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65.266.73
20
:


(. - .-. , . . . )
. . , . . .

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: . .

20
.: , 1999. 247 .,
ISBN 238000995.


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65.266.73
20

ISBN 238000995

.. . 1999
000 " ". 1999.

:
. . ............................................................................................ 1
: ....................................................................................................................................................... 3
...................................................................................................................................................... 6
1. ............................................. 8
1. ............................................. 9
1.1. ........................................................................................................ 9
1.2. ..................................................................................................... 10
1.3. ................................................................ 11
1.4. ................................................................ 12
1.5. ................................................................................... 13
1.6. . .................. 15
1.7. ......................................................................... 15
1.8. ................................................................................. 16
1.9. ......................................................................................... 16
............................................................................................................................. 17
2. , ................................................................................................. 19
2.1. .............................................................................................................................. 19
2.2 .................................................................................................................... 20
2.3. ....................................................................................... 23
2.4. - ................... 24
2.5. ................................................................................................................... 26
2.6. ............................................................................................................. 26
.......................................................................................................................... 27
3. ............................................................................................................ 30
3.1. ................................................................................... 30
3.2 ............................................................... 30
3.3. ...................................................... 30
.......................................................................................................................... 31
4. ...................................................................... 33
4.1. ................................................................ 33
4.2. ........................................................................................................ 33
4.3.
.................................................................................................................................................. 34
4.4. ............................... 35
4.5. ............................................................................................... 35
4.6. ..................................... 36
4.7. ........................................................... 36
4.8. ........................................................................................... 36
4.9. .................................................................. 37
4.10 ........................................... 38
4.11. ?.................................................................................... 38
.......................................................................................................................... 39
5. .................................... 40
5.1. .......................................................................................... 40
5.2. ........................................................................................................ 41
5.3. .................................................................................................. 42
5.4. ................................................................................................................. 42
5.5. .................................................................................................................. 43
5.6. ........................................................................... 44
.......................................................................................................................... 44
6. ................................................... 47
6.1. .............................................................................. 47
6.2.
.................................................................................................................................................................. 48
6.3. ................................... 49
6.4.
.................................................................................................................................................................. 49
6.5. .............. 49
6.6. () .......................................................... 50
6.7. ( - ) ........................................................................... 50
3

6.8. ............................................................................................ 50
6.9. ............................................................. 50
.......................................................................................................................... 52
1. ......................................................................................................................... 53
7 .
................................................................................................................... 53
7.1. ................................................................................................... 53
7.2. . ..................................................................................... 56
7.3. .............................................................................................................................. 58
.......................................................................................................................... 59
8. ...................................................................................................................... 61
8.1. : . .................................................... 61
8.2. .................................................................................................... 61
8.3. .............................................................................................. 62
8.4. ...................................................................................................................... 63
8.5. , ................................................ 64
.......................................................................................................................... 64
2. ................................................................... 66
9. .................... 68
9.1. ........................................................................................................... 68
9.2. , .......................................................................................................... 69
9.3. ............................................................................................. 71
9.4. .......................... 71
9.5. ............................. 72
.......................................................................................................................... 73
10.
............................................................................................................................ 76
10.1. .................................................................................................... 76
10.2. .................................................................................................... 77
10.3. ............................. 78
10.4. ....................... 79
10.5. ............................................................................................................. 80
10.6. ........................................................................................... 81
.......................................................................................................................... 82
11. ........................ 84
11.1. ....................................................................................................... 84
11.2. .............................................................................................................. 84
11.3. ............................................................................................ 88
11.4. ............................................................................................................................... 89
11.5. ............................................................................................ 89
11.6. .............................................................................................................................. 90
11.7. ............................................................................................................................ 90
.......................................................................................................................... 91
12. ...................................................................... 95
12.1. ............................................................................................................................. 95
12.2. ................................................................................................................................ 96
12.3. .................................................................................................................................... 98
12.4. ............................................................................................... 99
12.5. .......................................................................................... 100
........................................................................................................................ 102
13. ..................................................................... 103
13.1 ............................................................................................. 103
13.2. --.................................................................... 104
13.3. ...................................................................... 106
13.4. ........................................................................... 107
........................................................................................................................ 108
14. ........................................................... 110
14.1. ........................................................................................................................................ 110
14.2. ........................................................ 111
14.3. ................................................ 111
14.4. ....................................................................... 112
14.5. ........................................................ 114
4

........................................................................................................................ 116
15. ............................................................. 117
15.1. .......................................................................... 117
15.2. .......................................................................................................... 119
15.3. ............................................................................... 124
15.4. ..................................................................................... 125
15.5. .............................................. 127
........................................................................................................................ 130
16.
................................................................................................... 134
16.1. .................................................................................................. 134
16.2. . ....................................... 134
16.3. .............................................................................. 137
16.4. , ....................................... 141
16.5. ................................................................................................. 142
........................................................................................................................ 143
17. ..................................................................... 145
17.1. .............................................................................................. 145
17.2. .................................................................................................................... 146
17.3. (Capital Asset Prising Model - )
................................................................................................................................................................ 147
17.4. (Arbitrage Prising Theory - ) ................. 148
17.5. ................................................................................................... 148
17.6. ............................................................................ 149
........................................................................................................................ 150
2 ........................................................................................................................ 152
18. .......................................................................... 152
18.1. .................................................................................................................... 152
18.2. ................................................................................................... 154
........................................................................................................................ 156
19. , ...................................................................... 157
19.1. ........................................................................................................ 157
19.2. ............................................... 161
19.3. - .......................................................................... 162
19.4. .............................................................................. 163
19.5 ...................................................................................................... 165
........................................................................................................................ 166
............................................................................................ 168
.......................................................................................................... 170
............................................................................................................................................. 171


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I, S(T)=S(t) (1+I)(T-t).
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i , .. iP.
iP 1=+iP=(1+i),
2- iP
2=1+i=(1+i)+i=P(i+2i) .. n-
Pn=P(1+ni). ,
P,Pi,...,Pn
iP.
1.
=1000, i=10%, .. i=0,1. ,
:
1000, 1000+0,1*1000=1000+100=1100,
1100+100=1200, 1200+100=1300.
2.
12,5%.
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: : (1+0,125*n) 2, ..0,125*n1.
n1/0,125.
: 8 .
=(1+ni),
n, t.
, i , t
t=(1+ti).
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PkTk PkMk .
1.2.
i
i . ,
i P1=P+iP=P(1+i),
2- , i P1
P2=P1+iP1=P(1+i)+iP(1+i)=P(1+i)2 .. n-
Pn=(1+i)n.

P, P1,, Pn
P (1+i).
3.
P=1000, i=10%, .. i=0,1. ,
:
1000,1000+0,1* 1000=1000+100=1100, 1100+0,1*1100=1210, 1210+0,1*1210=1331,1
..
4.
8%.
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nln(2)/ln(1,08).
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Pn=(1+i)n,
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Pt=(1+i)t.
5.
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1.3.
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0<t<1.
(1+i) t (1+ti) t . 2.

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800 i=8% .
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800

864

800

864

928

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933,1 1007,8

1.4.
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M(n,i)=(1+i)n.
M(n,i) n
i.
, (5,8) 1,469.
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M(n,i) 2<n<11, 2<i<12.
1.


.
12

,
, i , n-
:
D(n,i)=1/M(n,i)=(1+i)n
D(n,i)
n i.
, D(5,8)=0,681.
D(n,i) 2<n<11, 2<i<12.
2.

1.5.
1000 . :
. 10% , 100 .
. , 900, , , 1000.
.
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10%.
, 100/900~11,1%.

.
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70% .
13

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( ) 0,3/0,7~0,43, .. 43% (
104,5% . .6).

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d (),
d , n ,
ndP Pn=PnDP=P(1nD).

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d)n.
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8.
800 4%.
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3
2
1
0
672 704
736 768 800
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679,5 707,8 737,3 768 800
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:
Dis(n,d)=(1d)n
, Dis(n,d)
, d
.

.
Dis(n,i) 0<n<4, 2<i<12.
14

:
: S,
S(1+i);
: S,
S(1d).
1.6. .

S(T) s(t) t
i, S(T)=s(t)(1+i)(Tt). T>t , s(t),
i , S(T);
, t, ,
S(T), i , , t
s(t). .
: >t S(T) s(t)
, S(T),
1/(1+i) , t
S(t)=S(T)/[(1+i)(Tt)].
.

.
9.
6%: $1000 $2000 8
?
. $2000 8 6%:
=2000*(1+0,06)8=2000*D(8,6).
D(8, 6)0,627., A=1254>1000. , $2000
8 .
1.7.
,
,
15

i=12%. 12/4=3% ,
f=(1+0.03)4=1,1255 (
(4,3)=1,126). f=12,6% ,
12% . ,
, .
3%.
,
, .., ,
, .
i,
i/m. f
(1+f/m)=1+f, f=(1+i/m)m 1.
,
t, f?
(1+t)=1+f, t=(1+f)1/m 1.
1.8.
t.
i/m , ,
f=(1+i/m)m1, .. (1+f/m)m .
, (,i/m).
, .. m, M(m,i/m)
, , , i,
(2,71). i
i it t .
, , ..
t it t .
1.9.
, ( ) ,
(1+) ,
. , (1+)
.
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, 100 , , , 90 . ,
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(1+i)/(1+), (1+i)/(1+)1=(i
)/(1+). , ( )
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j ,
16

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(i)/(1+)=j, i=+j(1+).

1. 9 ?
2. $1000 3% .
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4. ,
1000 .. 0 8% .
5. 100 2,9% 100 .
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(1+i)t>(1+ti), t>1 (1+i)t<(1+ti), 0<t<1. ,
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7. 4%
8 :

672

704

736

768

800

679,5

707,8

737,3

768

800


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6%?
11. .
k - i. n .
12. .
k- i. n .
13. 3 1000 ..
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14.
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2.1.
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(T)=Rk(1+i)Ttk
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(T)=(T)(1+i) T.
(0) ;

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1.
={(2000, 1); (1000,2); (2000,3)}.
i=10%.

:
(0)=2000(1+0,1)1+1000(1+0,1)2+2000(1+0,1)3=1818,2+826,4+1502,6=510,8.
: (3)=(0)(1+i)3=679,8
19


. .
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2.2
: R , n
, i.
.
2.
5- 1000 .,
i=10%.

. 1- 1000
. 2- 1100 . 10%.
1000 . 2100.
3- 2310 . 10%.
3310 . ..
6105,1 . ,
0 6105,1. 6105,1/1,15=3791
,
. .
.
{R,n,i} .

20

.
A=R/(1+i)+R/(1+i)2++R/(1+i)n=R[(1+i) 1++(1+i)n].
n
(1+i)1 (1+i)1. , n
b1 q b1(qn
1)/(q1) (bnqb1)/(q1). , [1
(1+i)n]/i.
A=R[1(1+i)n]/i.
[1(1+i)n]/i a(n,i)
.
A=R*a(n,i).
, ,
S:
S=A(1+i)n,

S=R*a(n,i)(1+i)n=R[(1+i)n1]/i.
[(1+i)n1]/i s(n,i)
.
S=R*s(n,i).
a(n,i), s(n,i) s(n,i)=a(n,i)*(1+i)n
s(n,i)=a(n,i)* M(n,i).
s(n,i) ,
.
: ,
.
21

: 0
i , n-
S. ,

=R* a(n,i), S=R*s(n,i).

(2.1)

.
(n,i) s(n,i) .

.
3 4.
a(n,i)=[1(1+i)n]/i

s(n,i)=[(1+i)n1]/i

22

.
3.
R=1000, n=8,
i=8%.
a(8,8)=5,747, s(8,8)=10,637. ,
5747, 10,637.
, (8,8)=1,851.
: 5747*1,851=10638.
2.3.
, R,
i.
,
S. ,
, :
1) R, i, n =R*a(n,i), S=R*s(n,i);
2) R, , i n A=R[1(1+i)n/i
n=ln(1Ai/R)*ln(1+i). , n
, .
n .
a(n,i)=A*R,
n (, i).
4.
R=1000, i=8%.
=4000.
. a(n,8)=A/R=4.
, a(5,8)=3,993. , n=5.
:
3) R, S, i - ;
4) , n, i, R =R*a(n,i),
, R=A/a(n,i);
5) S, n, i - . 4;
6) ,
. .. R, , n,
i. , .
i A=R[1(1+i)n]/i,
, .
,
i.
23

, [1(1+i)n]/i n i
i (
[1/(1+i)+1/(1+i)2++1/(1+i)n]), ,
, .. i . A/R<n,
, i .
i .
, i, ,
. ,
.
2.4. -

,
R, R/;
.
1- .

=3, =2 ( ,
*, + .
.

. k- (n-k/p)
, [(n-k/p)m] i/m ([]
) , , ,
.

, :

24

,
R/p (1+i/m)m/p np.

[(1+i)k1]/i=s(n,i),

(2.2)
,
. :
A=S/(1+i/m)nm.

: ,
; , , ,
, ..
; - , ,
.. m=1,

(2.3)
, (=1), ,

(2.4)
m=, ..
25

, (2.2)

(2.5)
, , (2.1)
, R/ R ,
mn, n.
2.5.
,
, ,
. ,
=R/i. .

, .. A=R/(1+i)+R(1+i)2++R(1+i)n+=R/i (
).
, (2.1) :
A=R* a(n,i)=R*[1(1+i)n]/i.
A=R/i
5.
$10 000 .
5%?
.
=R/i=200 000 . ,
, $200 000,
.
2.6.
:
- , -
.
6.
- : 5
1000, 8 800. 8% .
: (5,8)=3,993, (8,8)=5,747.
A1=1000*3,993=3993, A2=800*5,747=4598.
26

, =8591.
,
. 2.3.

: ,
.

1. .
2. {(2000,1); (1000,2);
(1000,3); (1000,4)} i=5% .
3. $12000 , $1000 .
7%. ?
4. 6 $12 000. ()
6 ,
$12 000, 8%?
5. 2000
., 7% .
4 ?
6. $500 .
4%
. 5 ?
7. , . N 100
. .
2 (3% ).
. N?
8. , . N
10 100 . .
(12% ).
?
.
100 . 120. ,
. (2.5),
100*s(120,1). s(120, 1).
: s(120,1)=[(1+0,01)1201]/0,01(e1,2
1)=230.
, 23 000 .
9. $600 10
. 8% .
10. $1000
$600. 8%.
11. 50 000 .,
0,8%. , 10
. ?
27

12. : 1) $5000
$1000 5 ; 2) $8000 $300
5 . :
)10%, ) 5%.
13. n=10, i=10%.
: 1
1%?
14. 8 ,
16000 10%?
15. ,

16.
?
17. , , ,
.
?
.
.
18. .
, ?
- ?
19. R i.
, , .. 0, R/i.
t>0. t ,
?
20. R.
: R 1% i 1%?
21. ,
, ?
22. 4 ,
=1000 .. : 5% 2- , 8% 3, 10% 4- . ?
23. : 12%,
400 .., 6 ,
:
4,11 8,12;
1644,6 3246,1.
.
24. : 400 .., ,
4 ,
1200 .. 13%
:
,12,9 4,85;
1939,9;
28

29

3.
, , . - reditum
; (
).
, ,
, ,
. , ,
, ( ).
(, ) .
.
3.1.
D i . n-
D(1+i)n.
, .
.
1.
20 000 . 8 10% .
, ?
.
(8,10)=2,144. , 42880 .

3.2
,
. D i . 1-
iD. ,
D.
iD. n-, ,
iD+D - ,
.
3.3.
D i .
-
, .. D/. 1- , ,
D, , .. iD.
1- R1=D/+iD. 2-
R2=D/+i(DD/n) .., (k+1)- Rk+1=D/+i(DD/n).
, R1, R2,...
iD/n R1=D/+iD Rn=D/n+iD/n.
2.
D=5000, =5, i=10%. ,
30

- .


1. : ?
2. 16% , 500 ..
. -
6% .
. ?
. 500*(8,
16/4)=500*6,733=3367. , R*(8,
6/4)=3367, R=3367/7,486450.
3. ,
:

4. 200,4 ..
800 .. , 5
8%. .
5. 40 000 . 8
8 .
. .
. 40 000(1+0,64)=65600. ,
65 600/32=2050.
j ,
31

40 000: 2050*a(32,j/4)=40 000, (32, j/4)=40


000/2050=19,51. (. 3)
j/4=3,5%, .. j=14%. , 14
.
6. , 1 .
$400 10%; ,
, 78.
.
. 78 $40 : 1-
12/78 , .. $6, 1/78 , ..
$0,5, .. (.) :39,3; 38,8; 38,3;. ..;33,8.
7. $500 6% , .
: ,
$500?
8. $5000 8 8% .
. .
9. 20 000 .. 8 8% .
. .
10. 20 000 .. 10 8% .
.
.
11. .
- D=1000, n=5,
i=10%.
12. .

32

4.

.
.
. ,
, .
4.1.
Inv=2000,
4 R1=1000, R2=800, R3=800, R4=600. 8%
.

. ()
(). ,
, , ,
-.
.
-, . , 2160
, 1000,
1160 . 2-
, 3- 311. , 3
, 3 .
4- .
0 8%,
935,9/(1+0,08)4=935,9/1,360=688,2.
. ,
(
): 688,2/2000=0,344, 34,4%.
4.2.
. {(Rk,tk)}
Rk tk Rk :
, .
33

.
, , .
NPV (Nt rsnt Vlu)
() , 0
i,
NPV=Rk/(1+i)tk.
- NFV
(Nt Future Vlu) () ,
tn i,
NPV=Rk/(1+i)tktn.
, NFT=NTV*(1+i)tn.
, NPV>0. , ,
, , () ,
,
NPV NFV .
: i
. ,
, , .
,
0, , .. .
q -
, () ,
0 q, .. Rk/(1+i)tk, 0. ,
, i=q.
,
( ).
4.3.

.
$10 000, 10 $3 000 .
, 8% .
: : Inv
, R , i
. .
R,
. =R*a(n,i), (n,i)
, . ,
NVP=Inv+R*a(n,i), d=NVP/(Inv).
?
34

s , s
r, Inv+R*a(r,i)0 (r,i)Inv/R. a(r,I)=[1(1+I)r]/i.
: rl(1+i*Iv/R)/l(i+1).
q Inv+R*(n,q)=0.
, .
.
InvnR, ,
R*(n,q)=R/(1+q)+R/(1+q)2+...+R/(1+q)n<nRInv. Inv<nR.
, q ,
q ,
Inv<R/(1+q)+R/(1+q)2+...+R/(1+q)n .
1.
, .
(10,8)=6,710, 3000*6,710=20130,
, NPV=20 13010 000=10 310,
10 310/10 000=1,031 103,1%.
q, (10, q)=10 000/3 000=,3.
(. 3) q,
q=27%.
4.4.

.
$10 000, $2 000 .
, 8% .
. : Inv, R, i -
, . NPV=Inv+R/i,
d=NPV/(Inv) - . ,
, - R/i (. 2.5.).
, NPV d. . NV=10 000+20 00/0,08=15 000,
d=15 000/1=1,5 150%. :
q, R/q=Inv q=R/(Inv)=2 000/10 000=20%.
4.5.
, ,
.
. ,
.
. : R, , i
, .
?
, Inv=-R*a(n,i),
0,
35

, 0,
.
4.6.

.

Inv, j
, i.
R?
. ,
Inv=R*a(n,j), Inv=R[1(1+j)n]/j, R=(j*Inv)/[1(1+j)n].
4.7.
: Inv, R, n. ,
A=R*a(n,i),

2
n
a(n,i)=1/(1+i)+1/(1+i) ++1/(1+i) . , i , ..
a(n,i), . :
NPV=-Inv+R*a(n,i) ,
, ,
. ,
.
, ,
.
2.

: Inv= 10 000, R=2000, n=10.

, i=16% . ,
~ 16% .
4.8.

36

NPV,
. i,
.
,
, . ,
, ,
,
( , ..), - ,
.
:

Am
m- .

Am=Km+Cm*v+Cm*v2+=Km+Cm/i,
v=1/(1+i) i.
,
m+m/i , ,
m+i*m.
.
i
.
0,1 0,5, 0,15,
2 10,
6 .
4.9.
.

, :
.
.
n .
S. ,
P-S/(1+j)n, 1/(1+j) ,
S , . j
.
37

.
j P-S/(1+j)n,
R
R*a(n, j)=P-S/(1+j)n.
, R=[P-S/(1+j)n]/a(n,j). ,
j h. j-h
.
4.10

, , (
)
.
n .
h .
S (1-h).
, R.
R*a(n,j)=P-S/(1+j)n.
, j h.
j-h .
4.11. ?
:
( ):
.
n .
h ,
n S P(1nh).
, R.
i R*(,i),
, , P S/(1+i)n. , R*a(n,i)>P
S/(1+i)n, , .
.
.
.
.

. ,
. ,
, :
,
.
. ( . 2 ).
38


1.
, , ?
2. : Inv=4000 ..,
8% R=1000,
6 , NV=623 ..
6 . .
3. 6
400 .. 10%
1742 .. .
4. , .
: ,
$30 000, $10 000
. . (,
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.)
5. .
i,
i.
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6% ?
8. $20 000
10 ,
$10 000. 15%.
9. , $20 000
8 $3000, 6%
, 15%.
10. .

39

5.
,
,
- .
.
.
.
5.1.

, ,
, ..
d =(1+d) d=()/=/-1. /
. , /=1+d .
, ,

(, ).

, .
.
,
,
.
dr=[/(1+)]/=[/(1+)]/-1, .
(1+) .
. -
,
$1 000 000, $1 200 000,
.
, , 8 14% ,
$200 000.

d=[K/(1+b)H]/H=[K/(1+b)]/H1,
b
.
( , ,
17 1998 .).
,
,
.

40


(1+a)(1+b) dt=(/[(1+a)(1+b)]
H)/H=(K/[(1+a)(1+b)])]/1. , ,
( ),
(1+a)(1+b)
.

. ,
, ..
.

( ,

)
.

.
.
.
. i. ,
,
i (1+i)T=.
, , =100, =121, =2, , , i=10%,
121/100=(1+10/100)2.
0,1,2,...: 0, 1, 2
.., i [0,2], ,
(1+i)2 =K2/0. t ()
d, i
(1+i)t=1+d, i=(1+d)1/t1.
5.2.

.
, ,
, .
. ,
.
: ,
.
. .
.
1995 . : .
,
. ,
.
41

,
. ,

.
5.3.
{Rk,tk} , tk , Rk .
,
j, Rk/(1+j)tk=.
R n,
j, R*(,])=. , R
. :
.
,
=R/j, , -: j=R/.
,
,
,
.

,
(
).
5.4.
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..
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:
( )/( ),
.
.
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.
1.
d=10% 160 (
360 ).
0,5% .
42

. .
:
d=1/(10,1*160/360)1=0,046, .. 4,6%,
:
1/(10,1160/3600,005)1=0,051, .. 5.1%.
, .. ,
(1,046)(360/160)1=0,106, .. 10.6%,

(1,051)(360/160)1=0,116, .. 11,6%.
5.5.
t (t), t
K(t+t), d [t,t+t] (
)
K(t+t)/K(t)=(1+d)t,
t (1+d) t 2-
1+d*t. t 0,
d=lim[K(t+t)K(t)]/[K(t)* t]=K`(t)/K(t)=[lnK(T)].
,
, , .
, d
:
(t)=(0)*dt.
2.
, .. (t)=*(1+vt).
.
. d(t),
d(t)='(t)/(t)=v/o(1+vt)=v/(1+vt). , .
ov,
.

43

5.6.
,
S(0) t S(t),
. , f
(1+f)t=S(t)/S(0). , ,
, i/ .
: (1+f)=(1+i/)m,
f=(1+i/)m1.
(, )
, .
e /=(1+)t, t .

.
3.
, 20%.
. d, i,
1/(1d)==1+i, i=d/(1d).
i=0,2/0,8=0,25. , 20%
25%.

.
1 .
. .
:
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.
2 . , ,
,
. 1993 . (
) 10005000 ,
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,
.

( ,
).

1. ,
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44

?
2. 0; 1; 2; 4 100, 200, 300, 400.
(
).
. , , [1;4].
200, 400. 200,
200/200=1, 100%.
. , ..
d, (1+d)2=400/200. d=0,44, 44%
.
3. 2 30% (..
15 ).
.
4.
i=12%,
4% ?
5. , . 1
1.4.
.
, 30 000=10 000*(9, j), j
. ( 3)
j, (9, j)=3. j=30% .
6. d(t)=t,
- . .
. '(t)=(t)*t -
.
7. .
1998 . 16 . 18 .
, , .
.
10%, ?
8. 42% .
20 . 30 . :
,
? ( 2-3% ).
9. 42% ,
8%. 20 .
26 . :
( 17 1998 .
, ,
).
10.
. . 1977 . 8000 .
( ),
45

300 . ( ),
8200 . ,
; ( .. ).
11. : 22,8/23,6 .
; 13,6/15,4 . 1000 (
, ).
?
. 1000 - :
13,6 . 1000 ,
$1 23,6 . ,
1000 13,6/23,6=0,576 . .. f
1+f=(1+d)(1+l)=(23,6/22,8)*(15,4/13,6)=1,17. ,
17%.

46

6.
- ,
: , , , ..
.. .
, .
: , ,
, .
(
), ( ), ..
,
.
,
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6.1.
: , ,
, , . :
.
- , .
, N,
. ,
,
, , . ,
=/N P=N, K=100/N, =NK/100.
, q,
, q . ,
q=10%, N=1000 .., 100 ..
, ,
. .
,
, .. .
: ,
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, .
- ,
() , . , ()
, .
.
. ,
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. ,
.
: .
47



. ,
, ,
.
,
, (. 5.3)
.
6.76.10. , ,
. .
, ,
, .
6.2.

.
q, i, N.
{qN} . i,
,
.
P=qN/(1+i)+qN/(1+i)2+=qN/i.
, =100*q/i.
qN/, qN,
{qN/} , (1+i)1/p.

K=(100q/)/[(1+i)1/p1].
.
. ,
qN, , ,
j=qN/, qN/(N)=q/ - ,
j=100q/.
,
. j,
, ,
j,
, .
, qN/j. ,
qN/j=N/100, j=100q/.

.
48

6.3.
N
. ,
. ,
N i ,
=N/(1+i)m, ,
=100/(1+i)m (, 100).
, . :
, j,
. , (1+i)m=N (N/100)(1+j)m=N.
j=(100/K)1/m1.
6.4.


q .
, . q, i -
, .
, , ,
N(1+q)n. .
N*(1+q)n i,
. , P=N*(1+q)n/(1+i)m, , =100(1+q)n
/(1+i)m.
. ,
j, N*(1+q)n, ,
*(1+q)m=N*(1+q)n,
j=(100/K)1/m*(1+q)n/m-1.
6.5.

.
, ,
,

. . q, i . ,
{qN}
qN*(m,i), (,1) - , .. [1(1+i)m]/i.
N*(1+i)m,
.
=N*(1+i)m+qN[1(1+i)m]/i

,
, K=100(1+i)m+q[1(1+i)m]/i ).
.
49

( )
j, . ,
N*(1+j)m+qNa(m,j)=, j.
.
6.6. ()

. =N*(1+i)m+qN[1(1+i)m]/i

N {q,N}. ,
i, .
, .
1 .
1 .
. I II, 1000.
6 , 18 . 8%.
:

6.7. ( - )
, .. .

i. , , d
, d/i , .
, (1+i)1/p
d/[(1+i)1/p 1] .
6.8.
.
, .
. ,
.
1000 . 12% . ,
1120. , 6%.
?
: , 6% , 1120.
P(1+0,06)1/2=1120, =1087 .
6.9.
, , ,
. . ,
.
. .
( , ),
50

.
. , . . ,
.
, .
-
- , , .
, ,
,
(, ).
.
- .
$10 000, 10%. ,
10% . 110% $10
000,..$11 000 ( , , ,
$11 000). . , ,
: , $10 000. ,
$10 000, , $10
000+$1000, , , $10 000
$1000.
, .. , $12 000,
, $10 000,
10% . $12 000 $1000 ($12 000
$10 000).
. , $2000
3 , t=3. t $1900,
$100. $100
. ( - , ..)
t=3 $2200, $300,
. $2000.
1 .
(, , ..).
(%), 1995.





5 ()
16 ()
10 ()
5 ,
()
5 ,
()

4,5
6,38
6,45
6,45
6,34
7,00
7,4
5,88
8,1
9,2

: 28.01.1999 .
5060%.
2 . ,
.
, , ,
. .
l=1/(tP), t () , P , ..
.
, ,
.
3 . 17 1998 . . (
) 3 , . 100 000
. , , .
,
51

. ,
, . ,
( ) , , ,
.

, .
1. :
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2. , , q=8%, i=5%.
, 120.
3. 5 q=6%. ,
70.
4.
212,7. , 10%,
10 , 4 6%
5. 5 i=4%,
10 q=8%. , 100.
6. q=8%, i=5%.
, 120.
7. 200 i=8%.
8. d=30% 3 (
360 30 ).
0,5% (. 5.5).
9. ( ), 71,8%
( )?

52

1.
,
,
(, ..). 8
.
7 .

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: ,
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.
. 2 .
7.1.
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, ,
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,
.
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.. .
.
.
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.
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xi, =(xi,...,xn).
.
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.
.
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?
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, , ; , Z
Z; ( ), X,
, .
53

:
1) , ;
2) , ;
3) ;
4) x={: Y} ;
5) , ,
xi <i i, <.
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:
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,
.
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, , .

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( ),
.
,

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, , ,
. .7.1.

54

x, - X, , <,
,
.
. .
: ,
.
. 7.2.
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.
( ), ,
. (
).

.

.
,
. , ,
, ..
().
55

u: >R.
() , ..
()u(), ;
u()=u(), ~ ,
u() < u(), < .
() , .
, .
7.2. .
1.6
:
S() T s(t) t
i, S()=s(t)(1+i)Tt. :
(s,t), s , t
, : (s,t), (S,T) , S()=s(t)(1+i)Tt.
.7.3.

t () S () .

S()=s(t)(1+i)Tt.
t=0 , ..
t=0.
( ).
, , s t
s(1+i)t.
.
t V(t).
V(t)=(1+i)t, , . 7.4 .

56

V(t)=(1+i)t
.
( )
.
:
,
, ,
.
, ...

. , ,
, ,
. 7.4.

, ,
, .

, (
0 . 7.5): ,
I, II III . 7.5.

57

:
,
. , (. 7.6) (
) (,)
(,).
, ( ) .
7.3.
. d()
. d()
. 7.7.

, .. d(z+y)d(z)+d()
z, , : ,
, . :
.
,
, ,
.
d() , ,
, , d'()>0,
, d"()<0.

. ,
- . 7.8, - .
58

, ,
[, q],
, , .
.


1. . 7.9,
.

, : 1)
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( ) (
. 2.1-2.3.
1), 2) 3).
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2. , U(z)=vz U(z)=ln(1+z)
.
3. U(z)=vz .
1 .. , .
4. ,
10% , U(z)=vz .
$400 $500 ?
. $500
.
5. , ,
(), ,
59

: ()=d(()), ()
X, d(z) z
.
2 5 .. d(z)=z.

60

8.

,
. , ,
: , ;
,
; .


. .
8.1. : .
, ,
, >0,
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, .
,
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.
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; 2)
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;
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,
.
8.2.
,
V1, V2.
. SA ..
, BSA . ,
: 1/2<(SA/SB)<2.
, .
. ,
X. ?
, 1- , RB=V1
X. 1- , 2-
, ,
. , SB, , SA+,
2- RA=V2(SB+)

61

RARB=(V2SB+)(V1X).

(8.1)

1- ,
+, , 2- , (SA
(+)+)=(SA).
RARB=(V1)[V2(SAX)].

(8.2)

, 1- ,
,
1- +. , 1- +,

(V2SB+)(V1X)(1)(V1)[V2(SAX)],

42V1
2V2+SA+SB (2V12V2+SA+SB)/4.
, ,

=(2V12V2+SA+SB)/4.

(8.3)

( ,
).
(8.2) (8.3) .
:
RARB=(SASB)/2

(8.4)

A RA=(V+V)/2(S+S)/4V.
1.
A 1200 .,
1000. 1- , , 700 ., 2-
800 . =(2(700
800)+1200+1000)/4=500 . 1- .
, RB=200 ., RA=800500=300 .,
100 . ,
, 1- .
8.3.
.
+ 1- ,
. , ,
V1(X+)V2(SBX+)

(8.5)


(V1V2+S)/2.

(8.6)
62

,
+,
(V1V2+SB)/2.
,
(V1V2+SB)/2 (V1V2+SB)/2.
SB>SA, 1- .
=(V1V2+SA)/2 (8.5).
RA=(V1V2+SA)/2.

(8.7)

SA>SB, 1- .
X=(V1V2+SB)/2 (8.5). :
RA=(V1V2+SB)/2.
, ,
, ,

.
2.
1. SA=1200>SB=1000,
1- (8.7) RA=(700+800
1000)/2=250 . (8.5), ,
1- , (700800+1000)/2=450 .
8.4.
,
. ,
B S S <V1V2.
.
.
1, 2, 1- 2 , :
. d, V11=d=V2A2.
, S.
d: 2d=V1+V2S, d=(V1+V2S)/2. :
1=V1d=(V1V2+S), 2=V2d=(V2V1+S)/2.
, 0 S
.
.
,
1- , 2-
.
63

d.
, , 1-
V1d+. 1- , 2-
V2d+, ,
V2d. :
RB=de, RA=d>RB. , ,
d
d.
3.
1-, 2- 600 900 .,
1000 . d=250, 1-
350 ., 2- 650 .
250 .
8.5. ,
.
( ).

.
, .
, , .
,
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.
.

1. ,
2000 3000 .,
2500, 3000 .
.
2.
.
3. ,
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64

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65

2.
9.

10.

11.

12.
13.
14.
15.
16.

17.
2
18.
19. ,

66

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.

.

67

9.

, , .
:
1) 100 ..;
2)
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3)
100 .. ?
.
9.1.

:
1) i ;
2) ,
i ;
3) :

.
,
.

, .. .
.
.
. f()
X, , I()=
f() [I]=[]=i. ,
i.

i/2 1, , i/2,
1+, .
I1=i/2, I2=i/2.
1, I1 (1+i), I2 (1+i).
1
(i/2)(1+i)+(i/2)(1+i). (1+i)+(1+i)>2,
, i, ..
, i.
?
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). ,
, ,
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). .
68

,
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() (
).
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1) (1+i)
;
2) , (1+i);
3) :

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1, ..
;
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:
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2)
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1.
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.
69

,
, .. 1200 .
i=3%,

1200a(20,3)=120014,877=17852 .
2.
,
,
>0 ( ).
(,
).
.

,
, , =1/T,
, ,
1/[1+Tln(1+i)].
,
1/[1+T
ln(1+i)]2, 1/[1+Tln(1+i)]3 ..
. 1/[1+Tln(1+i)]<1,
, ,
1/[1+Tln(1+i)].
, =1 , 1/ln(1+i). ,

( ),
1/i. ln(1+i)<i,
, .

70

. ,
. 1
,
.
()

.
.
9.3.
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2%, 4%, 6%.
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d,
=(1+d) d=()/=/1, ,
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-.
.
71

.
3.
$1000. ,

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. ,
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(3500/31000)/1000=500/3000=17%.
4.
,
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.
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.
5.
, 0,9,
$10 000, $3 000, ,
0,3; 0,1 ,
$20 000, $10 000.
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. 0,9*0,3+0,1*0,5=0,32.
9.5.

f - ( , ,
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f
,
, .
f.
.
, .
-
72

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,
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1

i.
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5. (1000, 600, 600),
8%. ?
13%.
?
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1.
.
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, 1 .
8.
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9. 100 .
10% 1/3, 1,1
1/3 100 .
73

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10.
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500
3000 . 10 ? (
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,
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.

14.
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(. 9.1) , .
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74

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t. , Z(t)=Z(t)
t, t. .

,

75

10.

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76

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, qi=max qij. , i- ,
qj, qij, .. i-
rij=qjqij .
2.

77

. q1=max qi1=8,
,

q2=5,

q3=8,

q4=12.

10.3.


(,
).
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i- , ,
, .. : ai=min qij.
a0 ai0. ,
i0 , ai0=max ai=max(minqij)., 2 a1=2,
a2=2, a3=3, a4=1. 2, 2, 3, 1 3. ,
3- .
( ).
R=(rij).
i- , ,
bi=max rij. i0
bi0. , i0 ,
bi0=min bi=min(max rij)., 2
b1=8, b2=6, b3=5, b4=7. 8, 6, 5, 7 5.
78

, 3- .
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).
i,
{ min qij+(1 max qij)},
01. .
1, ,
0
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.
10.4.

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j.
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.

.
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Qi
[Qi] ,
Qi. , ,
.
, 2 1/2, 1/6, 1/6, 1/6.
Q1=29/6, Q2=25/6, Q3=7, Q4=17/6.
7 .
.
i- Ri

79

M[Ri] ,
Ri. ,
.
.
R1=20/6, R2=4, R3=7/6, R4=32/6.
7/6 .
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.
80

. ,b - , r()
r(b) . , r()r(b), () (b),
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r E.
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10.2 .
. () (R, Q)
,
(. 10.1). 2.
(R, Q), , ,
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.

, Q (R, Q)
, . ,
f(Q)=2QR. () 2
: f(Q1)=2*29/620/6=6,33; f(Q2)=4,33; f(Q3)=12,83; f(Q4)=0,33. ,
, .
.
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10.6.
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j .
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.

81


1. ,
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.

2. ,
,

. .

3. Q q1,,qn.
R r1,,rn, rj==max {qi: i=1,,n}qj
. , ..
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4. 2 10.2
,
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5. ,
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82

.
6.
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k- (), qijqkj j=1,,n.
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.

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f)B. F ,
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83

11.

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84

qj - , j .

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.
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[Q]=q1p1++qnpn, mQ, Q,
.
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DQ.
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Q.
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.

Q,
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Q. rQ.
2.
1:

Q1:

..
1=5*0,01+25*0,99=24,7. D1=M[Q12]
m12. [Q12]=25*0,01+625*0,99=619. , D1=619(24,7)2=8,91
85

r1=2,98.
m2=20; r2=5.
, .


(
) .
3.
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10 , , 10
, .
:


.
0.
.
:
D1=100*0,5+100*0,5=100; D2=(400+100)2/6=500/3=167;

r1=D1=10; r2=D2=13.
Q, .. Q rQ
:
P(|Q mQ|>)r2Q/ 2, P(|Q mQ|>)>1 r2Q/ 2.
,
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:
P(|Q mQ|<3rQ)0,997; P(|Q mQ|<2rQ)0,95.
.


.
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.
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; , | k12|1; ,
r1+r2.( k12>
),
( k12<0 ).
, , ,
XY=[(-X)(-Y)] 0;
XY kXY XY=** kXY;
.
4.
Q1 Q2 ,
Q=0,5*Q1+0,5*Q2 (,
):

2: r1=2,98; r2=5. ,
rQ=(2,982+52)/2(8,91+25)/25,82/2=2,91.
.
87

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88

Qmin,
Qmax,
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89

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7.
: 10% , 30%
.
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()=(1)H1+(2)H2+()PH3=0,1*0,01+0,3*0,05+0,6*0,2=0,136.

A2=(2)H2/()=0,015/0,136=15/1361/9.

,
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200 . , H3
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91

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() L (
11,2). L ,
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ef=fe1+(1f)e2 rf=(f2r21+(1f)2r22) .
ef rf
.
def / drf=(def / df):(drf/df)=(e1e2):2[r21fr22(1f)]/(f2r21+(1f)2r22)=
=[(f2r21+(1f)2r22)]*(e1e2)/[ fr21+(1f)r22]
, :
1f>r22/( r21+r22)
f=r22/( r21+r22)
0f<r22/( r21+r22)
, L
, . 11.1. ,
92

SQ2 . , Q1
.

8. :

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, 1,6,
1,5.
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e0. - >0 r.
Sf=fO+(1f) .
. f=f+(1f)0, rf=|f|r
(. 11.2). f=(efe0)(e-e0) , ,
rf=r|efe0| /(-0)/( efe0) .

93

. . 11.2

fO+(1f) f. ,
.
.
S 3 , 20%
(. . 11.2), T
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;
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R r1,...,rn rj=max{qij; i=1,,n}qj.
. Q , ..
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R.

94

12.
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12.1.
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1.
1,...,n 1,...,n
r1,...,r2. =(1+...+On)/
=(e1+...+en)/n r=(r12+r2n)/n.

.
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O1

ki/n

r=r1(ki/n)2.

i=1

i=1

, .. ki1,
n

r=r1(ki/n)2r1.
i=1

95

,
.
1.
,
, .


.
1. 1- 2- . e12=(3+5)/2=4;
r12=(22+42)/22,24
2. 1-, 2- 3- .
e123=(3+5+8)/3=5,3; r123=(22+42+62)/32,49.
3. .
e14=(3+5+8+10)/4=6,5; r14=(22+42+62+122)/4 3,54.
,
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96

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2.

. 100 000 ( 600 .
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100 000
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, r2, - ,
D=r12+2k12r1r2+r22, k -
.
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(: 2k12r1r2+r22<0, .. k12<r2/(2r1)).
3.
O1.

S, .
.
, O1
S. :
M[O1]=5, D[O1]=225, r1=15;
M[S]=0, D[S]=25;
M[O]=5, D[O]=100, r=10.
97

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, ,
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(. . 2)
(. . 14).
12.3.
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98

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1929-1938 . 1934
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102

13.
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13.1
S -
(
), , .
. - Sn=S0+x1++xn, S0 -
, i, i=1,...,n,
, 1,+1 1/2.
. 13.1

103

.
.
Sn.

.. i 0.
.. i .
.. i 1, , D[Sn]=n.
x1++xn n. n. ,
.. i k +1, (n-k) 1,
Cnk(1/2)n. . (n=2k-n)=Cnk(1/2)n. 1, 2, 3
. 13.2.

n>10 ,
,
. , n>10
nN(0,n) , P(<SnS0<)(/n)(/n), - .
, n>10 P(| Sn S0 |<n)=0,9973.
, n=16 P(| SnS0 |<12)=0,9973, .. 16
12 (, S0
12).

, , ,
. ,
0. 0
( ,
).

(. 14.4).
13.2. --
:
104

r , n-
Bn=(1+r)n1=(1+r)nB0 S
fi, fi
.., , ,b, <b
1/2. .. (
9.1). , n

, b=-1,a=1, >1

n=1 , Sn=S0 n++n.


, S {S0k:
k=0,1,2,} . .13.3.

(a+b)/2,
(a+b)/2>r. , .
n- :

105

.. (1+fi), i=1n, ,
, ,

(13.1) , fi
, n.
13.3.
,
, ..
Sn=S0eHk,
Hn=h1++hn .. hi .
,
Hn n>10 .
:
.. hi .
. , , ,
t >t
S(t+)/S(t) .

, . . .
.
13.4.

106

, lnY ,,

,
. , S(t+)/S(t)
,
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. 5.1). , ( )
.

.
13.4.

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( , ..)
.
107


1. 13.1 : )
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; 2 ; 3 .
2. , | 13.1
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:

.
3. ,
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, , .
: k ,
, , (n-k)/(n+1).
, , .
4. ; 13.1 .. Cn=max(0,Sn
S0). .. C1, C2, C3
3 . ..
(. . 14).
5. 13.1
. ?
6. - () =0, b=0,1, S0=10 n=5.
? , n=5
10, 11, 12? , n-
.
n=1,2.
7. 13.1,
1/2.
8. , . 7, .
9. =0,1; b=0,3. ,
(>10) Sn> S0 (S0 ).
10. (13.1)
?
11. , ,

.
n
. S0 ,
Sn.
12. S0=100
3 1 1/2. , n>10
Sn>S0.
13.
108

, n-
S0=S0+x1++xn, S0 , xi, i=1,...,, -
.., 1,0,+1
1/3. .13.5

.
.
,
13.2.

109

14.
,
. 1973
.
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14.1.
(calloption) (
)
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.
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R, (
S-R).
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,
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S R, ,
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( ) , S>R, S=R S<R.
.
110

. ,
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.
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;
.
14.2.

.
.
(
.. ).
, S, R, -
. , =S-R, S>R =0, SR.
: =max{0,S-R}.
=max{0,R-S}

; ,
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.
14.3.

()
.
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1/2 15 ..,
.
15 .., .

15 .., .
111

30 ..
,
2 .
,
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75 .., 45 ..
30 ..,
. 45 ..
. .
.
10%. ,
, . ,
45/(1+0,1)=41 .. 60 ..,
6041=19 .. ,
9,5 .. .
()
. 60 ..
, 9,5 .. 19 ..
, 60 ..
, 19 .. .
, 41 ..
19 .. 19*(1+0,1)=21 ..,
41*(1+0,1)=45 ..
21+45=66 .. ;
,
60*(1+0,1)=66! .
14.4.
, (. 13.1)
n- ,
Sn=S0+x1++xn xi, i=1n,
,
1,1 1/2 .
S0, .. , 0.
, S0>n.

Cn=max{0, SnS0}=max{0,x1++xn}
, , ,
C1=max{0,x1}.
, - .
,
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112

1,

max{0, x1}, ..
C1=M[max{0,x1}].
, .
, 0.
,
, .. .
1 x1. , =1/2. ,
, ,
100. 50 1 M[max{0,x}]=1/2.
, ,
.
S0/21/2, 1/2 ..
S0/2 . ,
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. ,
0.
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1 .., *(S0+1), 1
., , , .., S0/2,
. 1 ..,
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1/2, 1/2,
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.

: , ,
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Cn=M[max{0,x1+xn}]
( - ).
n>10 x1+xn
:
0, n. ,
M[max{0,x1+xn}]
113

14.5.
14.4.
, .
.
.
S 60 ..,
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1/2 , 15 ..,
.
15 .., .
15 ..,
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75 .., 45 ..
,
15 .. .
75 .. .
.
.
10%. ,
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60 .. 68,260=8,2 ..
, 4,1 ..
114

.
, 14.4,. .
60 .. ,
4,1 .. 8,2 .. ,
60 .. , ,
8,2 ..
68,2 .. 8,2 ..
8,2*(1+0,1)=9 ..,
75 .., 759=66 ..

60*(1+0,1)=66 ..! , 14.4,
.


, .

E*(1+b)T, b.
, .. T, .
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.
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, S+.
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.
2.
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E*(1+b)T, +E*(1+b)T; ..
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115

S+P=C+E*(1+b)T, (14.2).
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3.
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116

15.
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.
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117

,
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(15.1).
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i- .
mi, ri i-
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1.
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: 0,5*14+0,5*8=11% .
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r1 2- 2, r2 12 r1r2,
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15.1.

15.2.

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119

N, N(N1).
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: (1/N) (11/N)
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.
120

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, , .. i=1/n
i=1,..., .

2=max Vu, rp/n.


: ,
0 .
121

2.
,
,
.


. ,
, r=(r12++rn2)/n (.
1 12).
) 1- 2- .
m12=(2+4)/2=3; r12=(12+22)/21,12.
) 1-,2- 3- .
m13=(2+4+8)/3=4,67; r13=(12+22+42)/31,53.
) , .
m14=(2+4+8+12)/4=6,5; r14=(12+22+42+62)/41,89.
,
, .
, ,
.
,
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kij=Vij/(ij)
. Vij=(ixi)(jxj)kij.
, .
122

, kij=1 ,
i- j- ,
.

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i, rp. ,


.

, ,
.

.
, .. kij=1,
ij. ,
(=2).
Vp=12x12+22x22 21x12x2=(1x1 2x2)2
x2=x11/2, Vp=0.
,
,
.
.

123

15.3.

, .
(. Markovitz) 1952 ., :
xi,

, mp,
..

i , :


,
.
xi,

,
mp, ..

124

i , , :

() *. xi*0,
xi* i . xi*<0, short
sale ( ). ,
xi*0.
? , ,
- i- ( ,
).
.
.
(.. i- ) ,
! , short sale,
.

, . ,
rp .
.

: (4,10); (10,40); (40,80);
15. : 46%, 28%,
26%, 25,4, 15.
15.4.

. (D. Tobin
) , (
),

.
0 - (
,
, 2-3%), x0
, , (1x0)
. r - Vr - ()
rr=Vr - .
p=00+(1-0)r,
Vp=(1x0)2Vr rp=| 1x0 |rr (,
125

). x0, mp=m0+rp(mrm0)/rr, ..
.
1 .
:

, .
V , =(xi), =(mi)
- , i-
, i=1,..,. I n-
-, 1.
i

V1 , V. ,
, (
, ),
, , ,
V1(Mm0I) - n. ,
. ,
, , .
, .
X* , , X*
, 0
.
.
V=XVX X*
(15.4), (15.3) d2.
126


: -0=drp p=m0+drp. , .

, ..
.
15.5.
(15.2)
(15.3) :
,
.

, :
xi

, , ..

i - , :

127

4.

: (4,10); (10,40);
(40,80) ( , 1);
50. : 6%, 34%,60%, 27,6,
49,9 ( 0,02
).
,
, (.
15.3):
x

-
:

( , , .
(15.4)).

L X 0 :

128

1 ,
Mm0I=x0VX. 0 X XVX=rp2,

( V , ,
).

(Mm0I)V1(Mm0I) d2, (1/0)=rp/d


X*=( rp/d)V1(Mm0I),
.. (15.5)
,
.

r, .. x0*+*, x0* X*
. 0*=1I*,
(15.5),

, .

.
1 . ,

129

.
2 . , ,

, -
: ,
- ..

1. 3,4.
2. 2 6
10 20 :
k x=10,2k, (1), .. ,
1- , 6, ,
2- 5.
.

.
-
, .. .
3. 4
8 14 10 30,
12.
: 0,51, 1,18, 0,33. .
?
4. 5% 30%
, 8% .
?
5.
: 2 10
5. .
.
(. (15.2)):

130

*0=(10m)/8, *1=(mp2)/8. m=2+8*1=2+8r/5.


6.
.
. (15.4). V
, ,
:

7.
: 2
4 10 2 4.
?
. ,

r. (15.4):

, V, :

131

,
r=20. , 0=1r5.
8. :

: 2
6 8 4; 9 9.
:

9.

132

i- . ,

(,
).
, R=V*, X*
. X* (15.4),
(15.5), .. : X*=V1(-I), , (-)/d2 r/d.
X* , R=V1(-I)=VV1(-I)=(I), .. , R (-I) .
10. ,
.
.

(15.4)

(15.5).

133

16.

:
.

. ,
,
.

. ? ,
?
16.1.

, . ,
,
.
d (d1,...,dn).
d=di/n
V=(did)2/n
.
.
. ,
( )
, =500 ( ,
Standard and Poor`s index).
, , T=
( 25
,
, )
, *'=5000 , n=500
n(n1)/2>100 000 , .. ,
, .
,
(
).
16.2. .

.
?
, ,
, . ,

,
134

. ,
, , ,
, ,
.
, .
f ,
. d - .
, , d
f: da+bf. d, f ,
, .
, b? ,
, .
=+b=(x) ,
F(,b)=[(Y--b)2]
F(,b)=[Y-2Y
.

2
2 2
2
2
2
2bY+a +2abX+b X ]=[Y]-2[Y]-2bM[XY]+a +2abM[X]+b M[X ].
F(,b) b
0, :

, , =(x)=(M[Y]
M[X]*KXY/DX)+xKXY/DX=(M[Y]+(XM[X])KXY/DX).
Z=(M[Y]+(X
M[X])KXY/DX) X.
[Z]=[Y]. , , , b
. . X, , :
[Y]=+b[].

(16.1)

(X, Y),
, .. (,) (,Y).
. ,
, b :
+b=Y,
+b2=Y,

(16.2)

135

, b=(Y *Y )/[( X2 (X)2]=KXY s2X, a=YX KXY s2X , =Y+(X )KXY


s2X. KXY,s2X
, .
, ,

Y=a+b*X.

(16.3)

1.
(9, 6), (10, 4), (12,
7), (5, 3).
.
. X, Y, 2, Y. =(9+10+12+5)/4=9, Y=5,
X2=350/4, Y=193/4. , b=1/2; =1/2 (. (16.2)). ,
=1/2+/2.
(. 16.1):

, ()
d f : da+bf, b=Vfd/Vff,
=b-b*f.
: b=Vfd/Vff, a=d-b*f, Vfd=df-d*f
Vff=f2(f)2.
(, Vff, Vfd
f d,f, , d
136

d, .. . 1).
, (. (16.1)),
, (16.1)
(16.3).
,
+b*f
, (f,),
.
f ,
, =d(+b*f)

d. vii i
vij i, j. ,
: di=ai+bi*fi+i vij=0 ij.
d
f ,
. ,
i- mi=ai+bimf, mf ,
i-
:
16.3.
f
. ( )
, .
2.
, (, )
( ) :

( )
(20*8+10*10+10*12+10*14+5*16+5*18+40*6)/100=9,3%.
.
,
(
, ), ,
137

, .

.
(. 16.4 ),
, .

.
3.
d ()
f ( ) . d f .

. , d, f
..

, b=Vfd/Vff=(1,2)/(1,2)=1, a=d-b*f=101*15=5.
, d f df5.
, ,

f: di=a+bi*fi+i mi f
( ) mi=ai+bimf.
i- Vii=bi2Vff+vii - . (16.4), Vff
(
).
. ,
( )
. , i-
xi,

138

=+bi.
,

,
, ,
, , ..

139

. ,

rf , ..
( ).
,
,

n, vii
( ),
. ,
,
. , n

bi ,
( n).
(. (15.2))
:

140

, short sale
. ,
.
.
16.4. ,
, ,
f: di=a+bi*fi+i (, ,
). bi;
i . :
i , , i- .
: i>0, i-
, i<0,
.
, vii
2
i Vff+vii .. : vii,
i2Vff,
. i2Vff / vii Ri2
R-squared. ,
. , R-squared , -
, .
1. d f : df5.
, d(f5).
, :

, , 0, v=2/10. , =b=1, R2=1*Vff /


vii=(1,2)/(0,2)=6.
, Vff, vii
f, e, , Vff=(fi10)/10=1,2.
141


. , i=i+if=0+i(mf0)+i, i=i+(i-1).

. ,
, ,
. , , , =0.
. ,
>0, , <0, .
, +4(b1)=5,
, (
4).
, (16.5) ,
, ,
, . ( p+(p1), .. . ,
, , ,
=0, >0, <0 (. 16.2).

(Security Market Line


SML). ,
. SML
(
. 17.3). ,
SML, (), ,
/ , /.
,
.
16.5.
.
(Dow Jones).
DJIA (Dow Jones Industrial Average) 10
.

.
142

. .
, : Standard&Poor`s 500
index 400 + 20 + 40
+ 40 .
The NYSE Composite Index -
, .
DJIA 15 1999 . 10462.
, 17 1998
. , .
( 1999 .), , - ;
( )
. . 16.3
1999 .


1. ?
2. ?
3. ,
?
4. ?
5. =1,2
=0,9. .
6. 1,2 0,8.
=0 .
7. 0, , ?
8. ( ) .
( ) :

143

: =4,67;
b=1,83; =8,00; 0,77; 4,03; R-squared=5,26.
4.

144

17.
17.1.

.
.
- ,
. .
,
- .
:
1. .
,
,
.
.
2.
, , ,

. ,
,
( , ).
.
, ,
.
- .
, .
, -,
.
3. (
) .
, . ,
,
(,

).
,
.

(,
..), ,
.
.

145

17.2.

( ),
, ( )
. , .
, :
1) ,
,
;
2) ,
;
3) () ,

,
.
. ,

.

. - ,
.
,
. , ,
- ,
.

,
.


. ,
.

.

.
,

.
, ,

, . ,
,
, ( )
,
146

.
17.3. (Capital Asset Prising Model -
)

.
, ,
, . .
, ,
, . ,
,
. ,
( )
,
. ;
.
,
m0,
(
, ) mf ,

. : ,
,
.
, .. . ,
i mi=m0+i(mfm0). 16.4
, . ,
=0, .. ,
, SML . . 16.2. 16.4 ,
, ,
, .

. ,
, .
:
. ,
, , , D.

, ..
P=(D+P)/(1+i),
i .


147

m0.
,
, .
mi i-
mi=m0+i(mf m0).
, :
P=(M[P]+M[D])/[1+mi+i(mf m0)].
:
,
.

, ,
. ,
,
.
17.4. (Arbitrage Prising Theory -
)

,
. ,
.
, (
)
f1,...,fn,
0. ,
( ), f1,...,fn,
.


.
17.5.
,
,
. , . ,

.
(
).
, .
.
148

: ,
, , , ,
. ,
,
. , :
mf=m0+f(mfm0), mf , ..
f 1. , ,
,
.
, .
,
, . ,

. , ,
IBM
1,5%, 1,5% ,
, IBM.
,
, .
,
,
.
17.6.
k k- .
, (
) . , 1k -
k- .
k=1, ,
k<0,
, (1 k)>1.
Wk , Yk=(1k)Wk ,
. S1:S2::Sn, Si=1

. ,
. ,
Si=Vi/V,

(17.1)

V , Vi
i- (
).
,

149

,
k , Zk .
, (17.1) , Si/Vi=1/Vi.
i- , k,

.
.
.
, - .
:
: ,
; ;
: ,
;
;
: ;
:
,
.
- ,
.

1. 17.2, , ,
, - ,
.
?
2. 7%.
, 1,2?
3. , , ,
, .
( )?
4. .
?
5. ,
. SML.
150

6. ,
1,1, 1, 1,2, 0,8,.
4, 8. short sale
.
.
.
, .. =1,1.
,
1,1; , =1,2 =0,8,

1,2x2+0,8x3=1,1,
x2+x3=1.
x2=3/4, x3=1/4. ,
.
7. 10%
90% . :
1/6 =0,8; 1/3 =1. .
, ,
( ) 8%,
4%.
. , 1/2.
, =1. ,
1/6*0,8+1/3*1+1/2 3=1, 3=1,4.
mi=m0+i(mfm0)=4+i(84)=4+4 i, .. m1=7,2%; m2=8; m3=13,6. ,

0,1*4+0,9*8=7,6%.

151

2

, .
.
, , - ,
.
18.
:
,
.
. 1 ( 7.1 ).
. ,
. 1738 . ,
.
18.1.
, ,
. 5
100 . .
?
$50, . ,
, =50
. , ,
.. ,
.
, , 45
., .
( ).
, , 55 .,
, $100 .
.
(risk lover).
,
.
,
. ?
50 ., .
, , 45 .,
,
.
, , 55
., . ,
,
152

.
100 .
p. $100
.
, (. 18.1).

B(p)
, A() ()
.
, =0,5
, .. 50 .,
A(0,5) ( 55 .), (0,5) (
45 .).
- ,
, . 18.1,
.
,
. f ,
.
f=0,5;
0<f<0,5
0,5<f<1. f . f=0,5,
, 0<f<0,5 ,
, f, ; ,
0,5<f<1, f 1,
.
.
, , .
, , ,
, , .
. 55 .
45 . =0,5. 100 .
. . ,
153

5 . 1/2,
n ,
50 .,
55 .
.
, ( 19.3)
, ,
. .
,
.
18.2.
: 100 . . 1,...,n.
.

L=(1,...,n). .
k L1,,Lk. i=1,...,k i,
(L1,p1;;Lk,pk). :
(1,...,pk)
i
1,...,k. Li.
1- .
2- ..
, ,
: LL
, L' L.
7.1. ,
. , LL
, , L1L2 L2L3, L1L3
, L,L LL,
LL.
,
: ,
.

.
,

:
. 1- (L1,p1;;Lk,pk)
( ) ,
j-

154

ij - j- i- Li.
1.
. L1=(0,1; 0,9) L2=(0,4;
0,6). (L1, 0,3; L2, 0,7).
(0,3*0,1+0,7*0,4;
0,3*0,9+0,7*0,6)=(0,31; 0,69).
,
, .
. n {(1,...,n); i

} (n1)- .

, , .
, :
. i=1,...,n ui ,
L=(1,...,n), L=(1,...,n') LL,

ui, i- , .

L,
.
.
155

.
2.
1. 0 0,
1 100.
: L1=(0,1; 0,9) L2=(0,4; 0,6)
(L1, 0,3; L2, 0,7).
, 0=0, u1=100. , u(L1)=0,1*0+0,9*100=90; u(L1)=0,4*0++0,6*100=60;
(0,31;
0,69), 0,31*0+0,69*100=69.
3.
4 .,
u()= (. 7.3). ,
12 . 0,5 0 .
0,5. ?
. 4 u(4)=4=2.
12 . u(4+12)=4; 0 . u(4)=2;
0,5*4+0,5*2=3, .
, .
?
. a 0,5*(4+12)+0,5.(4)=2.
, =3,75.

1. , n
50 . (. 18.1).
2. ( ) ,
1 -
2. , ?
f.
3. .
L1=(0,2; 0,8) L2=(0,4; 0,6). ,
(. 1).
4. (L1; 0,1; L2, 0,1; L3; 0.8), L1=(0,1;
0,2; 0.7) L2=(0.2; 0,6; 0,2), L3=(0,3; 10,4; 0.3).
5. .
L1=(0,1; 0,2; 0,7) L2=(0.2; 0,6; 0,2), L3=(0,3; 0,4; 0,3).
, . 1 3.
6.
, ..
156

19. ,
, -:
, , .
,

.
19.1.
.
.
R+=[0,).
R+ F,
. F() - ,
. (. .
18) , (),
R+, F

, ..
f,


. () - , (F),
, -.
( 7.3).
1.
()=,
[0,1].

157

() ,
, ,
, ,
(
, 1- ).
2- .
2-
. . 19.1 ,
. ,
f , f(0,5+0,5b)0,5f()+0,5f(b) , b
f (. . 19.1), ,
f(+(1)b)()+(1)f(b) , b f (
f ).

p1++pn=1,

F.
?
,

F. ,
158

,
. ,
(. . 19.1).

18.1, 50
. ,
.
(F) ,

..

.
(19.1), (F)

159

,
F. (F)
F ( ).

.
2.
()=ln(+1), F [9,19].
f(x)=0,1 [9,19].
(F).


(F)=40/113,76.

ln(c+1)=ln401.

, 13,75<14.

160

.
.
[0,) ,

F,
.
19.2.
. .
(. 19.2)

U(x)=axbx2, a,b>0

(19.2)

-.
, , .
, ,
[0, /2b], .
- ,

.
(. 19.3)

161

U(x)=logax, a>0

(19.3)

.
1738 .
19.3. -

, , 19.1,
u(x) .

.
-
u r(x)=u(x)/u'(x).
1- , 2-
, r(x)>0 x. 18.1
.
3.
-
u(x)=1eax, a>0.
u(x)=ae-ax, u(x)=a2e-ax, , r(x)=a.
-.
,
.
2- . 2-
: , , 2 ,
, 2- 2 ,
, , . 2-
1- .
-.
- :
1 . ,
(, , ).
(,),
162

w, (w) ,
. , .
(,), , u(w+x)+(1
p)u(w+y)=u(w).
() (. 19.4).

. 0: u(w)+(1p)u(w)y(0)=0. ,
'(0)=/(1p).
(w)
. .
(w) (w). (w)(w) w,
, , .
0. , (),
, .
2- . 2- "(0):
u"(w)+(1)u"(w)('(0))2+(1)'(w) "(0)=0.
'(0), y''(0)=(p/(1p)2)[u(w)/u(w)]
, 2- .
19.4.
?
.
.
,
, .
, .
. (,),
, .
g().
, , g .
(. 19.5).
163

, (,) , g().
, g() ,
, .
(,)
. ,
. ,
? , , , ,
? . 19.6 g1
, g2 .
.
, d=3/4, d=1/4 .
(1000,500) (750; 375), (250,125). .
19.6 , , .
,
,
. ,
?
. , (1000, 1500) :
(500, 175), (500, 325). . 19.6 ,
.

164

g1, g2 , . g
.
(, b).
x1, x2,y1,y2 , x1+x2=, y1+y2=b, y1g(x1), y2g(x2).
, g1, g2
, {g1(x)+g2(a-x)}
g1(c)=g2(-). , ,
, . ,
g1(), g2(a-x) . ,
, h(). g h.
.
, .. (, b), b=g(a).
: h(), h()
, : g1(h()),
g()g2(h()).

. , .
.
:
) , ;
) g2g1;
) g2g1;
19.5
U(r,m),
r (,
).
, . U
, ,
.
( . 19.7 ).

. 19.7 ,
, . 19.7
165

, .
19.7 ,
.
.
, , U(r,m)=m2r, ..
,
2 .
,
. 15, 16, :
, , ..
. ,
, , .
, :
U(P)max
P P.

(19.4)

,
.
, , ..

.
, (19.4) .
,
p=0+drp (. 15.7).
, (19.4)
.
,
: x0
.

1. ()=ln(1+) w.
,
1-. , .
=0,5?
2. () w.
, G
(1) .
. : ()=x, w=10, C=10, B=5.
3. ()=x.
16 , 1/2
4 0,46.
.
()=(1/2+) (+4)+(1/2-)u(4) .. 16=(1/2+)(16+4)+(1/2)(164).
166

=0,04.
,
, 4 0,54 4
0,46.
4. :


. , 1
, .
, , (z)=z,
1 1 (1/2 u(0)+1/2u(4)=0+1/2* 2=1), 10/8.
.
, , ,
, , ..
5. f()=-r.
4,8;.6,30;
20. ,
h=0,2 x[1]=1k*h 1-

(x[2] 1x[1]). ,
1- , 5- 2- .

, , 1-
.
6. P u(P)=m-r2, m, r
.

(2,4), (4,8). .
.

167


6.1
6.8
5.1
16.2
, 1.5
4.3
3 6.9
12.1
1.5
1.4, 1.6
1.6
5.1
5.1
5.1
5.1
5.2
5.5
, , . 3
() 4.1
1.9
3.10
6.9
6.9
2.2
2.2
3.8
2 6.9
1.4
1.5
1.4
6.1
14.1
10.5
15.1
15.3, 15.4, 15.5
15.4, 15.5
2.1
() 1.1, 1.2
() 1.5
2.2
2.5
4.2
4.2
9.3, 10.1, 11.1
10.4
10.4
168

1.7
5.6
5.6
9.1
13.4
12.2
- 19.3

169


1. X. ., .:,1998
2. .. . .: , 1998.
3. . . .: , 1998.
4. ..
.: , 1996.
5. .., . : .
.: , 1994.
6. . .. . : . .
.: , 1998.
7. . . . .: ,
1995.
8. ., ., . . .:
, 1968.
9. .. . . , 2. .:
, 1998.

170

171

172

173

174

175

176

177

178




. .
. .
. .


071252 04.01.96
12.07.99. 6080 1/16
. . . 15,5. . . . 10,6
10 000 . (1- 6 000). 1184

. .
123298, , ., 6
.: (095) 1940015. ./: (095) 1940015
Email: unity@tech.ru

432601, . , . , 14

179