~~I¥JM~~§~~m~N~~I¥JM~~~*~~~~~mi¥JoN~~~1fi~I¥J
~~~ , -~N~~I¥J~~~~~~~1fi~~F~~o~o
®N~~~rlN~m~~--N~AA~I¥JfflAA~~-~~m~*W1fi~~N~m~o
~~~§~I¥J~JE7C~~~**A~mmffa~~I¥J~~o
@iiE~~~~ffl&~~~~~~it
0
®JiJT~N~~~~W't~l¥1, ~*N~~F~ll~I¥11J~-~J\ 1to
(7)JiJT~N~~~iiE~I¥J~SJZ1fi*D~~#f fiD~ 1¥J~Y!t~-3&,
(2) ~1~~*
E ( rM ) - lj = ~AlT M
~ 9=t a~ ~~:tmN~~Jl~I¥J::tJ~, A ~N~~I¥J~~~~J.kfo
@-~~FI¥J~~~1fi~~~N~m~ M I¥J~~~1fl~~b~, ~~N~m~~~~I¥1 P -*~ili~~~oP
~ffl*OOt-~M-~~~~~~~I¥1~~~1tfi~l¥1oPI¥1*~~JE~~D ~:
Cov ( ri , rM) f3 i =
-~iiE~I¥1~~~1fl~ :
O"M
2
E ( ri) - r1 =
C3) ~*~:tm~
OO~:tm~F~ll~
Cov ( ri , rM)
O"M
2 [
E ( rM) -r1 ] =f3i [ E ( rM) -r1 ]
----------------------------------------------------------------------------------
CDtt# fllJ H2, ~o1PI El3~~~f£.Aff! *-BrJm~~; ®1'- .AfllJN2, E13-TN~~~~/FIEJ~JXl~~~f~Jl, Jit1r WBI ~ fllJ H2o cs) m:i:~~~~£L~~JXll3ft~1ft
m:1:~~~~_§_~~~~)Xl~~1fr E
~-~$~~~~~~JXll3ft~m~1fr~, ~~~j~Jt~~N~~m~~m~JXll3ftm~*~~~~t&~mo
®M~t&~- Y1:t8=*-*
fJ ~lFo ep
~1'-~~m*~~~m~~~~~~~&,~m~~~m~~~~--t-m~$*oH~-~*~~_m*, ~
E (r) = rj+{Ji [E (rM) -rf]
)=
C6) ~1'-iiE~~AA~t&~
E(rM) - r1
AaM
2
CDlXll3ft ~ m:1:~11r~ w-a , ;~t :m~ 't~~-TN~~*~ m ~ ~~H~ JXll3ft*1iJH ~1m1n ~ * ~ JXll3ft~11r 0 ~ tt m=~:~iiE~ ~H~~~§ tJJ c~ ~~f:i:~
f§ ~@,t~~~~# Jl.lr&PPJ1~1¥J o
oom~N~~~*-§*m~PJ~~~tz:I¥J~~N~m~~~~~$U~21¥J~~~tz:m~o
®~~N~m~~{)(~~~~w~ , WH~~N~m~ili~~w~•tt~-*~I~I¥J~tz:m~om~N~~ ~~~~~~~N~m~~~~ffJI¥J•tt~~~tz:m~ , ~~u~~~N~~N~~-tt~~~tz:m~I¥J~t~N ~~7C~~~FI¥J~t~~~m~~o @~~N~m~I¥J~~~1fi~~~~~~N~~I¥J~~~~fi~~~fflo~~*~~~ : , 2
~~~Fm~~m~m~~~~~I¥Jm~ , ~~~m~9=t, •-~~~I¥J~~~ffl~~~~~I¥J~§~~mo
~~~tz:m~~{)(~~~~w~, WH~~~Fm~ili~~w~•tt~-*~I~I¥J~tz:m~o~~ ' ~*~~~ ili~ PJ~~~~u I¥J•tt~*~•~ ®~*~:tm~ ~*~~~~~*~-~~7C~~~-ili~~rl~~~tz:m~ M I¥J~~m~offM~~ffl~~m~~&~
(rM)
®~m~N~~~~~~~*~m~~IEJ~~, ~~~~~m~~~*~m$*=
OOrl{tj~~o1PJ~~IEJ~~~o7GJXll3ft~~~i~~~~~~£L~
-rf~N~~~~~f~)Xll3ft~~f~Jl~Om:I:~~~~_§_~~)Xll3ftlT~ ~
~bt~~o®~-~1'-AN~ ~N~ -T ·tt~~m~ M~~~~~~y, ~~~~:
®m~N~~~~~-~~~I¥JN~~~AAo~~~~~m~I¥J , ~~~~~7~~~AA~*I¥1~~~~~
1¥11f1PJ$ 'tt 1¥1 ~ 0~
0
®N~~N~mm!1)(~~~07f~~~ln1J:tm~~~I¥J~tz:, H$~~tz:~~7C~lfPJ7ti¥Jo !l:tj~ , ~1gzW:N~~PJ
0 0
~ooo 9-1 ?JT7F=
E(r)
E(rJ
rI
._______ _ _ _ ______.__ _ _ _ _ _ ____,
wenku.baidu.com(J
(4) ~IEJ~~~f£
m~~~m~~~m~N~~~~~,m~~~IEJNA~~~~~~~~m~,~w~ilift~~~~lli~~* ~*m~~~*ffl~om~~~m~~,~-~A~-~,~~~~~~§W~~~m~,m~N~•~~~~~,~ ili~~~IEJ~~~f£0
1ffiB~) ~iiE~~£1.~, iiE~~_§_~~t&~-JXl~bt$~:
~1'-~~~~f£JXl~~1fr~~-T~1'-~~mN~~~1'-~~m~JXll3ft~~~~&,~~m~JXll3ftm-TN~~
rfftm Jxl r~~ft;t f1r - E ( rM ) - 1j rf=f tm)i )~ (]"~
9
1. ~*~tz:JE1flm~ ( 1) CAPM 1¥J ~*'fEZJE OO~~·*tN~~ , $~N~~I¥JM~~§~~m~N~~I¥JM~~~*~~~~~mi¥JoN~~~1fi~I¥J
~~~ , -~N~~I¥J~~~~~~~1fi~~F~~o~o
®N~~~rlN~m~~--N~AA~I¥JfflAA~~-~~m~*W1fi~~N~m~o
~~~§~I¥J~JE7C~~~**A~mmffa~~I¥J~~o
@iiE~~~~ffl&~~~~~~it
0
®JiJT~N~~~~W't~l¥1, ~*N~~F~ll~I¥11J~-~J\ 1to
(7)JiJT~N~~~iiE~I¥J~SJZ1fi*D~~#f fiD~ 1¥J~Y!t~-3&,
(2) ~1~~*
E ( rM ) - lj = ~AlT M
~ 9=t a~ ~~:tmN~~Jl~I¥J::tJ~, A ~N~~I¥J~~~~J.kfo
@-~~FI¥J~~~1fi~~~N~m~ M I¥J~~~1fl~~b~, ~~N~m~~~~I¥1 P -*~ili~~~oP
~ffl*OOt-~M-~~~~~~~I¥1~~~1tfi~l¥1oPI¥1*~~JE~~D ~:
Cov ( ri , rM) f3 i =
-~iiE~I¥1~~~1fl~ :
O"M
2
E ( ri) - r1 =
C3) ~*~:tm~
OO~:tm~F~ll~
Cov ( ri , rM)
O"M
2 [
E ( rM) -r1 ] =f3i [ E ( rM) -r1 ]
----------------------------------------------------------------------------------
CDtt# fllJ H2, ~o1PI El3~~~f£.Aff! *-BrJm~~; ®1'- .AfllJN2, E13-TN~~~~/FIEJ~JXl~~~f~Jl, Jit1r WBI ~ fllJ H2o cs) m:i:~~~~£L~~JXll3ft~1ft
m:1:~~~~_§_~~~~)Xl~~1fr E
~-~$~~~~~~JXll3ft~m~1fr~, ~~~j~Jt~~N~~m~~m~JXll3ftm~*~~~~t&~mo
®M~t&~- Y1:t8=*-*
fJ ~lFo ep
~1'-~~m*~~~m~~~~~~~&,~m~~~m~~~~--t-m~$*oH~-~*~~_m*, ~
E (r) = rj+{Ji [E (rM) -rf]
)=
C6) ~1'-iiE~~AA~t&~
E(rM) - r1
AaM
2
CDlXll3ft ~ m:1:~11r~ w-a , ;~t :m~ 't~~-TN~~*~ m ~ ~~H~ JXll3ft*1iJH ~1m1n ~ * ~ JXll3ft~11r 0 ~ tt m=~:~iiE~ ~H~~~§ tJJ c~ ~~f:i:~
f§ ~@,t~~~~# Jl.lr&PPJ1~1¥J o
oom~N~~~*-§*m~PJ~~~tz:I¥J~~N~m~~~~~$U~21¥J~~~tz:m~o
®~~N~m~~{)(~~~~w~ , WH~~N~m~ili~~w~•tt~-*~I~I¥J~tz:m~om~N~~ ~~~~~~~N~m~~~~ffJI¥J•tt~~~tz:m~ , ~~u~~~N~~N~~-tt~~~tz:m~I¥J~t~N ~~7C~~~FI¥J~t~~~m~~o @~~N~m~I¥J~~~1fi~~~~~~N~~I¥J~~~~fi~~~fflo~~*~~~ : , 2
~~~Fm~~m~m~~~~~I¥Jm~ , ~~~m~9=t, •-~~~I¥J~~~ffl~~~~~I¥J~§~~mo
~~~tz:m~~{)(~~~~w~, WH~~~Fm~ili~~w~•tt~-*~I~I¥J~tz:m~o~~ ' ~*~~~ ili~ PJ~~~~u I¥J•tt~*~•~ ®~*~:tm~ ~*~~~~~*~-~~7C~~~-ili~~rl~~~tz:m~ M I¥J~~m~offM~~ffl~~m~~&~
(rM)
®~m~N~~~~~~~*~m~~IEJ~~, ~~~~~m~~~*~m$*=
OOrl{tj~~o1PJ~~IEJ~~~o7GJXll3ft~~~i~~~~~~£L~
-rf~N~~~~~f~)Xll3ft~~f~Jl~Om:I:~~~~_§_~~)Xll3ftlT~ ~
~bt~~o®~-~1'-AN~ ~N~ -T ·tt~~m~ M~~~~~~y, ~~~~:
®m~N~~~~~-~~~I¥JN~~~AAo~~~~~m~I¥J , ~~~~~7~~~AA~*I¥1~~~~~
1¥11f1PJ$ 'tt 1¥1 ~ 0~
0
®N~~N~mm!1)(~~~07f~~~ln1J:tm~~~I¥J~tz:, H$~~tz:~~7C~lfPJ7ti¥Jo !l:tj~ , ~1gzW:N~~PJ