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FINCOACH FINCOACH..................11
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I................................................................................................................................................14
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1...........................................................................................................................................14
............................................................................................................14
1.1. ........................................................................................15
1.2. ....................................................................15
..............................................................................................................................15
1.3. , ...............17
1.4. , ...................................18
1.8. : ..................................19
1.9. ......................................................................20
2...........................................................................................................................................25
.......................................................................................................25
2.1. .............................................................25
2.2. ..............................................................................................26
2.3. ...................................27
2.3.1. 1. ..........................27
2.3.2. 2. ................................................................................28
2.3.3. 3. - ................................................................29
2.4..........................................................................................................29
2.3.4. 4. .........30
2.3.5. 5. ................................................................30
2.6..........................................................................................................31
2.3.6. 6. ........................31
2.8......................................................................................................33
2.4. " " .........................34
2.5. .................................................................................................36
2.6. ..............................................................................36
2.6.1. ....................................................................................................37
2.6.2. ................................................................39
2.6.3. ....................................................40
2.6.4. ....................................................41
1

2.6.5. 1926-1997 .......................44


2.6.6. ...........................................................................47
2.6.7. , .............................47
2.7. ....................................................................................48
2.7.1. ............................................................................................................................49
2.7.2. - .....................................................49
2.7.3. ..................................................................................................49
2.7.4. ....................................................................................................50
2.7.5. ........................................................................................................50
2.7.6. .............................................................................................50
2.7.7. , .......................................51
2.7.8. , ...............................................................................51
2.7.9. , .............................................51
2.8.
................................................................................................................................51
2.8.1. .....................................................................52
2.9. .............53
2.1 .........................................................58
...............................................................................................................60
3.1..................................................................................................................60
3.3..................................................................................................................63
...............................64
.................................64
3.6. ..............69
3.6.1. .............................................70
3.6.3. ................71
3.7. ...............................................................................71
3.8. ....................................72
3.9.1. .................................................................73
3.10. ...........................................................74
3.11. ....................................75
II..............................................................................................................................................83
.................................................................................................................................83
4...........................................................................................................................................83

.....................................................................................................................................83
4.1. .................................................................................................84
4.1.1. ........................................................................................86
4.1.2. ............................................................................................88
4.1.3. ...............................................89
4.1.4. ........................................................................................................89
4.2. ................................................90
4.3. ..........................91
4.3.1. 100 100 ..................93
4.4.
........................................................................................................93
4.4.1. .................................................................97
4.4.2. ..............................................................................................................97
4.5. ..............................................................98
4.5.1. ...................................................................................................99
4.5.2. ...............................................99
4.5.3. ......................................100
4.5.4. .................100
4.6. ..................................................................................................................100
2

4.6.1. ................................................................................101
4.6.2. .........................................................................102
4.6.3. .......................................................................102
4.6.4. ..............................................................................103
4.7. ..............................................................................................104
4.7.1. ......................................................105
4.7.2. .........................................................................105
4.8. .......................................................................................106
4.8.1. ....................................................................107
4.9. ...............................107
4.9.1. : ..................................108
4.10.
...............................................................................................................................109
4.10.1. ...........................................................................109
4.10.2. : 1.......................................................110
4.10.3. , ........111
4.10.4. .........111
4.10.5. ....................................................................111
4.10.6. : 2.......................................................112
4.10.7. ........................................................................................113
4.10.8. : 3.......................................................113
4.10.9. ................................................................114
6..........................................................................................................................................115
.......................................................................115
6.1. ..............................................116
6.2. ?............................117
6.3. :
.........................................................................................................................118
6.4.
..................................................................................................................................................119
6.5. ...........................................................................................121
6.6.
...................................................................................................123
6.6.1. ..............................................................................................127
6.6.2. NPV .................................................................127
6.7. ......127
6.8. ...............................................................130
6.9. .........................................131
6.10. ................................................132
III...........................................................................................................................................143
.......................................................................................................143
7.........................................................................................................................................143
...............................................................143
7.1. .................144
7.2.
..............................................................................................................................144
7.3. .....................................................................145
7.4. ....................146
7.5. ..............................................147
7.6. .......................................148
7.7. .....149
7.8. ....................................................150
7.8.1. .............................................................................................150
7.8.2. .........................................................................................151
3

7.9. ............................................151
7.10. ....................................152
7.11. ...................................................................152
8.........................................................................................................................................159
: ..................159
8.1.
.............................................159
8.2. : .......161
8.3. ,
........................................................................................................................162
8.3.1. , ""
............................................................................................................165
8.4. ........................................................165
8.5.
................................................................167
8.5.1. ...............................................................................167
8.5.2. ..........................................................167
8.5.3. , .......................................168
8.6. ...............................................................168
8.6.1. ........................................................................................................168
8.6.2. .....................................................................................................169
9.........................................................................................................................................174
...................................................................................174
9.1. ..................................................................174
9.2. : ..................175
9.3. : ..........177
9.4. /:
..................................................................................................................................................179
9.5.
?.....................................................................................................................180
9.5.1. ......................................................180
9.5.2. , ........................................................................181
9.5.3. .......................................182
9.5.4. ...............................................................184
IV...........................................................................................................................................188
..................................................................................188
10.......................................................................................................................................188
..................................................................................188
10.1. ........................................................................................................188
10.1.1. .................................................................................................189
10.1.2. ..........................................................................................190
10.2. .................................................................190
10.2.1. , ......................................191
10.2.2. , ..............................................191
10.2.3. ............................................................192
10.3. .............................................................................................192
10.3.1. ....................................................................................................192
10.3.2. ...........................................................................................................193
10.3.4. ...........................................................................194
10.3.5. ................................................................................................194
10.4. .............................................................................194
10.4.1. .........................................................................................................195
10.4.2. ............................................................................................................195
10.4.3. .....................................................................................................195
4

10.5. ...........................197
10.5.1. ...................................................197
10.5.2. ...........................................................................197
10.6. ...................................................................198
10.7. :
...................................................................200
10.8. ...........................................200
10.9. ................202
11........................................................................................................................................209
, ..........................................209
11.1.
........................................................................................................................209
11.2. .....................213
11.3. :
........................................................214
11.4. ..........................................214
11.5. ................................................................215
11.6. ........................216
11.6.1 ...........................................................................................216
11.6.2 ................................................................................................................216
11.6.3 .................................................................................................217
11.7. .......................................................................................217
11.8. ..............................217
11.9. .................................................218
11.9.1. "" ..........................................................................................218
11.9.2. "" ...................................................................................219
11.10. ............................................................................219
11.10.1. : ............219
11.10.2. ...............................................................................220
11.11. .....................................222
12.......................................................................................................................................233
....................................................233
12.1. ...................233
12.1.1. .........................................................................................233
12.1.2. .................................................................................234
12.1.3. ...........................................................................................236
12.1.4. ........................................236
12.2. : .............................................236
12.2.1. ..............................................................................236
12.2.2. ....237
12.2.4. ...................................................................239
12.3. 1
.........................................................................240
12.3.1. ..............................................................240
12.3.2. ................................................242
12.3.3. ......242
12.3.4. : 2..............................243
12.3.5. ..................................................244
V............................................................................................................................................249
...............................................................................................................................249
13.......................................................................................................................................249
...........................................................................250
13.1. ...........................................250
5

13.2. ,
.............................................................................................................................253
13.3. ""
..................................................................................................................................................253
13.4.
..................................................................................................................................................255
13.5.
.......................................................................................................................257
13.5.1.
................................................................................................................................257
3.5.2. .................................................................................................258
13.5.3.
...................................................................................................258
13.6. .......................259
14.......................................................................................................................................264
......................264
14.1. .264
14.2. .................................266
14.3. .........................................................................267
14.4. - '
..................................................................................................................................................268
14.5.
..................................................................................................................................................268
14.6. : -..................269
14.6.1. "" .......................................................270
14.7. ....................................................................................271
14.8. "" ...................272
14.9 ........273
14.10.
.....................................................273
14.11. "" .................................................................274
14.12. .......................................274
14.13. ..........................275
15.......................................................................................................................................281
...........................................................................281
15.1. ........................................................................281
15.1.1. .............................................................................................283
15.2. ..........................................................................284
S....................................................................................................................................................294
15.9. :....................................................................296
15.10. .........................................................................................298
15.10.1. : .................................................................................................299
15.11.
.................................................................................................300
VI...........................................................................................................................................306
...............................................................................................................306
16.......................................................................................................................................306
........................................................................................................306
16.1. ........................................307
16.2. .............................................307
16.3. ...............308
16.3.1. ............................................................................................308
16.3.2. ..............................................................................................309
16.3.3. ....................................................................................309
6

16.4. ...................310
16.5. : ........314
16.6. ...................................................................................................314
16.6.1. .................................................................................................314
16.6.2. , ..........................316
16.7. .....................................................317
16.7.1. : ...........317
16.7.2. .................................................318
16.8.
..................................................................................................................................................318
16.9. ...........................................................318
16.9.1. ........................................................................................................319
16.9.2. ...............................................................320
16.10. "".......................................................320
16.10.1. ...........................320
17.......................................................................................................................................328
...................................................................328
17.1. ....................................................................................328
17.2. ................................................................................................331
17.3. ...................................................332
17.3.1. .....................................................................................................................332
17.3.2. -
..............................................................................................................................................334
............................................................................................338
2..................................................................................................................................338
3..................................................................................................................................338
4..................................................................................................................................338
5..................................................................................................................................338
6..................................................................................................................................338
7..................................................................................................................................338
8..................................................................................................................................339
9..................................................................................................................................339
10................................................................................................................................339
11................................................................................................................................339
12................................................................................................................................339
13................................................................................................................................339
14................................................................................................................................340
15................................................................................................................................340
16................................................................................................................................340
17................................................................................................................................340
.................................................................................................................341

I.
1.
2.
3. :

II.
4.

7

5.
6.
III.
7.
8. :
9.
IV.
10.
11. ,
12.
V.
13.
14.

15.
VI.
16.
17.


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FINCOACH FINCOACH
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FINCOACH (Financial Management Math Practice Program
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FINCOACH Test Manager FINCOACH ,


FINCOACH Test Manager.
Web- PHLIP/CW: Prentice Hall Internet
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23

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.

24

2

...
,
.
, .

2.1.
2.2.
2.3.
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2.5.
2.6.
2.7.
2.8.
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(New York Stock Exchange) (Osaka Options and
Futures Exchange), - () ().
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,
.
,
. ,
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,
.
.
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25

2.2.
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26

(), , , - (
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2.3.
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.
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2.3.1. 1.
,
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,
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. (
intertemporal )
.
, , , ,
, .
,

27

,
.
, ,
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, ; -,
.

.

,
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,
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, .
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, . ,
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30000 . ,
.

28

,
. , ,
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2.3
.

2.3.3. 3. -

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2.4
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you) ?
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2.3.4. 4.



.
, ,
.

29

(, ) ,
, ,
.

, ,
. , ,
, 100000 .,
10000 . ,
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. , .
, "" , .
( ) , 100000
. "" 10000 ., .
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1000 .
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,
.
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,
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100000 . 80000
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6% . ,
.
, ,
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8% (. 2.1).
.
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|
, .
(roll over)
3% . :
.
,

30

, .
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.
6,75% ,

30 .
. 3% , 6%,
30- , 6,5%
.
. ,
. ,
, .
,
, .

, .
. Lynn Asinoff "Making Family Loans Can Be a Rewarding Experience", Wall
Street Journal, 10 , 1993, Wall Street Journal, 1993 Dow j
Jones & Company, Inc. .

. , , ,
. ,
.
? , , ,
.
,
. ,
,
, .
, , 10 . .
: ,
. , ,
, .

. , , 1973
,
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2.6
,
, .

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,
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,
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,
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31

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,
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.
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): 10 ,
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32

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.
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;
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. , .

33

2.9

, ? ?

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- ,
. ,
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. ,
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,
.
50- , ,
,
2

34

Adam Smith, The Wealth of Nations (Chicago: University of Chicago Press, 1977), . 408.

. 60-
.

: VISA Master Card, Diners Club Carte Blanche (. 2.2).
2.2
BankAmericard
, 1958 1966 ., Bank of America |
. 1961 1966 . ; .
| \ . 1 1966 Bank of America
, ;
.
Master Charge. , -
First National City Bank of New-York ( Citibank)
Carte Blanche, .
. First National City
,
( ) , ,
Bank of America. , Bank of
America .

, .
. ,
, , 60-
. , " " ,
. ,
, ,
, ,
, Everything Cards, Town & Country Cards, Midwest Bank Cards, Interbank Cards
. I 1966 1970 . .
.
I 60- ,
, ,
. | , .
.
, :
.
. Joseph Nocera, A Piece of the Action (New York: Simon and Schuster, 1994).
International Creative Management, Inc. Copyright 1994 Joseph | Nocera
, -
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,
30 , .

, ,
,
.

2.5.
(debt), (equity)
(derivatives). , ,
. ,
, , ,
.

35

(fixed-income instruments) .
.
(maturity).
( ) (money
market), (capital market).
, ,
(, ),
( ).
(liquidity)
, .
, . ,
, (common
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) .
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, Internet
: , .
.

2.6.1.
(promised) ( )
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,
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(commercial loan rate).

36


, (unit of account),
(maturity) ,
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, .
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15000

= 0,017333

, 1,73%, 3%,
, .
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, , . 2.2,
(yield curve) 7
1999 .
()
, ,

37

. . 2.2 ,
5,25% ,
30 6%.
. 2.2 , .
,
, .
2.12
, , | I ,
.
.

. The Wall Street Journal, June 8, 1999, . 23. The Wall Street Journal,
1999 Dow Jones & Company, Inc. .
. 2.2.

, ,
. . 2.1
, ,
.
, ,
.
(yield spread)
10 ,
6,21% ,
7,56%. 1,35% .
2.1. (%)
5,70
1 10
6,21
10
1
10

6,45

6,94
10
7,09


7,56
Merrill Lynch Bond Indexes, .
. The Wall Street Journal, June 8,1999, . 23. The Wall Street Journal,
1999 Dow Jones & Company, Inc. .
2.13
, ,
,
.

38

2.6.2.

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

, . (capital gain).
, (capital loss).

, .
, , ,
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:
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= 0,10 = 10%
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+


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, ,
.
2.2. 0

Dow Jones Index, Standard & Poor's 500


3

.
,
.

39


Nikkei, Topix

FT-30, FT-100

DAX

CAC 40

Credit Suisse
, ,
MSCI, EAFE
, ,
() .
: ,
, ,
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,
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1926
12%. , , , .
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).
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).
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( ) 1,34%.
, ,
. Upper Analytical Services, Inc.,
76% .
0,5% 1% .
. ,

, .
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). ,
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), Wilshire 5000
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Wilshire* 5000

, 30 )111''':':1'" 1'/::1 |

+272,52% +237,63% +14,06% +12,94%

" 0,3% ,
.

40

. Upper Analytical Services, Inc.


. 2.3. .
.

||||.|

1 (%)

'
;
.11

(% )

+7,5
4,80
+4,0
5,31
-11,2
4,88
-21,3
3,32
-2,1
0,07
-3,3
3,17
+1,4
1,29
+19,6
4,81
+6,2
3,04

5,38
1,59
4,53
0,61
5,22
1,52
4,29
6,75
1,81
118,00
4,39
8,16
2,54
1,45
5,10
3,89
0,91

.

1 (%)
1,50
+6,0
0,60
1,7
:1,42
+7,0
6,96
-3,0
130,00
-9,2
7,95
+2,6
1,49
-2,7
0,93
-2,2

+13,6

. The Economist, 17 , 1999, . 111. 1999 The Economist Newspaper Group, Inc.
. , www. economist. corn
, , . 2.3 , 1998 1999
19,6%, 2,1%.
, .
85
9,2%. ,
, , , 1998 1 ., 1999
1,196 . 1998 130
(1,196 . 130 /), 1999 141,128 (1,196 . 118
/). , 8,56%.
,
.
, 4.

2.6.4.
. 2.3 . 2.4
(, ) 1927 1997 .
, .

. , .

1926 1931 1936 1941 1946 1951 1956 1961 1966 1971 1976 1981 1986 1991 1996

. (Center for Research in Security Prices)

41

search
Prices)

in

Security

. 2.3. , ()
4
Morgan Stanley Capital International Index (MSCI).
86
I.

42

.
| 2.4. , C,19261997 (%)

-
1926 3,19
7,70
8,27
1927
3,13
8,93
30,91
1928
3,82
0,10
37,88
1929 4,74
3,42
-11,91
1930
2,35
4,66
-28,48
1931
1,02
-5,31
-47,07
1932
0,81
16,84
-15,15
1933 0,29
-0,08
46,59
1934
0,16
10.02
-5,94
1935
0,17
4,98
41,37
1936
0,18
7,51
27,92
1937
0,32
0,23
-38,59
1938
0,04
5,53
25,21
1939
0,01
5,94
-5,45
1940
-0,06 6,09
-15,29
1941
0,04
0,93
-17,86
1942
0,26
3,22
12,43
1943
0,34
2,08
19,45
1944
0,32
2,81
13,80
1945
0,32
10,73
30,72
1946
0,35
-0,10
-11,87
1947
0,46
-2,63
0,00
1948
0,98
3,40
-0,65
1949
1,11
6,45
10,26
1950
1,21
0,06
21,78
1951
1,48
-3,94
16,46
1952
1,64
1,16
11,78
1953
1,78
3,63
16,46
1954
0,86
7,19
45,02
1955
1,56
-0,69
26,40
1956
2,42
-fi,27
2,62
1957
3,13
8,22
-14,31
1958
1,42
-5,29 -? 38,06
1959
0 00
51
,0<L

| f 1 " -
WJIfll

-1,118
-2,261
-1,155
0,585 ,393
-9,316
-10,275
0,764
1,516
2,985
1,449
2,856
-2,777
0,001
0,714
9,929
9,032
2,959
2,299
2,247
18,131
8,837
2,991
-2,074
5,935
6,000
0,755
0,749
-0,744
0,375
2,985
2,898
1,759

1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996

1 1960
1961

1,730
1,361
0,671

1997

.
.
.

2,58
2,16

,01
13,32
0,19

8,48
-2,97
23,13

1962
2,72
1963
3,15
7,80
-11,81

-0,79
18,89
,
'enter for curity

2.

1,333
1,646

3,52
3,97
4,71,
4,15
5,29
6,59
6,38
4,32
3,89
7,06
8,08
5,82
5,16
5,15
7,31
10,69
11,53
14,86
10,66
8,85
9,96
7,68
6,06
5,39
6,32
8,22
7,68
6,15
3,40
2,90
3,88
' 5,53
5,15

4,11
-0,27
3,96
-6,02
-1,20
-6,52
12,69
16,60
5,15
-2,49
3,89
6,10
18,18
0,90
-2,93
-1,52
-3,52
1,16
39,74
1,28
15,81
31,96
25,79
-2,91
8,71
19,23
6,15
18,59
7,95
16,91
-7,19
30,38
-0,35

12,97
9,06
0,06
20,09
7,66
-11,36
0,10
10,79
15,63
-17,37
-29,72
31,55
19,15
-11.50
1,06
12.31
25,77
-9,73
14,76
17,27
1,40
26,33
14,62
2,03
12,40
27,25
-6,56
26,31
4,46
7,06
-1,54
34,11
20,26

0,972
1,922
1,922
1,922
4,720
6,195
5,569
3,266
3,407
8,705
12,338
6,937
4,865
6.701
9,018
13,294
12,517
8,923
3,828
3,791
3,948
3.799
1,099
4,434
4.420
4.649
6,107
3,065
2,902
2,750
2,674
2,537
3.322

5,08
3,81
3,27

15,46
5,58
9,27

31,01
8,17
19,66

1,703
3.20
4,52

14,86
-0,06

39,74
-7,19

46,59
18,13
-47,07 -10.28

. 2.4 ,
30- .
, 30-
. , ,
20 .
, Standard & Poor 500. ,
,
.
.
. 3,81%,
5,58%, 8,17%. , (
, 3,81%)
1,77% , 4,36% .
. 2.4 . ,
, .
, , 19,66%, 9,27%, 3,27%.
. 2.4
(.. ) 72- .
,
, ,
.
(Jeremy Siegel),
,
1926-1997 ( , )5.

7,2%

6,6%

6,2%

3,4%
, , ,
90%, 98%.

2.6.5. 1926-1997 .
,
, , .
(nominal prices), .. ,
, (real prices),
.
, ,
. (nominal interest rate)
, .
(real rate of return) , 5
Jeremy Siegel, Stocks for the Long Run, 2- (New York: McGraw Hill, 1988), cmp 19.
88
I.

. ,
8% , 8%,
.

. ,
. , (CPI consumer price
index) .
, 8% ,
, , 5%
? ,
, ..
3% . , , .
, .
100 . 108 . ,
100 ., 105 ..
108 . , ?
, 108 .
: 108 . / 105 . = 1,02857 . , ,
, , 1,02857 . ,
( , )
2,857% .
, ,
, :
,,
1 + 1 + =
-
1 + :

= - 1 +

, ,
2,857% :
0,08-0.05
1,05
=

-0,02857=2,857%
, ,
, . , ,
8%.

,
.
5% , -
2,857% . 5%, 2,857%.
89
2.

, - | |
6%, 3% . j
- j ? ?
j

. , , -
.

,
.
(index-linked bonds) 1981 , 1997 .
TIPS (Treasury Inflation Protected Securities , ).
. 1998

(. 2.3).

I Bond
1998 ,
Series I Saving Bond, / Bond. Web- www. savingsbonds. gov
:
"7Bond , ,
. /
Bond , . ,
. / Bond
.. 50- 50 .,
30 .
I Bonds?
, .
,
, .
I Bonds? / Bond
:
, .
, / Bond
, , , .
/ Bond , -|
, j
I Bond? ! , 1 ; I I
i
90
I.

I Bond ; I 50
. 30000 . ,
j
/ Bond ,
.
/ Bonds .
30 , , ,
;
.
/ Bond ,
.
,
/ Bonds . |
.
|
, , (TIPS),
1 . ,
3%.
, .
2%, 5%;
10% 13%.
, , .
, ,
.
, ,
, .
, .
, TIPS 3,5%,
4% . - ?
I
a

2.6.6.
,
. , ,
4% .
,
(World bank) (, )?
: 4% . ,
. ,
4% . ,
, - - ,
,
, .
4%? -
( ),
, . ,

4%, .. .

( , ),
(interest-rate arbitrage). ,
. ,
. ,
10000 ., | 3% .
| 5000 ., 17% .
?

2.6.7. ,
, :
, ,
, , , - ;
',
,
;
,
.


, ,
(productivity of capital goods). , ,
, , .
, , , ,
, , - . ()
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, , , .
( ) - () .
,
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, ,
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"banca" ( ""), ,
.
, , , , :
.
(commercial banks).
,
.
, .
, , ,
.
.

, . , , Deutsche Bank
,
Merrill Lynch Bank, , .

2.7.2. -
- - (depository savings institutions, thrift
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, .
.
, .

2.7.3.
,
.
, ,
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. ,
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.
, .
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,
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6
, ,
: Raymond de Roover, "New Interpretations of History of Banking", 5, Business, Banking and Economic Thought in the Late
Medieval and Early Modem Europe (Chicago: University of Chicago Press, 1974)


, , .
: , .

2.7.4.
( )
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, (defined-benefit pension plan).
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.

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(life annuities), 72
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(collateralization), 73
(fixed-income instruments), 77
(money market), 77
(capital market), 77
(liquidity), 77
(residual claim), 77
(limited liabilities), 78
(derivatives), 78
, "" (call option), 78 , "" (put option), 78
(forward contract), 78
(mortgage rate), 78
(commercial loan rate), 78
(unit of account), 78
(maturity), 78 (default risk), 78 (exchange rate), 79
(yield curve}, 80
(yield spread), 81
(capital gain), 82 (capital loss), 82
(nominal prices), 88
(real prices), 88
(nominal interest rate), 88
(real rate of return), 88 . 2.6.
, , .
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).
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.


Internet
. Web- (htpp:// www.prenhaU.com/bodie/)
online. .

htpp://www.bog.frb.fed.ua/releases/ai/data/htm

htpp://www.bloomberg.corn.markets/iyc/html
,
htpp: //kelley.iu.edu/firiweb/Software -html

3
:
...

, ,


.

3.1.
3.2.
3.3.
3.4.
3.5.
3-6.
3.7.
3.8.
3.9. :
3.10.
3.11.
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New Era
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.
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, New Era ",
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The Bennette Group International, Ltd.
. Paul Demery, The Practical Accountana ( 1995), . 6, 8

.

- , , ,
(ROE).
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.
,
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, .
-
,
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.
3.1
?
3.2. 0
, ,
, General Products
Corporation (GPC). GPC ~ , 10 ,
.
. 3.1, 3.2 3.3 (balance), (
) (income statement) GPC

(cash flow statement). -


.
3.2.1.
(balance sheet) (.. , ) (,
) . (assets) (liabilities)
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generally accepted accounting principles) ,
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,
,
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200 . 201 . 31 200 ., .. 201

200 .
201 .



( )
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(8%-
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20

50
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, .

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2
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yema
(Intemationai
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.
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.

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. ;
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. 3.3,
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(book value).
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., 187,50 . ,
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V, R. Hicks, Value and Capital, 2- (New York: Oxford University Press, 1946). c/np- 172.
,
, (. 34)3.5.

,
(, , ), , , .
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:

_ , , ____ ______


(total shareholder returns).
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201 , 200 . , ,
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.
.,.,.

=
=
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:
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300 >
, , ROE
, .
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30 ., 40 .
32 . 35 > . ROE

3.6.
,

,


,
.
,
: (profitability), (asset
turnover), "" ( )
(financial leverage), (liquidity) (market value). , 3.5
GPC.
(' ).
(return on sales), (return on assets)
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. , -
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, ,
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3.7.
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3.8.
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, - GPC
, 10 .
. 3.9 .
, .
? :
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.
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340,14 .). 207 ., 10,37


,
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, ,
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, , Web-
Prentice-Hall'".
. 3.1.

3.9.1.
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(sustainable growth rate).
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=12%
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| 3.12. Industries 201 203 . (.)

201 .
202 . 203 .

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201 .
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3.12
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+ -
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3.11.
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3.14
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( )

( ),

|
, ,

,
, ,
,
,
, , "",
, ,
, ,
,

,

,


,
-, ,
, - ,
,
.

, , -
,
.
,



,
()

11

, ,
, .
, ,
,
.

(book value)
(intangible assets)
, (goodwill)
(marking to market)
(total shareholder remms)
(percent-of-sales method)
(sustainable growth rate)
(working capital)
(cash cycle time)
(liquidity)
(cash budget)

3.1. ?
.

.

.
-,
.
3.2. GPC,
50 .
.
?
. , ,
( ) ( ),
50 . .
3.3.
GPC , 10
. ., ?
. ,
10 . . : .
3.4. ,
GPC 10 . .,
?
. GPC 10 . .,
. ,
, 94 ., 84,6 .
.
3.5.
?
.
.
.
.
.
.
3.6. , , ,
?
: ;
, , ,
.
3.7. VGI Corporation, 207.
5 ., 3 .
. 30 ., 40 .
32 . 35 . . ROE
TSR (total shareholder returns).
.

ROE=5/30=16,67%
TSR=(3 + 35 - 40) / 40= - 5%
3.8.
?
. : ,
, "", .
3.9. (ROS) ,
(ROA) , ,
()?
. ROS .
3.10. ""
(ROE),
(ROA)?
. ROE .
3.11. 204 . 345 . .,
, 360 . .,
?
. 204 . 3,6 360 . ., ..
1296 . . , : 1296 . . - 1036,8
. . = 259,20 . .
, , ,
.
18% ( )
, .. 0,18 72 . . = 12,96 . .
- EBIT = 0,3 360 . ., .. 108 . .
, - 87,26 . ., 40%
: = 0,4 (108 - 87,26) = 8,296 . .
, 0,6 (108 - 87,26) = 12,444 . .
GPC 30% ,
0,7 : 12,444 . .= 8,711 . .

= - -
=259,2 . .-8,711 . .-12, 96 . . =237,529 . .
3.12. ,
?
. .
3.13.
?
. , - ,
.
3.14. ?
. , ,
,
.

3.1 3.8 . Ruffy Stuffed Toy 207 .
(.);



-

, ( )

27300
35000
57000
119300
25000
(2500)
22500











( )




16000
(2000)
14000
36500
155800

65000
3000
1500
25000
94500
45000
16300
61300
155800

Ruffy Stuffed Toy, 208 .


. 12000 .,
9000 .
.
b. 115000 . 316000 ., .
. - 207000 .
d. - 225000 .
. 43000 .,
f. 23000 .
g. 7500 .;
1500 . , 207 .
h. 79000 .; 3000 . ,
207 .
i. 4000 .
j. 270000 . , .
k. , , 10%. 31.12.208 .

- 20 ,
. 207 .
b. , , .
. 207 .
. , ,
, .
d. 35%. , 3i.l2.20x8
.
. ( ) 10% .
f. 250000 .
g. = + ,
,
- .
h. = + -
,
i. - = +
- .
j. 31.12. 2008 . 4 5/8,
- 20000 .
3.1. Ruffy Stuffed Company 31.12-208 .
3.2. Ruffy Stuffed Compan 208 .
3.3. 208 .
3.4. :
(ROS), (ROA) (ROE).
.5. :
, -
.
3.6. "" ;

,
( ).
3.7. 208 .?
3.8. /
,
3.9. ,
Computronix Corporation Digitek Corporation 1996 ( , ,
.):
Computronix
Digitek

153,7
239,0

40,0%
30,0%
(EBIT)
317,6
403,1

54,7
4,8
( )
2457,9
3459,7

3379,3
4537,0
( )
1113,3
2347,3
(.);

15,0
38,0
.
12,0
40,0

200,0 .
100,0 .
, ,
.
3.10. ( .).

206 .
207 .
208 .

1200000
1500000

750000
937500

450000
562500
()

50000
62500

72000
90000
48000
60000


15000
18750
265000
331250
(EBIT)


106000
113000

159000
218250
( 35%)
55650
7638

103350
141863
( 40%)
41340
56745
62010
85118

206 .
207 . 206
.


300000
375000

200000
250000
-
700000
875000

1800000
2250000

3000000
3750000


300000
375000
( 500000
989362

10%)

( 800000
900000
7%)


1000000
1100000

300000
375118

3000000
3750000
. , 207 . 206 .
.
b. , 207 . 206 .
. ROE 207 .?

d. 207 .?
?
. ( ) 208 .,
.
15%
1.01.208 . 100000 . .
( )
208 . , 1.01-208 .
.
208 . 30%.
1) ROE 208 .?
2) 208 .?
3) 40% , . ,
100000 . , .
208 .?
f. , 38%.
, , .
3.11. (,
35 ), 3.10, .
. , , 207 . 208 .
10%. ?
b. 209 ., ,
209 . 20%. , 208 .
209 ,?
.
3.12. , 208 .
209 . Give Me Debt Company
50 ., 25 .
40 . ,
,
.
. ,
209 . ?
. Give Me Debt Company ,
?
3.13. ,
.
, .
,
(, 10 12%)
.
,
.

( ).
, .

.
, .

.

.
3.14. , 208 .
209 . Cones 'R' Us,
, ( .):

208 .
209 .
(EBIT)
100

25

75
(
50

20

30

800
1000



80
100

300
450

420
450
25 .
8,33%, 300 . 208 . 300 450
.,
:

= -
-
. ,
.
, ,
, 209 ., ,
?
. , ? .
3.15. , 209 . 20 .,
208 . 450 . ,
0,8
.
. ?
b. , 6 .
?
. , 12 .
(20 .) , ?
d. ,
, ?
3.16. .
. , , .
,
. , ,
20 ,
( 5 ), 15
.
, ? ?
b.
, ,
. ,
,
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?
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. 2000 . 05.04.202,
( ) , .
,

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d.
,
( ), ,
, . ,
.
, : (1) ? (2)
,
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. , , ,
,
.
f. ,
?
3.17. :
.
b. ,

. , ?
3.18.
,
, .
. 1 200 20000 . 10000
. .
b. 1 200 General Financing Services Inc.
. 4000 . ,
.
. 31 ,
.




,

200

,
GFS

4 000
1400
500
150
200
300
150
1750
650

d. 1 20000 ., 5000
., 15000 . GFS 1% . 36
498,21 .
. ,
. ?

?
3.19.
,
. Preview Trover Web- Excite,
-.
AirTran.
, , ,
, . ,
(, www.quicken.com), , , ,
AirTran?
?

II

4


...

, ,

4.1.
4.2.
4.3.
4.4.
4.5.
4.6.
4.7.
4.8.
4.9,
4.10.
4.11.
,
. ,
, ,
.
(time value of money, TVM)
, (discounted cash flow, DCF), .
(TVM) :
(, ) , ,
. , , ,
. ,
, , .

- .
.
, : .
.

4.1.

.
, , ,
(present value) , (PV) (future value) (FV).
,
. , ,
1000 . (PV) 10% . ,
,
, 1000 . 10%
.
:
PV , .
1000 .
i , . 10% ( 0,10
).
, .
FV .

. -,
? 1000 ., ,
100 . (10% 1000 . 0,11000 .). ,
, 1100 .:
FV = 1000 . 1,10 = 1100 .

1100 . ,
? 10% 1100 .
0,10 1100 ., 110 . ,
1210 .
,
(1210 .) .
1000 . , , 100
. 100 . . ,
, (simple interest) (200 .
). , 10 ., ,
100 ., .
, ,
(compound interest). (210 .)
(200 .) (10 .).
, 210 .
, . , , ,
.

1,1 ( 1,10 , )
1,1:
FV =10070 . 1,11,1 =1000 . 1,1 =1210 .


FV = 1000 . 1,1 1,11,1=1000 . 1,13 =1331 .

, ' ;
:
1000 . 1,1 1,11,1 1,1 1,1 =1000 . 1,15= 1610,51 .
, . 1000 .
10% 1610,51 .
610,51 ., 500 .
110,51 . - .
4.1
5-,
? ?
, . 4.1,
.
, , ,
, 10%. , ,
. 4.1, ,
, .
(100 .),
-

, 10%
.
4.1.

1
2
3
4
5

(.)
(.)
1000,00
100,00
1100,00
110,00
1210,00
121,00
1331,00
133,10
1464,10
146,41

610,51


(.)
1100,00
1210,00
1331,00
1464,10
1610,51

. . 4.1 . 4.1. 1000 .


10% ,
, 100 ., .
.
, i ,
1000 . :
FV=1000(1+i)n

(4.1)

(4.1), PV (1000 .),


1 .
(future value factor). 1610,51.
:
= (1 + i)n
!0%
, (1610,51).
, 500 .,
10% , : 500 .
1610,51 = S04.254 . ,
, . . 4.2 . 4.2
.


. 4.1.

4.1.1.
,
1000 . 10% .

1. 1000 1,1 :
1000 . 1,11,11,11,11,1 = 1610,51 .
, .
() , .
, :
1000 .1,15 =1610,51 .
4.2. 1 . .


, 2%
4%
6%
8%
10% 12%
n1
1,0200
1,040 1,0600 1,0800 1,1000 1,1200
2
1,0404
1,081 1,1236 1,1664 1,2100 1,2544
3
1,0612
1,124 1,1910 1,2597 1,3310 1,4049
4
1,0824
1,169 1,2625 1,3605 1,4641 1,5735
5
1,1041
1,316 1,3382 1,4693 1,6105 1,7623
10
1,2190
1,480 1,7908 2,1589 2,5937 3,1058
15
1,3459
1,00 2,3366 3,1722 4.1772 4,4736
20
1,4859
2,191 3,2071 4,6610 6,7275 9,6463
1
. . 4.2 , 4,3 1 .
. ,
.
1 .:
FV= (1 + i)n
i , , a n .

1 3
5 7
9 11 13 15 17 19
. 4.2. I
, ,
. . 4.3
.

(n), (i) (PV),


(FV). , ,
. ,
Lotus Excel, .

. 4.3.
2. ,
. 4.2. ,
5 i 10%. ,
1,6105. 1000 .
.
3. , ,
,
. 72 (Rule of 72). , ,
, (" "),
72, , :
e =

72

, 10% 7,2 , .
1000 ., 7,2 2000 ., 14,4 4000 ., 8000 . 21,6 ..

4.1.2.
20 , 100 . 45
8% . 65 ?
, ?
, 9%,
65 ?
:
FV = 100 .1,0845 =3192 .

100 .,
3092 . 45
0,08 100 ., 360 ., 2732 .
, 9%, :
FV = 100 . 1,0945 = 4833 .
, 1%
, 1641 . (.4833 . ~ 3192 .)
65 . 50%- (1641 ./ 3192 . = 0,514).
,
.
, 72
. 8% 100 .
9 . , 45 5 ,
3200 .:
100 . 2 2 2 2 2 = 100 .32 = 3200 .,
3192 .
9% 8 . 45
5,5 (45/8 = 5,625). , 50%
, 8% : 1,5 3200 .= -4800.
4833 .

4.1.3.
. 10000 .
.
.
7% ,
6% . ?
, ,
.
(reinvestment rate), .. , ,
(.. ),
. , ,
8% .
, ,
.
, .
;
FV =10000 . 1,07 -11449 .

:
FV =10000 . 1,061,08 =11448 .
, .

4.1.4.
,
, 100 .,
. ,
6% .
,
. ,
. ?
, :
FV - 100 .1,0650 = 1842 .
4.2
1626 (Peter Minuit)
, 24 .
6% ; ,
, 1996 , .. 370 ?

4.2.

, (annual percentage rate,
APR), ( 6% ) (, ).
,
. (
) (effective annual rate, EFF),
.
,
(APR) 6% , . ,
; APR.
, 0,5% ( 0,005
).
EFF ,
. :
FV =-(1,005)n =1,0616778
.
EFF=1,0616778-1=0,0616778 6,16778%

:
EFF= ( 1 APR
+
m

)m (4.2)
1

APR , .
. 4.3 ,
6%
.

,
. ,
,
, .
, (1 + APR / )" "", 2,71828 (
). e= 1,0618364. ,
, EFF = 0,0618365, 6,18365% .
4.3. APR 6%

1
2
4
12
52
365


6,00000%
6,09000%
6,13614%
6,16778%
6,17998%
6,18313%
6,18365%

4.3
,
12% .
?

4.3.
4.3-4.6
:
" 10 , 8% ?" (:
FV = 2159 . !)
, , ,
. ,
15000 . , ,
? ,
.

. , ,
, .
, .
1000 . 10%
. , ,
1000 . 10%, ,
1,1 . ,
:
1,1 = 1000 .
, :
= 1000 . /1,1= 909,09 .
, 10% ,
909,09 . , 1000 . .

, 1000 . . , ,
10%, , 909,09 .,
10% .
,
:
1000 . = PVx1,12 = PVx1,21
:
PV = 1000 . /1,12 = 826,45 .
, 826,45 ., 10% , 1000 .
.
, ,
, ,
. ,
, .
.

. ,
,
, (discounted cashflow (DCF)
analysis).
1 . , i
, :
PV=

1
(1+i)n

(4.3)

() 1 .
i .
1 .,
10% , :
PV = 1/1.15=0,62092 I, I
1000 .
10%, 1000 . 620,92 .
, ,
. 4.2,
, .
, . ,
1000 ., 10% ,
. 4.2 , 1,6105, 1000 .
:
1000 ./1,6105= 620,92 .
, .
4.4, , , . 4.2.
. 4-4 10%
, 0,6209.
1 . :

PV=

1
(1+i)n

i , , .
4.4. 1 .
, i
, 2%
4%
6%
8%
10%
1
0,9804
0,9615 0,9431 0,9259 0,9091
2
0,9612
0,9246 0,8830 0,8573 0,8264
3
0,9423
0,8890 0,8396 0,793 0,7513
4
0,9238
0,8548 0,7921 0,7350 0,6830
5
0,9057
0,8219 0,7473 0,6806 0,6209
, ,
,
, 1 . . , , 10%
1 . 0,9091 .,
, 20 , 0,1486 .

4.3.1. 100 100


100 .,
.
.
"", , 100 .
, 8%
, ?
?
100 .,
8% . ,
. :
V=100 ./1,085
, 100
1,08 68. ( ,
, 4.3), n, i FV,
, PV.
1 , . 4.4. ,
8% 5 , 0,6806.
100 . , 68 .
. ,
. ,
68 ., ,
, 100 . 68 .
, 8% .
4.4
100 .,
6% ?

4.4.

4.3-4.6
,
, .
, ,
, ( ) :
FV=PV(1+i)n

(4.4)

,
, ,
.
(NPV).
(.. ,
), . NPV
. ,

. , "
". (
) ,
.
NPV : "

. , WF.
, NPV .
, ,
100 . 75 .
8%
. ?
, HPV
. 75 . (
, ).
? ()
100 ., . ,
, ,
, .
NPV
, (opportunity cost
of capital), (market
capitalization rate). ,
,
, .
, , ,
, 8% .
, ,
.
, (,
),
.
N

PV

FV

100

PV= 68,06

, .
, FV, , i , , PV.

.
:
PV=

100 .
1.085

=68,06

68,06 . 75 ., , ,
. , NPV , 68,06 .-75 . =-6,94
., .. .
,
. , NPV ,
. ,
, 7 .
, ,
. ;
, ,
. ,
, , ,
, ,
( )
, NPV .
, ,
NPV.
( 75 .,
100 .)
100 .
8% .
, ? ,
, :
n
5

i
8

PV
75

FV
?

FV=110,20

, ,
:
FV = 75 . 1,085 = 110,20 .
, , 100 ,
. ,
.
, ,

. , ,
, NPV.
,
NPV: " ,
, ".

. ,
8%
. 75 . ,
100 . ?
, i , :
75 . = 100 ./(1 + i)5
, ,
(yield to maturity), (internal rate of return, IRR/
,
.
, IRR , NPV . ,
, NPV (.. IRR) ,
, , NPV
. , IRR , , 10% (.. NPV np 10%
), 8%
. ? , NPV .
, ,
. , NPV 10%,
8%. 10% IRR 8%
, NPV 1.
i , PV, FV, i.
N
5

I
?

PV
-75

FV
100

i=5,92%

"" 75 . , PV,
( ).

"". ,
( "-") ,
.
,
, , , .
, (",
:
100=75 i(l+i)5
(1+i)5 =100/75
i =(100/75)1/5 1 = 5,92%
, (IRR) 5,92% .
8%, ,
. , .

NPV , ,
, .. .

.
: "
, , NPV ".
1

, .

, ,
: ( ).
. , FV 100 ., PV 75 .,
8%. n?
75 . =100 ./1,08n
PV, FV, i :

1
S

PV
-75

FV
100

n = 3,74

, 3,74 . ?
, ( 8% ), 3,74
, 75 . 100 .
: "
".
, ,
75 . 100 . .
, , - IRR,
" " .
,
NPV .

4.4.1.
10000 . ,
20000 . 8%
, ? :
" , (NPV) .
, NPV ".
20000 .,
? FV, n, i
PV.
10000 . ,
.
n
5

i
8

PV
?

FV
20000

PV= 13612

, 13612
. 10000 . , . NPV
3612 .
4.5
,

.

4.4.2.
,
- .

. ,
, 5000 . , .
12% . ,
, 5000 ., 9000 . 4 .
?
, , ,
. ,
( ) ,
5000 . , ,
9000 ., ( ).
, NPV .
12% (
). . ?
n
4

i
12

PV
?

FV
-9000

PV=

, (
) 5719,66 . , NPV 5000 .-5719,66
.=-719,66 .<0. , ,
, . .
, ?
, i:
5000 . = 9000 . /(1 +i)5
, :
n
4

i
?

PV
5000

FV
-9000

i= 15,83%

, i = 15,83% . .
, , , IRR
. 15,83%. , IRR
; , IRR ,
. ,
(.. ,
).
, ,
(.. ,
, )
: " , IRR ,
".
, IRR
, . IRR
IRR .
.

4.5.
. ,
. , ? ,
4.3-4.6 ,

, ,
. ,
, , ,
. ,
,
.

4.5.1.

(time line), . 4.4.
"" ,
( ), ,
( ). 100 ( 0
) 20 , 50 , 60
.

4.5.2.
, .
, 1000 . , 10% ,
. ,
?
1000 . 1100 . .
1000 ., 2100 .
1,1 x 2100 ., 2310 .
2310 . .
1000 .
. :
1000 . 1,12 = 1210 .
:
1000 . 1,1 = 1100 .
, 2310 .,
1,1.
4.6
, 1000 . , 2000 .
. ,
10% ?

. 4.5.

4.5.3.
, ,
. , 1000 . , 2000
. . 10% ,
, ?
,
. 4.5.
,
.

4.5.4.
, ,
1000 . 2000 . . 2500
. , .
, 10% ?
, . ,
, , . 4,5
1000 . 2000 . - ,
, 2562 . ,
. ,
, 2500 .,
62 . , , ,
NPV . , .

4.6.
,
(..
) .
, (annuity).
,
, .
.
,
- ,
,
(immediate annuity). ,

, (ordinary annuity).
. ,
,
, .

4.6.1.
, 100 .
. ,
10% ? , :
FV=100 . 1,13+100 . 1,12 +100 . 1,1
100 .
:
FV=100 . (1,13+1,12 +1,1)
364,10 .
. , 100 .,
1 . .
,
.
, ,
( payment).
i, , , PV.
,
.
n
3

i
10

PV
0

FV
?

100

PV = 8559,48

, ,
, , .
100 . . . 4.6
, .
, ,
. , FV
FV , 1 + /.
1 .
:
PV=

(1+i)n-1
i

, 100-
364,10 . ,
( ), 331 .
( ).
, ,
,
. , . 4,3, BGN.

. 4.6.

4.6.2.
.
, , 10%
, 100 .
? .

100 .:
PV = 100 ./1,1+100 ./1,12 + 100 ./1,13
100 . :
PV = 100 . (1/1,1+1/1,12 + 1/1,1)3
348,69 .
, 100 ., -
1 ., 10%. . 4.5
, 248,69 . ,
, 100 .
.
1 .

PV=

1 - (1+i)-n
i

, i, PMT PV.
n
3

i
10

PV
?

FV
0

PHT
100

V= 248,69

4.6.3.
65 ,
( ) . 10000
. 1000 .
. 8%
80 , ? ,
? ,
?
4.5. , 248,69 .
100 . 3

248,69
1,1



100 .
273,56
173,56

2
3

173,56
90,91

1,1
1,1

190,91
100,00

90,91
0,00



( ) (10000 .).
, . 15 1000 . ,
66 80 . 15
8% 8559,48 .
n i
1 8

PV
?

FV
0

PMT
1000

V=8559,48 .

, , 15 1000 .
, 8559,48 . ,
8% . , ,
, :
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.
,
, Wf
. 5,56% .
, , , V i.
n i
1 ?

PV
-1000

FV
0

PMT
1000

i=5,56%

, 5,56% ,
10000 . 1000 .
15 .
, ,
, :
, NPV ? 21 .
,
i, PV.
n
?

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8

PV
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0

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n=21

; 21 ,
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.

4.6.4.
.
100000 . , ,
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12% , ? (
, I %
.) 15-
1100 . ? 30-

, 1 ( = 360
) \%. 1028,61
. . :
n i
360 1

PV
-100000

FV
0

PMT
?

PMT=1028,61 .

, 30 ,
1 028,61 . , 1100 . 15-
. 15 -
180 . 0,8677%,
10,4%. , :
n i
360 ?

PV
100000

FV
0

PMT
1100

1=0,8677%

15 , , .

4.7.
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(perpetuity). - , .
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( )
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100 . . 10 ,
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1000 ., 1100 .
100 ., 1000 . . ,
18%
, .
,
:
PV = C/i
, a i , .
n =

4.7.1.
, ,
8% .
Boston Gas and Electric Co, 10 .
, 100 . .
BG&E?
.
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100 .:
= /
10% (.. 10 ./ .). 10%-
8%- ,
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.
.
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,
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C1
i-g

C1 , a g .
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:
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=1000./0,05
=20000 .
20000 .,
.

4.7.2.
, ,
, 3% .
1 . .
10% ,
?
PV ,
10% .
.
:
PV=1 . /(0,10- 0,03)
=1 ./0,07
=14,29 .

4.8.
. , ,
.
: .
. ,
, , ,
, , ,
, .
, 100000 . 9%
.
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9% :
n
3

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0

, 39504,48 . 39504,48 .
?
9% , , ,
0,09;< 100000, 9000 . 39504,48 ., 30504,48 .
100000 . ,
100000 . 30504,48 ., 69 494,52
.
(amortization).
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? 9%, ,
, 0.09 69 494,52 ., 6254,51 . 39504,48 .
33250,97 .
69494,52 . , , 69494,52 .
33250,97 ., 36243,54 .
, 36243,54 .
(.. 1,09 36243,55 . = 39504,47 .). . 4.6
(amortization schedule) .
, 39504,48 . ,
, , , ;
.
4.6. 9%
(.)

1
2
3

100000
69495
36244

39505
39505
39505
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9000
6255
3262
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30505
33251
244
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0

4.7. 12- 1%

1
2
3
4
5
6
7
8
9
10
11
12

1000,00
921,15
841,51
761,08
679,84
557,79
514,92
431,22
346,68
261,30
174,07
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88,85
88,85
88,85
88,85
88,85
88,85
88,85
88,85
88,85
88,85
88,85
88,85
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10,00
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8,42
7,61
6,80
4,98
4,15
4,31
3,47
2,61
1,75
0,88
66,20

78,85
79,64
80,43
81,24
82,05
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83,70
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86,24
87,10
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1000,00


921,15
841,51
761,08
679,84
597.79
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4.8.1.
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: " APR 12% ,
.
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6,62%".
?
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. 4.7.

4.9.
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.). ?
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:
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NPV ?
NPV ,
6%:
n
5

i
6

PV
?

FV
0

PMT
6000

PV=25274 .

10000 . , NPV= 15274 .


NPV , :
n
5

i
4

PV
?

FV
0

PMT
575000

PV=2559798

PV 0,01
. , PV ( 25598 .).
10000 ., , NPV 15599 . ,
, .
, , PV ,
(6% ), NPV, ,
14221 . .

4.10.

2

, , ,
. .

. 4.10
, ,
. .
20 100 . 8% .
, 100 . ,
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, . ,
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. , . ,
,
, .
.
,
, .

2 ( 2.6.5).
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, :
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1 +

(APR)

:
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.

4.10.1.

. , , ,
, .
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, 65 .
, , ( )
, 65 .
. ,
100 .,
2,857% 45 .
(real future value).
=100 .1,0285745 = 355 .
.
(nominal future value),
8% :
FV 45 = 100 . 1,0845=3192 .
, 45 ,
5% :
45 = 1,0545 = 8,985
, ,
:

FV=

3192 .

= 355 .

8,985

. , 100 .
( 20 ) 45 , ,
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, 355 . .
, (355 .).
1. .
2.

.
, .

4.10.2. : 1
10 , ,
. 15000 .
5% . 8000 .
8% , ,
? 8000 . (
8% ) , :

FV 8 = 8000 . 1,088 = 14807 .


14807 . 15000 ., ,
8000 . ,
.
. , ,
. , 5% ,
15000 . 1,058, 22162 . ,
14807 . , .

4.10.3. ,

10000 . , :

8% ,
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. ?
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.
, , ,
. ,
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4.10.4.

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, .
8% , .
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80 .
1000 . , "" ,
, ,
, .

4.10.5.
, ,
. ,
, . ,
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10000 .,
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PV=10000 ./1,084-7350 .
, 7350 .,
.
. , , 10000 .,
. ?
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.
, ,
. ,
:
=



1+

0,08-0,05
1,05

=0,02857=2,85
7%

10000 ., :
PV = 10000 ./1,028574 = 8934 .
, 12155 .,
, 8% :
PV = 12155 . /1,084 = 8934 .
: 8934 .
,
. ,
( 7350 .), ,
10000 . , 8% .

4.10.6. : 2
: 10 ,
, .
15000 .
, , ,
-. ,
3%?
.
, ? ""
, ,
.
, 15000 . , 3%
, , 3% .
, , 15000 . 3%
:
PV = 15000 ./ 1,038=1841 .

15000 ., 8%
, :
PV =. 15000 . /1.088 =8104 .
,
.
: tie

.

4.10.7.
,
. ,
, , ,
, . ,
, , ,
.

4.10.8. : 3
10 ,
.
15000 . (
) ,
. ,
3%,
?
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i
3

PV
0

FV
15000

PMT
?

1636,85
.
, ,
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, , . 4.8.
,
, .
, , . ,
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, 15000 .,
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. 22162 .
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. 4.9.
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3
4
5
G
7
8

1686,85 .
1666,85 .
1686,85 .,
1686,85 .
1686,85 .
1686,85 .,
1686,85 .,
1686,85 .

1,05
1,052
1,053
1,054
1,055
1,056
1,057
1,058

1771,19 .
1359,75 .
1953,74 .
2050,38 .
2152,90 .
2260,54 .
2373,57 .
2492,25 .

4.9.

1
1686,85
1771,19
1,0815
3065,14 .
6
2
1686,85
1859,75
1,0815
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3
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4
.
.
4
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5
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6
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.
.
7
1686,85
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.
.
8
1686,85
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1
2492,25 .
22161,90 .
, , 3% ,
8,15%:
1 +
1 + =
1 +
1 + =
(1 + ) (1 + )
= +
+
= 0,03+0,05 + 0,030,05 = 0,0815

(8.15%), . 4.9, ,
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.
10%
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. 1,18, 32154 .
15000 .

4.10.9.
,
.

, , ,
, , -
. ,
,
, . ,
2000 .
,
500 . , , ,
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6

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6.1.
6.2. ?
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6.5.
6.6. 6.7.

6.8.
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6.3. :

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(net present value rule). -53 (net
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.
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Generic Jeans Company, ,
Protojeans (
Protojean).
100000 .
. ' ,
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0
1
2
3

( .).
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50
40
30

. 6.1. Protojean
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.
NPV . 6.1.
4404,82 . , , Protojean,
Generic Jeans Company 4404,82 .
6.1. NPV Protojean

(1) (2)
0
-100000
1
50000
2
40000
3
30000


8%
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(4)
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6.2
,
Protojean 10000 . 30000 .
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6.4.

6.4
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.
.
,
. ,
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1000 ,
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1000

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250
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18500000 .

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2200000 .

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6.3
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,
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6.6.

(sensitivity analysis)
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Excel, Lotus 123 Quattro Pro (. . 6.3)
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0
1
2
3
4
8
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9
10
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3100000 3100000 3100000 3100000
11
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12
$ 400000 $ 400000 $ 400000 $ 400000
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$ 900000 $ 900000 $ 900000 $ 900000
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1300000 1300000 1300000 1300000
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18
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20
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22 NPV
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5
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6
$

7
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$3100000 $
3100000
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$
$ 400000 $ 400000
$
$
$ 600000 $ 600000
$ 900000 $ 900000
$
$
1300000 1300000
$
$
-

$ 3100000
$
$ 400000
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$ 3500000

6.4. NPV 1000


(


2000

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3000
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1003009 .
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( 20). NPV 22.
. 6.4 . 6.2 NPV .
. 6.3 NPV.

( )
6.2 NPV PC 1000

6.6.1.
: " NPV ".
(break-even point) , ,
, .
6.2 , 3600 .
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, NPV.
,
1003009 .
:
i
PV FV
7 15 -5 2,2 ?
= 1003009
(Q), .
, , Q 3604 :
() = +
= 0,6 (1250 Q - 3500000) + 400000 = 1003009
Q =4505015 / 1250 = 3604
6.5
1000,
25% , 15%?

6.6.2. NPV
, 5% ? . 6.5.
( ) 5% ,
. ( ), , 5% .
( ) ,
. NPV 1235607 . 2703489 .

6.7.

6.7
1000 .
, .
6.5. 1000 5%-

1
:
2

15%
3
4000
4

5%
5

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6

7
0
1
2
3
8

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$
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9

10
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11
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$
12
$ 400000 $ 400000 $ 400000
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$
$
14
$ 600000 $ 700000 $ 805000
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$ 900000 $
$
16
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$
$
17
$
$
$
$
18 $
$110000 $115500 $ 121275
19 $
20
$
$ 110000 $ 115500 $-121275
21 $
$1190000 $
$
22 NPV
$

4
$

5
$

6
$

7
$26801913

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$
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$
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,
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, . 6.6
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.
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5000000 .
1000000 .

(33%)

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300000 .

0
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2000000 . 2000000 .

1000000 . 1400000 .

400000 .

1000000 . 1300000 .

300000 .

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433333 .

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i
PV FV
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0
6000 V=2274472 .
00
600000 . 10% , ,
2274472 .
NPV = 2274472 - 2000000 = 274472 .
, 2 .
. NPV 274472 . ,
.
6.6
,
650000 ., 700000 .
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6.8.
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,
.
, .
, ,
.
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,
(annualized capital cost).
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. .
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10% , , 527595
.:
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PV
FV PMT
0
?
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200000
10 , 4 . .

?
n i
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10 10 -

FV PMT
0
?
= 650982

, , 2 . . ,
,
.
6.7

, 4 .
., , ,
2 . .?

6.9.
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. : ,
,
.
NPV. , , IRR,
.
,
. , 20 . .
, , 10000 .
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24 . . IRR 20% (24 . . - 20 .
. /20 . .). ,
10000 .
. IRR , , 100%
. ?
IRR , ,
20% NPV
. , 15%, NPV
869565 ., NPV 56667 .
, 15%,
, .
. 6.3 NPV .
, NPV ( ),
, NPV . ,
20% "
. 20%
NPV, 20%
NPV .
, IRR
, , IRR
(scale).
IRR,
.
,
NPV, . , ,
200000 .

200000 . . NPV
20 .
6.8
NPV
NPV ?
: NPV IRR


. 6.3. NPV

6.10.
,
. ,
2 . .
( )
600000 . . 10% .
, NPV 274472 .
n
5

i
PV
10 ?

FV PMT
0
60000 V=2274472

NPV = 2274472 - 2000000 = 274472 .


, 6% .
. 6.7.

.
.
,
,
. - , ,
. ,
.

, ,
. ,
14% 6% ,
8% .
. NPV.
1.
.
2.
.
.
NPV IRR, ,
10% :
NPV = 274472 .

NPV , .
. , '

( ).
16% 10% -
.
6.7. 6%-

1
2
3
4
5

(6%- )
600000
636000
600000
674160
600000
714610
600000
757486
600000
802935

,

, ,
.
:
= (1 + ) (1 + ) - 1
, 16,6%, 16% :

== 1,1 1,06 - 1 = 0,166 16,6%


16,6%
. 6.7 NPV 274472 .
. ,
,
AW (.
).
. IRR,
, .
6.9
,
8%, 6%.

.

,
.
,
(, , ).
, ,
: ,
.

, .

, ,
, NPV
, .
,
,
.
,
, .
, ,
, .

.
, . (1)
, (2)
.

(net present value), 232
(cost of capital), 232
(sensitivity analysis), 238
(break-even point), 240
(annualized capital cost), 2

6.1. ,
?
. :
, (, II, III, IV ..).
(, ).
6.2. ,
Protojean 10000 . 30000 .
, -
8%, NPV?
. Protojean :

0
1
50

100

2
40

3
10

NPV 8% = -11471,83 .
6.3. NPV PC 1000,
4000 . , 3750 . ?
. 1000 4000 .
, 3750 .,
.
(4000 5000 . )

(4000 4000 .
19500000 .

20000000 .
3500000 .
16000000 . )
500000 .

(40%)

200000 .
300000 .
700000 .

,
600000 . ,
1 . . (4000250 . ).
0,4, 0,61 .
., 600000 . ,
NPV

i
PV FV PMT
15 i
2,2 0,7

NPV =PV -5 . .
= 3,739355 . - 5 . = -1,260645 . .
, 4000 . ,
.
6.4. ,
Compusell 12% .
NPV 10001
.
, .
6.5. 1000
25% , 15% ? . NPV
0 25% ,
1435757 .
, :
n i
PV FV
7 25 -5 2,2 ?
T
=1435757
(Q),
. ,
Q 4181 :
= +
= 0,6(1250 Q - 3500000) + 400000 = 1435757
Q= 5226262 / 1250 = 4181
6.6. ,
650000 ., 700000 .
- ? . ,
:

5000000
1000000
2000000
1000000
1000000

5000000
0
350000 . -650000 .
2000000
0
1400000
400000 .
1250000
250000 .

(33
1/3%
)

( +

333333 .
666667 .
1666667
.

416667 . 83334 .
833333 . 166666 .
2233333
566666 .
.

, 650000 . ,
566666 ., 600000 .
, 33333 . NPV
, - .
n
5

i
10

PV
?

FV
0

PUT
56666 PV =2148110

NPV = 2148110 - 2000000 = 148110 .


6.7. ,
4 . ., , , 2
. . ?
. 527595-
, 14,89
. , :
n
?

i
10

PV
FV T
0
52759 n = 14,89
4000000
5
, , ,
14,89 . , 15 .
6.8. NPV
NPV ?
. NPV 56667 .
10000 ., 869565 ;
,
NPV, 869565 ., :
= 869565 / 56667 = 15,345
, 15%
15 , NP
, .
6.9. ,
8%, 6%.
.


1
600000
2
600000
3
600000
4
600000
5
600000


8%)
648000
699840
755827
816293
881597

NPV = 2274472 - 2000000 = 274472 .


= 1,1 1,08 -1 =0,188, 18,8%

6.1-6.6
1.
(.
. )



1
1
5
2
2
4
3
3
3
4
4
2
5
5
1
10%.
10 . .,
?

2. 10 . .
. , 4
4 . . . ,
40%
.
( )
?
( ) 15% , ?
IRR NPV ?

3. Tax-Less Software Corporation
400000 .
. .
, 60000
20 . .
200000 . , 12 . .
(
),
, . 1/12
. 15% ,
34%. NPV ?
?

4. Healthy Hopes Hospital Supply Corporation 500000
. . V00 .
600000 . 2 . .
, , 200000 . ,
-*101 1,20 . .
(
),
. 15% ,
34%. .
. , .
b. , 500000 .
( ) 15%.
. IRR, NPV ( ,
),
600000 .
d. , NPV .

. .

5. 's Ski Shop , ,


. ,
2000 . 25000 .,
10 .
, .
10000 .,
3000 .
1 . ( ) 1
, ? , j
50% (.. -1 50%).
.
b. IRR .
. , 12%,
.
d. , 12%?
. PCs Forever , .
.
,
.
1000000 .: 800000 . ,
4 , 200000 .
, , 1800 . ,

1000 . ( )
100000 ., i4UO .
. (
)
. 12% ,
40%.
. .
b. NPV .
c. NPV ?

7. Patriots Foundry (PF)

(Paul Revere). 40000 .
( , )
.
. 3000
10 . . 1 . ,
( ) 2000 . . PF 10%.
. 40%.
. , .
b. NPV . ?
. .
,
6% , , , ,
. , 10%.
d. .
.
?

f. NPV ?

8. ,
, NPV.
. ,
.
b. ,
.
. ,

.
d. , .
. , .
f. , 10 . .
, 12 . . 5 . . .
g. ,
.
9.
. ,
c .
5000 . .
55000 .
10000 .
15000 . ,
.
,
65%, 75%.
8,5%.
?

10. .

.
. .
b. 15%,
34%,
. .

15000

300

1
10000
3000

2
10000
3000

10000
3000

4
10000
3000

5
10000
3000

3500

3500

3500

3500

3500

.350

400

300

200

11. Leather Goods, Inc.


. 50000 .
15 . 3% .
10 .
5% . 400000 .,
. (

). 15%,
34%. NPV ?
12. Steiness Danish Ham, Inc. ,
. 1242000 , (
) .
138000 . ,
345000
. ,
172000 - , .
.
34%, 12%, NPV ?
Hu's Software Design, Inc. ,
,
. 80000 .,
.
35000 .,
, 5%. ,
7000 .
35%, 14%,
?
14. , s Software Design, Inc.,
, . 80000 .,
5 . 10000 . .
135000 . . 13000
.
.
.
.
, " ".
35%, 11%,
?
15. Vogel's Classic Autos ,
. , ,
.
, .
.
. ,
. 100 1 .
3%, 7%.
40%, 34%. , ,
, .
,
. ,
.

()
()

1
2

4
50000000 60000000 40000000 20000000
50000
100000
75000
75000

60000
105000
90000
75000

40000
85000
60000
65000

20000
50000
30000
55000

16. Wigit, Inc.


. , ,
. 17%,
3%. . , .
. . ,

, . ?
0
1
2
3

1
-100000
30000
60000
75000

2
, -90000
25000
55000
80000

17. Wigit, Inc. NPV


, .
400000 ., (
) .
, ,
, 35000 . ( ).
225000 . : 1)
25000 . ( ).; 2) 60000 . (
) 3) 30000 . ( ).
: 1)
5% ; 2) ; 3)
2% . 1%
1% .
: (1)
-20000 ., (2) -30000 ., (3) -10000 ., (4) 20000 . (5) 40000 .
9,5%, 3% 35%.
jttg. Finnerty's Brew Pub ,
.
65000 . 10 . , 10
.
30000 . ,
( 3%). 15000
. .
12%, 6%.
34%. ?
19. A. Fung Fashion, Inc. ,
100000 . 15% .
. , ,
?
, 5%
?
. , 5%
?
20. - ,
.
- . ,
, 50000 .
,
, -
5000 .

. - 50 .
5%.
3500 . 3%
. ' ( , )
' 3,5%. 6%,
9%.
, NPV .
1 2

100 115 130 140

2080 2080 2080 2080


21. Sounders' Sportswear, Inc.
. 8 . .


. 35% .
30 ., 4% (
) . 5 .
3% ( ) .
10 . 3,5% (
) .
. NPV ,
.
1 2 4

50000 10000 12500 10000

0
0
0

2080

0
20800 20800 20800
22. , Germanos Tree,


. , .
.
125000 .
65000 .
45000 .

35000 . .
. ,
4%. 3%. 0,5%
. 8%, ,
3,5%. ,
. NPV ?
23. Kitchen Supplies, Inc. ,
.
.
300000 .
50000 . . 20000 .

.
600000 .

70000 . . 15000
. '
, , 60000 .
. 35%,
10%. ?
24. Electricity, Inc. .
500000 . .

. 50000 .
600000 . .

. 55000
. 11%, 35%.
?
25. 24. Electricity, Inc. ,
, .
,
. ,
24. ?
26. Real Estate, Inc. 1 . .
30 (
). 14%,
35%. , .
, ? ,
.

III

7

...

, ,

, .
, , (
) ,
.
, ,
. , ,
500000 .
? ,
. ?
1
"", (
).
. ,
( ).

, .
,
, . ,
, ,
. ,
. 8 ,
,
, .
9
.

7.1.
, (asset's fundamental value) ,
,
.
.
,
, ,
.
, ,
, . ,

,
,
. , ,
.

7.2.


,
. ,
100 .
95 . .
, ,
.
, , , . , ,
.
. ,
.
,
. 100 .,
95 .
1

" " " "


. . .


, , . ,
, -
.
?
, 100 . 95 .
, , -
5- , , .
.
1. ,
,
.
2. ,
.
, ,
.
, , .
, , ,
.
2.
,
.
. ,
. ,
, .
-
-
?
. ,
, .
, .

, .
. ,
,
.
7.1
:
. 100 ., 25 . ,
. ?

7.3.
(Law of One Price) ,
(, ) ,
. ,
(arbitrage)
.
.
. ,

.
: - 300 . ,
-?
300 . ,
, - .
, - 250 .
- -. ,
, .

, ,

(transaction cost). 50 . , 300 . - .


, 2 . , .
. , 48 .
, ,
- -
300 .,
250 . ,
,
, "", .
- , ,
, . , ,
-,
, , , .
,
, (arbitrageurs)
, ,
.
,
-, , -
- , - , . , 2 .
. - , - ( - 300
. , - 350 .),
. - , 2 .
,
- -. ,
.
7.2
10 . ,
- 1 . ,
-?

7.4.
1 , ,
, , . General Motors
, - (NYSE). ,
General Motors - 54 .
56 . ?
,
-. .
.
- 100000 General Motors 5400000 .
( ) 5600000 .,
200000 .
, , 3
200000 . , ,
,
" ". ,
, :
. , ,
. ,
.
.
GM, NYSE.
54 ., , .
3

,
, - .

,
. , ,
, ,
(1) (2)
( ) .
, . 1 .
25- . ,
25 , .
, 25 . , . -
25- , . ,
. , ,
3 , 75 .
4 ? ,
. ,
, .
, .
. ,
, ,
. ,
, ,
.
.
, .
, . ,
, , (,
, , , ..), .
7.3
-?

7.5.
,
. , , ,
, 4% .
, ,
. ,
() (default risk).
4% .
, ,
. , .
. ,
, ,
.
,
? , ,
,
. ,
, ,
, .
, , (
, ), ,
(interest-rate arbitrage). ,
.
.
7.4
, 100000 .
3 % .
5000 ., 17%
. ?

7.6.
, .
, ,
, ,
. , , 1 . 100 , 1
200 ,
.
, ,
, . , ,
100 ., 10000 .
?
, .
10000 100 ., , ,
, 0,01 ., 1 .
, 0,009 ., 0,01
. , 10000 .
10000 , 100 . , 10000
. 1111111,11 (10000 . / 0,009 ). 111,1111
(1111111,11 / 10000 ) 11111,11 .
(111,1111 100 . ). 11111,11 .
- .
, 1111,11 .
,
, -
.
: , ,
(triangular arbitrage).
7.5
, 0,011 . 1 .
, 10000 .,
100 . , 10000 ?
: , .
, 0,01 . (, , 100 ),
, , 0,005 (, ,
200 ). ,
, 2 .
. ,
. ,
. , 200 , 200 2 .,
. -
.

, .
,
.
, ,
, , , 1 2 10 . ( 2 .). ,
- : 0,01 . = 1 , 200 = 1
2,10 . = 1 .
, ,
.
, , , 10 .
1. 200 . 20000 .
2. 20000 100 .
3. 100 210 .
, 200 . 210 .!
200 .?
2000 ., 100 ., 20 . .,
1 .
!

, .
, , , , , .
, 4. ,
.
,
,
.
, ,
. ,
,
, .
, ,
1 .
20 . . " 10 . 10 .
21 . .
, . ,
0,01 . 1 , 0,005 1
, ,
2,00 . 1 . .
, ,
, .
/ 0,01 . 1 , /
0,005 1 . / :
0,01 . 1 / 0,005 1 = 2,00 . 1
,
. ,
: , .
: /, /, / , / /
/ .
, ,
, ,.
.
,
, ,
( -).
7.6
: 0,20 . 1
0,30 . 1 .
?

7.7.

, .
, , ,
,
.
, , , .
,
. .
,
500000 .
, , , 300000 .
, , ,
200000 . , 0
.
, ,
, 300000 . .
, ,
, . , ,
4

:
.

, 300000 ., 500000 . . ,
,
200000 . (,
), (,
, ) .
,
.
7.7
, , , ,
500000 . ,
, ,
. ?

7.8.
,
. , , , ,
, ,
. , ,
,
(valuation models).
.
, , , ,
, .
,
, , , ,
.

7.8.1.
, , ,
. ,
. , ,
, . ,
, .
, , ,
.
, .
, (
), .
, ,
, , .
,
) ,
50 4% , ,
50 30000 ., 30000 . 1, 04 50= 213200
.
, ,
, .
, ,
.
, , ,
.
7.8

, ?

7.8.2.
, ,
(EPS) /

/ (price/eamings multiple)

, XYZ
XYZ 1 . , , ,
/, 10 , ,
XYZ 20 .
XYZ = EPS XYZ x /
= 2 . 10 = 20 .
, ,
, , ,
, ,
, , ,
, ,
/
7.9
5 . (EPS = 5 . ),
/ 10 (/ = 10)
?
8 9 ,
. ,
,

7.9.
, ,
,
, "", ,
, ,
, (book value)
, 1 200 100000 .
20000 .
( ) 80000 .
( )
,
. 7 .
, 100000 .,


,
, 2 - 150000 .
< 100000 . ( )
150000 .

7.1. AB
1 200

25000 .
75000 .
80000 .
20000 .

. 7 2 2 200 ,
150000 .,

,
5?
5

1, ,

, 20000 .,
, ,
( ) 70000 .
,
,
, .
7.10
, 3 80000
. ? ,
?
7.2. ( )
2 200 .

150000 .
80000 .
70000 .

7.10.
,
. , .
"" .
, , QRS ,
. , ,
, , QRS ,
, , ,
,
, , ,
. , , , ,
QRS, , .
,
- , ,

.

7.11.
, (efficient markets hypothesis, ) ,
,
6.
, , , .
-
.
,
()
(1). (1).
(0),
- r:

. , , ,
( ),
, .
,
.
6

LK.Meuibmek "An
Empirical Analysis of Illegal Insider Trading", Journal of Finance, eKav 1992, L KMeulbroek and Hart "The Effect of Illegal
Insider Trading on Takeover Premia", Europe Finance Review, /, 1997.

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

, . "
, . ,
( ),
.
, , ,
, ,
. , , ,
. .
1. ( ,
).
2. , , ,
.
, ,
(0).
(0).
, ,
-,
. , ,
, . , -4
, .
, ? ""
,
, , ,
.
, , , ,
(
). , , ,
, ,

.
,
, ,
,
. , , ,
, , ,
, .
, ,
.
.
1. . (..
, ,
).
2. ,
, .
, ,
.
,
, .
,

.
, .
, ,
,
.
7.11

DEF ,
.
.
? DEF,
?

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

.
, ,
, .
, ,
.
,
, .
, ,
, .
, ,

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

, (fundamental value), 262
(valuation model), 271
/ (price/ earnings multiple, P/E multiple), 272
(book value),273
(efficient markets hypothesis), 274
(purchasing power parity), 282
(real interest-rate parity), 283
(Law of One Price), 264
(arbitrage), 264
(transaction cost), 264
arbitrageurs (), 265
(triangular arbitrage), 268

7.1. -
. 100 ., - 25 . ,
. ?
. , , ,
75 , . ,
100 ., , .
7.2. 10 . ,
- 1 . , -?

. - , 1 . .
, - 9 11 . .
7.3. ?
. .
, . ,
, .
7.4. , 100000 .
3 % .
5000 ., 17 % .
?
. 5000 . .
3% (150 . ), 17 %
(850 . ). ,
700 . .
7.5. , 0,011 . 1 .
, 10000 .,
100 . , 10000 ?
. . 10000 . 100 100 . ;
. 100 1000000 ( 10000 );
. 1000000 11000 . 1000 .
7.6. : 0,20 . 1
0,30 . 1 . ?
. 0,30 . 0,20 .
1,5 .
7.7. , , ,
, 500000 . , ,
, .
?
. (
. . .) ,
. ,
, ,
300000 .
7.8.
, ?
. , ,
, ,
.
.
7.9. 5 . (EPS=5 .),
/ 10 (/ = 10).
?
. 50 . (EPS (5 .) / (10))
7.10. , 3 80000
. ? , ?
. 80000 .,
0. 20000 .
7.11. DEF ,
.
. ?
DEF,
?
. ,
, .
- , ,
, . ,
, ,
, .
.
7.12. (. ) ,
10 % .
, ?
. = 1,03 1,1 = 13,3 % ( )


IBX - 35 ., 33 .
. ,
.
. "?
. - "?
. , IBX 1 %
. ?
2. , , 16 %.
, , .
25 ., 29 .
. ?
.
?

3. , 155 .
. 100 . ,
?
. 0,60 . ,
?
4. , 0,0006 ., 0,01 .
, ?

5. .
.
(.)

. () ()
(.)

. ()
1,0 .
1,50 .

. 0,67
(.)
.
2,0
()
100
()

0,5 .

0,01 .


6. , , 475000 .
,
525000 .
. ,
?
. , , ( ,
), 490000 .
.
?
7. / ITT 6,
, S&P 500, 10. ?
8. , .
.
(EPS) 2 . . ,
. , .
: , / (/), 8, ,
14. , , ,
/, (
) ,
/. / = 8
2:
/ = 14 1:1.
,
1,5 :1.
9. , 15 . 1
: 12000000 ., 1000000
., 10500000 . .
, .
0,8 12 0,9
. ?

. ,
, , , v
?

10. Fuddy Co. ,
. ?
11. , Oufel 25 .,
30 .
. , ,
, ?
.
?

12. , 3% .
2% , 5%. ,
, ?

13. , ,
. .

500 .
1200000 .
1000000 .
200000 .
15000 .

75
10
3
2
40

, ,
.
, : "
, , 200000
. , : " ,
, 500 . ".
.
. . ?
. ?


,
, (purchasing-power parity, ). ,
' ,
""
( ). , ,
, .
, , ,
. ,
.
.
, 1 . , 100 .
0,01 . .
, , 0,009 . .
. ?
. 0,90 . (0,009 .
100 ) 1,00 .

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

, ,
. ,
, . ,
, , ,
, . ,
, , ,
.
, , - ,
.
, ,
, , .
(real interest-rate parity),
.
, ,
.
5- .
,
:
1 + = (1 + ) (1 + )

.
,
3%. ,
1% , 4%. ,
, :
= 1,03 1,01 - 1 = 4,03 % ( ),
= 1,03 1,04 - 1 = 7,12 % ( )
7.12
, 10% .

, ?

8

:
...

8.1.
8.2. :
8.3. , % 8.4.

8.5.
8.6.
7 ,

.
(, ) ,
( ).

.
, ,
. ,

.
, ( )
.
, , .
, , ,
. ,
. ,
, ,
.
8.1
,
. 8.2 ,
(..
). 8.3-8.5 ,
. 8.6 ,
.

8.1.

4 , ( ,
) ,
.

.
,
100 . .
, , 6% ?
4, 267,30 .
, ,
.

, 1 . ,
(i):
1 - (1+i)-n
i

PV =

, (", (PV):
n
3

i
6

PV
?

FV
0


100 Pl/=267,3
0
, ,
6% % . ?
,
. 7% ,
. ? ,
, 7%- .
n
3

i
7

PV
?

FV PMT
0
100
PV=262,43

100 .
262,43 . 7%
. ,
. , ,
, .
, 1% 4,87 . ,
.
, ,
.

.
,
.
8.1

100 ., 6% 5% ?
, .
, ,
, .
2,
. . 8.1 , (
. .
.) .
, , ,

3 . . ,
, ,
.

() . The Wall Street Journal, April 3, p.C21


. 8.1.

8.2. :


, ;
(pure discount bonds zero-coupon bonds). ,
, . .

. ,
,
.

(face value, par value). ,
, . ,
, 1000 .
950 ., 50 .
(yield) , ,
1.
1 ( HaineN ) :
1 -
-
=
=

=0,0526 5,26 %

1000 . 950 .
950 .

, ,
, .
2 1000 ., 880
.
.
, PV, FVn (i).
n
2

i
?

PV
FV
-880 1000


i = 6,60%
0

, 8.1. ( 3
100 .). . 8.1 . ,
( ).
8.1.

( 1 . , )

()

,
. , ( ) ,
. .

1
2
3

0,95
0,88
0,80

5,26 %
6,60 %
7,72 %

.
. 8.1, . ,
,
1 . . .
1- = 100 . 0,95 =
95 .
2- = 100 . 0,88 =
88 .
3- == 100 . 0,80 =
80 .
= 263 .
263 .
, .
1- = 100 . / 1,0526 = 95,00 .
2- = 100 . / 1,06602 = 88,00 .
3- = 100 . / 1,07723 = 80,00 .
263 . , ,
7,72%,
. 8.1. , 259 ., 4 .
.

i
7,72

PV
?

FV
0

PMT
100

PMT =259.

,
, , 263 .? , 6,88% 1 .
, (i) 6,88%
n
3

i
6,88

PV
?

FV
0

PMT
100 =263 .

, 6,88%,
, . 8.1 . , ,
263 . , , (I),
.
n
3

i
?

PV
-263

FV
0


100 i=6,88%

, (.. 263 .).


,
, . 8.1.
, .
(..
),
:
, ,
.
8.2
, 2
6% , , . 8.1, .
,
100 . ? ,
, ?

8.3. ,

, (coupon bond)
, ,
, (..
).
(coupon payments). , ,
.
(coupon rate) ,
. 1000 .
10% 0,10 1000 ., .. 100 .
6 ,
100 . 1000 2.
8.2. ,
( ) 100 .
1000 . (
" " ""). 100 .
.
1000 . (.. ).

. 8.2. 10%- 1000 .


, .
, ,
"" .
, , ,
(par bonds).
, . ,
, 1000 .,
10% .
1100 .: 100 . 1000 .
. , 10%- 1000 .,
10%.
:
,
.
, .
, , , ,
. , 10%- 19
20 .
1 10%
. ,
5%.
10%- (1000 .),
1047,62. , ,
( ) (premium bond).
?
, .
(current yield),
:
= / = 100/1047,62 = 9,55%
. ,
, 1000 ., .. 47,62 .
, .
,
, , (yield-to-maturity).
( )
2

. 10%-
50 . .
.

,
.
, ,
(1000 .). ,
, ,
:
= ( + - ) /

= (100 . + 1000 . 1047,62 .) / 1047,62 . = 5%
, , ,
(9,55%), .
,
, . ,
10%- , 1000 . 1100 .
?
9,09%.
= / = 100 . / 1000 . = 9,09%
, ,
, , (1100 .). ,
,
,
.

n - , i
, ' , FV .

,
:
, PV ( ""), FV , -
.
n
2

i
9

PV
-1100

FV
1000


100
i= 4,65%

,
.
,
.
:
,
, , , .

< <
4%- 2- .
, 950 .
, . (,
, .)
? ,
: .
= / = 40 . / 950 . = 4,21%
.
, ,

, , .
1000 . , 950 ., .
, ,
(1000 .).
:
n
2

i
?

PV
-950

FV
1000

40

i = 6,76%

, 10
.
:
,
, , , .

> >

8.3.1. , ""

,
, , ,

. , , ,
, ,
.
, ,
.
, 10000 .,
. , ,
, ,
.
5%, 8%. ,
, . 10000 . ,
( ), 10285,71.
800 ./10285,71 ., 7,78% .
1%, ?
, ,
5%.
. , 10000 .
, 8%- 10000 . 10
285,71 .:
= ( + ) /
= (800 . +10000 . - 10285,71 . )/ 10286 . = 5%
1% 10000 . '
4%, 5%, .
8.3
.
900 . 6% ?

8.4.
8.4
.
, ,
,
. , ,
, .
. 8.2 23 1998 . The Wall Street Journal,
, ,

. (
(U.S. Treasury strips)) :
,

. ( (coupon stripping)).
, .
1. (Type) ,
() : ; , bid
( 10 ), (
) ( 10 ).
2. The ask price , ( ), a
bid price , ( ).
. . Ask Bid.
, .
.
8.2. J
Maturity
Type
Bid
Asked
Chg
Ask Bid.
May 00

89:19
89-19
+1
5,60
May 05
May 27

6630
17.26

6730
1731

+1
-

5,74
6,01

15.00 1000000 .
32- (32 nds); 101 01 101
1/32. 32 nds.
.
ci ;
bp ( );
( ). Bear, Steams & . Via
Street Software Technology Inc.
8.3.
Rate
9
6
13 1/8
6 1/2
8 3/4

Maturity
Mo./Yr.
May 98n
May 98n
May 01
May01n
May 20

Bid

Asked

Chg

Ask Yid.

102-26
9931
12223
99:27
11915

10228
100:OT
122:29
997:29
119:16

-1
-2
-1
-5

5,95
5,97
6,51
6,53
7,02

, 1 . .
, 12.00
3. 1 . .
4. 3- 4- ( ) ,
, 32- . 89:19 89 19/32 ( 0,8959375 .), 0,8919
.
, . 8.2, , 2000
. 89 19/32 (89,59375) . 2027 .
17 31/32 ( 17,96875 ).

. 8.3 , The Wall


Street Journal. ,
. , ,
(note) . , 10 .

8.5.

,
. ? : .
, , , ,
,
3.

8.5.1.
, , .
5%, 10%. ,
.

1
2

1 .
0,961538 .
0,889996 .

4%
6%


0,961538 . 1 . ,
0,889996 . ,
.
5%- :
0,961538 50 . + 0,889996 1050 . = 982,57 . 10%- :
0,961538 100 . + 0,889996 1100 . = 1075,15 .
,
. 5%- .
n
2

i
?

PV
-982,57

FV
1000

50

i=5,9500%

10%- .
n
2

i PV
? -1075,15

FV
1000

PMT
100
i = 5,9064%

, , ,
. .
, ,
.
8.4
, ,
,
4% .

8.5.2.
,
.
, , ,
.
, ,
. .
, 1000 .
. , 6% .
, , 1000
./1,06 = 943,40 . , - (.. ),
, 943,40 .,
6% .
,
. , , . , , ,
, ,
3

,
. .

.
,
( ).

8.5.3. ,
,
.
, .
,
, .
1. (callability).
.
(callable bond).
2. (convertibility).
, . ,
, (convertible bond).
, ,
, , , , ,
, .
( ).

.

8.6.
,
.

8.6.1.

,
, . ,
, .
, ,
. . 8.3
20 .
, ,
1000 ., 6% .
20 :
n i
20 6%

PV
?

FV
1000

V=311,80

()
. 8.3.
:
, .
1000 . 6% .

19
:
n i
19 6%

PV
?

FV
1000

PV= 330,51 .

,
(6% ):
= (330,51 . 331,80 .) / 311,80 . = 6%
8.5
,
6% ? ,
6%.

8.6.2.
, 10
, .
, ,
, , .
8.4 .
30
8%- . ,
(8%).
. OY ,
, ,
, 8%- .

(% )
. 8.4.
, 8% , 30-
1000 . 1000 . 9%- 897,26 . ,
9%- 8%- 897,26 / 1000 = 0,89726.
, 8% 9%,
10%.
30
8%- ,
(8%). OY
co-Sou , - ,
8%- . , 8%
1.
, 8% 30-
1000 . 99,38 ., 9%- 75,37 . ,
9% 8%- 75,37 / 99,38 = 0,7684.
, 8% 9%,
23%.
, , , , ,
. ,
.
8.6

, 6%
30 1000 .
7%, 7%.
?


.
1 ., ,
.
, .
.


.

, , , ,
, .
.

.

(pure discount bonds), 287
, (face value),
287
, (coupon bond)
(coupon rate)
, (par bonds)
(premium bond)
(current yield)
(yield-to-matunty)
(callable bond)
(convertible bond)

8.1.
100 ., 6% 5% ?
. 5% ,
272,32 .
8.2. , 2
6% , , . 8 1, .
100 . ?
, , ?
. :
1- = 100 . / 1,0526 =95,00 .
2- = 100 . / 1,062 =89,00 .
3- = 100 . / 1,07723 =80,00 .
= 264 .
, 1 .

264 .,
:
n
3

i
?

PV
FV
-264 . 0

PMT
100

i = 6,6745%

8.3.
, 900 . 6% ?
. = 0,067 = 6,67%
:

PV

FV

-900

1000

60

100

1=10,02%

8.4. , ,
,
4% .
. 4%- :
0,961538 40 . + 0,889996 1040 . = 964,05736 . :

i
?

PV
964,057

FV
1000

PMT
40

i = 5,9593%

8.5. ,
6% ? ,
6%.
. 18 :
n
18

i
6

PV
7

FV
1000

PMT
0

PV= 350,34 .

,
(6% ):
= (350,34 . 330,51 .) / 330,51 . = 6%
8.6. , 6%,
30 1000 . 7%,
7%.
?
. 30 :
n
30

i
6%

PV
?

FV
1000

PMT
0

PV =174,11 .

:
n
30

i
7%

PV
?

FV
1000

PMT
0
PV= 131,37 .

24,55%.


8.1-8.3
1. , 7%- 6-
10 .
. , 8%. ?
. , ,
8%?
. , 7% . ?
, ? ,
?
2. ,
4% ( )
30 . 5% .
:
. 4%- ?
. ?
. , ?

3. , :

1 .

1
2

0,97
0,90

3,093

. 6%-
, ?
. .
. , )?
d. ) ) ?

14. , .
:
0,93 . , 7% (
) 985,30 . ( = 1000 .).
. ?
. ,
.
i. ( )?
.
, ?

5. , , , ,
.
. .

6%
0
7%
0

2
2
2
1


5,5%

0,95 .


6. ,
.
. 10 5-
( ). 10- .
. 10 .
.
. 10 (.. )
3- .
.
d. 25- .
( )
7. , , 6%
. 10%- (
1000 .), Dafalto Corporation,
918 . ,
- .
Defalto Co.?

8. , 5% .
20 ( 1000 .
), -
10- , 5,5% .
. ?
. Safeco Corporation 5,5%-
, . ,
10 Safeco Corporation.
3,5% ,
?

9. (.. )
, , , :
i. ;
ii. ;
iii. , ;
iv. , ;
. ii iv;
b. , ;
. i;
d. ii;
. i iii.

9

...

.
.

9.1.
9.2. :
9.3. :
9.4. /:
9.5. ?
8 ,
.
(Discounted
cash flow analysis). .

9.1.
. 9.1 IBM, -
.

52 .
. . 4,84 ,
4,84 . (
). 1,21 .
9.1. -
52
Hi
Lo
Stock
Sym
Div
YId %
PE
Vol 100s
Hi
Lo
Close
Net Chg

132 1/8
93 3/8
IBM
IBM
4.84
4.2
16
14591
115
113
114 3/4
+ 1 3/8

(dividend yield).
, ,
. / (price/earnings multiple)
, (
).
(Vol) .
(round lots) .
, (odd lots),
.
,
.

9.2. :
9.2
( )
, ,
, .
, (discounted dividend model, DDM), ,
() .

, .
, , ,
5 . (Z>i),
(ex-dividend) - 110 . (P1)1.
(market capitalization rate), (riskadjusted discount rate) , ,
.
13. k. , k 15%
.
/-,) (D,)
(, - ), () .
, :
E(r1) = (D1 + P1 P0 ) / P0 = k

(9.1)

0,15 = (5 + 110 - P0 ) / P0
9.1 :
(k).
:
P0 =(D1+P0 ) / (1+k)

(9.2)

,
, (..
).
:
P0 =(5 .+110 . ) / 1,15 = 100 .
,
(,). ?
, :
P1 =(D2+P2 ) / (1+k)

(9.3)

(9.4)
, ,
:

(9.5)
,
, .

(ex-dividend price) -

, , ,
, ,
. , ,
.
9.2.1.
, , 9.5,
, .
,
. :
, (g).
, , Steadygrowth Co,
10% . :
D1
5

D2
D3
..
5,50 . 6,05 . ..

D1 = D1(1+g)t-1 9.5 ,
,
:

(9.6)
Steadygrowth Co.,
:

. ,
,
: - = D, k ( ), g, .
g . k, ""; ..
. ,
(k). 9.3 ,
,
k.
,
, . , , . 9.2,
Steadygrowth Co. .
,
:

D2 = D1(1+g)1, :
:

9.2. Sfeadygrowth .

( )

1
2
3

100 .
100 .
100 .

5,00 .
5,50 .
6,05 .

5%
5%
5%


10%
10%
10%

, ,
(g).
Steadygrowth Co. 15%
5% 10% .
9.1
XYZ 2 . .
6% . ,
20 .?

9.3. :

, ,
.
,
, .
(dividend policy) . ,
, - .
, ,
.
, .
2:
t = , , : ,
, t, & I, t.
,
.
. ,
,
. ,
, .
, , 1 ,
, ! :
, , .
, ,
: ,
.
;
, .
, ,
: (1)
, ,
, (2) .
,
. MI :
P0=E1 / k +
, , Nogrowth Co., EPS () )
15 .
;
, . ,
- .
, 15%, Nogrowth Co.
100 .:
0 = 15 ./0,15 = 100 .
Growthstok Co. Growthstok Co. ,
Nogrowth Co., 60% .
20% (.. 5% , ,
15%). Growthstok Co. ,
2

, .

Nogrowth Co. 15 ., Nogrowth Co., Growthstok


Co. 40% 15 . ( 6 . ). 9 . ,
, 20%- .
Growthstok Co. , ogrowth Co.,
. Growthstok . , Nogrowth Co.
, .
EPS3:
g =
Growthstok Co. :
g= 0,6 0,2 = 0,12 12%
Growthstok Co.
:
P0 = 6 / (0,15 0,12) = 6/0,03 = 200 .
Growthstok Co. 100-
Nogrowth Co.:
= 200 . 100 . = 100 .
, , Growthstok Co. Nogrowth
Co., , , ,
,
20% 15% . ,
, 15%
20%. Normalprofit Co.
Normalprofit Co. 15% ,
60% . , 9% :
g =
g= 0,6 0,15 = 0,09, 9%
, ,
Normalprofit Co. :
P0 = 6 / (0,15 0,09) = 6/0,06 = 100 .
Normalprofit Co. , Nogrowth Co.,
9% . , Normalprofit Co.
. . 9.3 . 9.1
Normalprofit Co. Nogrowth Co. .
9.3. Nogrowth Co. Hormaiprofft Co.
. Nogrowth .

1
2

100,00 .
100,00 .

15,00 .
15,00 .

15,00 .
15,00 .

15%
15%

0%
0%

100,00 .

15,00 .

15,00 .

15%

0%

. Normalprofit Co.
3

: ,
:
g=E/E
(I), :
g=I/E * E/I
, i
.

1 2 3 100,00 .
109,00 .
118,00 .

15,00 .
16,35 .
17,82 .

6,00 .
6,54 .
7,13 .

6%
6%
6%

9%
9%
9%

. 9.1.
Normalprofit Co. Nogrowth Co.. , -
.
0

= E1/k = 15 ./0,15 = 100 .

, : ,
. ,
,
, ,
( , k). ,
, k,
0 = E1/k
9.2
QRS
. ,
10 .,
75%, 18% .
QRS? ?

9.4. /:

7 , /
( / ). ,
, EPS
/, .
, , .
, :
0 = E1/k + NPV
, /
(k),

, .. ,
, .
, / ,
,
, (growth stocks).
, ,
/ , EPS.
9.3, Normalprofit Co.
9% , /,
Nogrowth Co., - . ,
/. , ,
, ,
, k.
, , Digital Biomed Corporation,
,
. /
15. Digital Biomed Co. 2 .
/ , Digital Biomed Co.
30 . , ,
Digital Biomed i Co., 100 . . ?
70 . (100 . - 30 .) ,
Digital Biomed Co., , ,
.
/.
.

/. ,
.

9.5.
?
(dividend policy)
, .
, , (..
. . .} ,
. ,
. ,
,
, "" .

9.5.1.
:
( ) (cash dividends)
.
, . ,
, , .
(share repurchase) ,
, , , 4.
, . , ,
, , ,
.
, Cashrich Co. 12 . : 2 .
10 . .
2 . , 10 .
. -" 500000 Cashrich Co., 20 .
. 9.4 . Cashrich Co.
2 . , 1 . ,
1 . 9 . .
500000 , 2 . , Cashrich
4

(treasur stock)
.

Co. 1 . , 50000 ,
450000 20 . .
, . 9.4, ,
Cashrich Co. 1 . .
, ,
2 . .
, .
.
9.3
, Cashrich . 1,5 .
1,5 . .
9.4.
Cashrich .
.

2 . .


10 . .

12 . .


2 . .
10 . .
12 . .

, = 500000
= 20 .
.

1 . .


10 . .

11 . .

2 . .
9 . .
11 . .

, = 500000
= 18 .
.

1 . .
2 . .


10 . .
9 . .

11 . .
11
, = 450000 = 20 .

9.5.2. ,
(stock splits) (stock
dividends). .
, .
, , Cashrich Co. 2
1. , .
Cashrich Co. 500000 1 . ,
, 20 . 10 .

.
]
, .
, .
,
, Cashrich Cc , Cashrich Co.
! 2 . , ,
, 1 .
, . ,
10%
( . , ,

. 1 .
.
. 9.5 Cashrich Co
,
. () () . ()
Cashrich Co. ( )
. ,
(), Cashricf, . ( )
. ,
() 550 000 18,18 .
9.5. Cashrich .:
.

2 . .
2 . .

10 . .
10 . .

12 . .
12 . .

, = 500000
= 20 .
b.
. 9.5

1 . .

2 . .


9 . .

10 . .

11 . .

11 . .
, = 500000
= 18 .
.

2 . .
2 . .

10 . .

10 . .

12 . .
12 . .
, = 550000 = 18 .
9.4
Cashrich Co. 1
20% ?

9.5.3.
,
. ? , ,
, ?
1961 (Modigliani and Miller, M&M)
, , ,
,
5. M&M ,
( )
,
.
M&M Cashrich Co. ,
Cashrich Co. 2 . , ,
Cashrich Co. , 100
Cashrich Co. 2 . .
10 20 . . ,
Cashrich Co. 1800 . 200
, 2 . .
5

Franko Modigliani and Merton Miller, "Dividend Policy, Growth and the Valuation of Shares Journal of Business (October
1961), pp. 411-33.

. , Cashrich Co. 2 .
, , 100 Cashrich 0_ .
200 . 1800 . Cashrich Co.
status quo, 200 . 18
. .
,
,
(NPV). ,
!
. M&M ,
.
,
( )
( ).
M&M, . ,
Cashpoor Co. ,
(0,5 . ), ( ) (1 . )
1 . . Cashpoor Co.
, 0,5 .
. 1,5 .
. Cashpoor Co. 1 . . 2 .,
, Cashpoor Co. ,
, 1,5 .
. . 9.6 Cashpoor Co. ( )
.
9.5. Cashpoor Co, ( )

0,5 . .


1,0 . .
NPV 1,5 . .

3,0 . .

1 .
2 . .
3 . .

, = 1 . = 2 .
Cashpoor Co.
, 0,5 .
0,5
. .
, ,
, . ,
.
Cashpoor Co. 0,5 .
, .
0,5 . ,
0,5 . . 1 . . 2 .
, Cashpoor Co. 0,5 .
(0,5 . )
? &,
(.. 2 . 1,5 . ).
2 . : 0,5 . ,
1,5 . . 0,5 . ,
Cashpoor Co., 333333
(500000 ./l, 50 . = 333333 ).
9.5
& , ,
Cashpoor Co. 0,25 .
, 0,25 .
?

9.5.4.
, ,
. , ,
, .
: , ,
.
,
,
,
,
. , , ,
.
,

,
. ,
,

.
,
. ,
,
. ,
,
() ,
( ). ,
, - .
, ,
'
, .
,
, ]
, , ,
. ,
, .

v ,
.
9.6
, ,
,
?

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

.
,
, ,
, ,
.
, ,
.
, ,
. ,
,
.


,
:

, :
, , t, /, t.
(g):
:
g =
:
= EJk +

(dividend yield), 307
/ (price/earnings multiple, P/E), 307
, (discounted dividend model), 307
(risk-adjusted discount rate), 307
(market capitalization rate), 307
(growth stocks), 314
(dividend policy), 315
; (cash dividends), 315
(share repurchase), 315

9.1. XYZ 2
. . 6% .
, 20 .?
. k,
= D/(k g).
k = DJ + g = 2/20 + 0,06 = 0,16, 16%.
9.2. QRS
. ,
10 ., 75% ,
18% . QRS?
?
. (
= D,/(k - g).
= 2,50 ./(0,15 - 0,135) = 166,67 .
= Ei/k = 10 ./0,15 = 66,67 .

:
166,67 . 66,67 . = 100,00 .
9.3. , Cashrich
Co. 1,5 . 1,5 . .
. ;
(3 .) 20 . 17 .
(20 .), < ,
750000 425000.
9.4. Cashrich Co.
20% ?
. , , 600000, ;
16,67 .
9.5. & ,
Cashpoor Co. i 0,25 . ,
0,25 . ?
. 0,25 ., .. 1,75 ., 142857 (250000
./1,75 . ). ] .
9.6. , ,
?
. ,
, ,

. ,
) .

9.1-9.4
1. DDM (Do) 2 . .
, 5% .
, ,
13% .
. , ( )?
b. , 20 .
:
i. ;
ii. .
2. Rusty Clipper Co. 5 .
. , 10% .
25 . .
?
3. Constant Growth Co. (CGC) (,) 5 .
20% .
CGC 15% , ROE
17% .
, :
. ?
b. ?
. , ?
d. 50 .,
:
i. ROE ;
ii. ;
iii. .
4. Slogro Co. 10 . .
2 . . 60%
. ,
20% . , .
. , , ,
, Slogro Co.?
b. , ,
?
. Slogro Co., ,
, 25% ?
d. , Slogro Co. (60%
), ,
. , 20% .
,
.
?
5. Amazing-corn Co.
5 . 25% .
. ?
.
b. 5 1 . .
20% ,
10% , ?
. 100 .,
?
6. Digital Growth Co.
5 . EPS 10 .,
. ROE 5 20% ,
.
ROE 15% 40%
. .
Digital Growth Co. 15% .
. Digital Growth Co.?

b. , ,
? ?
. Digital Growth . ,
20% ?
J. 2Stage Co. 2 . . ,

25% , 5% .
20% .
. ?
b. ,
?
. ?
( ) ?
8. The Simp Stock Guide :
PEG / ( /
) . , PEG

. , ,
PEG, :
(k), (ROE)
(b)? ( /, PEG,
(Po/E))f
. , ( ) .
0,04, 0,06.
PEG , ROE 0,10 , ROE 0,15. ,
( 1)
( 0,6)?
. ?
Internet
9. , - .
, ,
, Internet.
.
? , .

10. Divido Co. ,
100 . . 10 . .
( ) 90 . .,
. 1000000 . 100 .
Divido Co. ?
.
. 10 . .
. 100000 .
. 10%- .
d. 2 1.
. 10 . .
(IRR), .
11. ,
.
.
12. ,
, .
? .

IV

10


...


10.1.
10.2.
10.3.
10.4.
10.5.
10.6.
10.7. :
10.8.
10.9.
,
"" , .
IV "" .
. 2 ,
" ,
,
.
IV . IV
. ) i .
10.2
, . 10.3
, , ,
, . 10.4
: , . 10.5
,
.
10.6 ,
. 10.7 ,
,
, 10.8
.
IV . 11
, . 12
.

10.1.
. ,
, . , ,
,
. , ,
. ,
.
, ,
. , 10-12 ,
12, 8. ,
. ?
, , .
, , , . ,
10 , .
, 10, 12, ,
. 8 ,
,
, . ,
. , .

, , ,
.
, 10 . , 1.
, ,
. , , .
; .
, , .
, .
. , ,
, . ,
.
(risk aversion) , .
, .
, ,
. ,
, ,
, , , ,
. ,
, .

10.1.1.
, , ,
. , ,
, .
.
, 12
. 8 ,
, .
? .
, ,
, , .
,
, ,
( ), (risk
management).
,
. , , , , ,
. , , ,
, . , ,
, , ,
, ,
" ", .
, .
, , ,
. .
( ) ( )
, ,
. ,
.
, , , , ,
, . : ,
, .
. .
10.1
, ,
100000 . , ,
, 150000 .
, ?

: ,
, .
, .

10.1.2.
,
, ,
(risk exposure). , ,
. ,
. ,
, . ,
. ,
, , , , ,
.
, , ,
, .
( ),
. , ,
, -
. , ,
, . , .
, , - ,
- . . ,
, ,
, i ,
, .
, (speculator), ,
, .
):
(hedger) , .
.

10.2.
, ,
,
,
, .
( .
,
.
. (precautionary saving). 5
,
, ,
,
.
,
, ( ,
( , ).
i .
, ,
.
, acoo-ooeco ,
.

10.2.1. ,
, '
, .
, , .
, ,
.
. .
, . ,
, ! .
! ,
.

, (.. ).
,
, . ,
, ,
.
, . ,
,
, .
, ,
, .
, ,
. , , .
5 , , ,
, . , , :
. , ,
.
10.2
, - (, ,
). , .

10.2.2. ,
,
. .
.
, , : , ,
, , .
, , .
, , . ,
, , .
, , , . ,
, , .
, . , (, ..)
, (, .) ,
-
.
, . ,
, ,
(, ), '
. ,
.
, . , -
. , .
,
.
.
( ) .
, , ,
.
.
: ,
, .
,
. , , ,
.
:
,
, .
.
.
. ,
. , Continental Baku Company,
, . ( )

,
.
10.3 .
. ?

10.2.3.
.
, .
, ,
, .. !
,
.

, .
,
.
, , .
,
. '

, ,
- ?

10.3.
,
. .




10.3.1.
(risk identification) ,
, , .
, . ,
- ,
. , , ,
, .
, , ,
. , , ,
, , , .
, .
, -, (.
10.1).
,
, . , , ,
. ,
, . ,
(.. ) ; ,
( ). ,
, , ,
,
, .
. ,
, , ,
.
,
, .

, . ,
,
, , .
10.1
?
. .
.
-.
? () ,
.
. ,
.
, . ()
, . ;
, . .
, . ,
.
. Simon & Schuster, Inc., (0 Making the Most of Your Money Jane Bryant
Quinn. Copyright 1991 by Berrybook Publishing Inc. W
,
. , ,
( ).
, , (
), , .

.
,
. ,
, ,
, , .

10.3.2.
(risk assessment) , ,
.
, .
, ,
. ,
. ?
"
, , , .
.
( ) ~ ,
. ,
.
,
,
,
, .
, ,
, .
10.3.3.
(risk-management techniques).



. .
(risk avoidance) .
, - -
, ,
. . ,
, , . .

(loss prevention and control) ,


.
, , , . ,
, , ,
, . "" ,
,
.
(risk retention) .
, ,
. , .
,
.
.
(risk transfer) .
- .
: ' , , ,
- .
: , .
10.4 11.

10.3.4.
, ,
. , ,
. ,
, ,
. , ,
.

10.3.5.
,
. ,
: , ,
. , ,
, , .
, .
10.5
, , , ,
.

10.4.
, 10.3.3,
, .
, . ,
, , : ,
. , .
, , .
, . ,
, .
, :
, .
.

10.4.1.
(hedging) , ,
, . ,
,
,
. .
, , .

, , ,
.

10.4.2.
, (premium) (,
) . ,
( , )
, . ,
, ,
.
1000 . , ,
. 1000 .
, .
.
, .
, ,
.
, , , -
. , 100000 . 1,50
., , . , .
, . ,
100000 , , 1,50 .
. , , ,
, , .
: ,
"", ( ) 100000 1,50 .
2. 1,50 ., ,
"" 1,50 . ,
100000 , , .
10.6
, , . ,
100000 . ?
?

10.4.3.
(diversifying) ,
.
, .
, , . , ,
100000 . , , ,
, .
100000 . , ,
' , .

( ), .
.
, .
, .
, ,
.
, . :
100000 . , 50000 .
. , ,
, . , 100000 .
, 400000 ., .
, 50000 . , ,
, , 400000 ., (
). , , ,
, , .
2

" " ,
, , " "
15

200000 . ( , 50000 .,
, , , , ).
, , " ' 0
, . - 108311' 21"1111 ,
, -" 11""' 10000 .
400' MMvT ' ?2160'"01 ), '""' 1'
). ,
(perfectly correlated) . ,
3.
,
, .
, 1000 ,
,
, .
.
ex post ( . . .)
, , , ,
. ,
. , .
.
.
; , . ,
(100000 .) - ,
400000 ., .
, 100000 .
. , .
, .
, , .
400000 . , "
". , , "" ,
. , ,
. . ,
, " " 200000 . ,
"" .
, .
ex ante ( . . .),
, ex post. , .
, .
. ,
, ,
. , , -
, .
,
, ,
. , .

[?

10.5.
)
, ,
.
, ,
, .
.

"" 11.

10.5.1.
, <
. .
, 100000 .;
. , 1000 .
.
, , .
, ,
; ,
.
, ,
,
, .
, , .

. , :
, . .
, .
,
.

, (..
). , 100000 . ,
( ,
). ( )
,
.

10.5.2.
, -
, - , .
-
.
.
, 4.
. ,
, .
. ,
. , .
, .
, , ,
.
, .
,
. , ,
, .
, .
,
, . , ,
, .
,
, .
10.8
,
,
.

10.6.
4

(Judy Lewent), - Merck, (Harvard Business Review,


January/February 1994), , , 359

,
( ),
, , , .
( ) ,
.
(.
10.2).

,
, .
,
.
.
, ,
. , , , , ,
, .
10.2

,
... ,
. ,
. , ,
, , , , ,
. , ,
, , , .
; ,
, ,
. (Kenneth Arrow) Aspects of the Theory of Risk i Bearing
(Helsinki: Yejo Johannsonin Saatio, 1965).
,
. , , ,
, , .
,
.
,
. , , ,
70-80- , .
,
.
, ,
,
, . ,
, (transactions costs)
(incentive problems).
,
, .
,
.
, ,
. (moral hazard)
, -

.
- .
, ,
.
. ,
, , ,
. -
.
(adverse selection):
, , , .
, , , (life annuity), ..

, , . ,
, , ,
, , .
, , , 65
. , :
10 , 15 , 20. 15
. , , 15
, , .
, , .
, , ,
, , ,
, .
, . ,
,
, .
17,5 , 2,5
, .
, , ,
, , (
) ,
. , , , ,
,
, , .

, , ,
. , .
, .
.
.
(renting) , (leasing).
.
.
, .

.
.
, .

. ,
, , .
,
. , ,
' ,
.
. ,
, ,
, , , ,
.
,
, ,
. ""
, .
, , , .

10.7. :

(portfolio theory) ,
. ,
,
, -,
. ,
.

, .
, ,
.
. ,
, . ,
, ,
, . ,
,
.
. ,
, .
,
, ,
.

, , ,
.
?
, , ,
, .
. , ,
, , ,
.

5.
(probability distributions).
(mean) ,
(standard deviation) .
.

10.8.
Genco. , Genco Corporation 100 .
. 2,
( ) :
:
_ ( - )
= +
, Genco, , 3%,
7%, 10%.
=3%+7%=10%
( , Genco)
(volatility)6.
.
, .
, " " Genco ,
10%. , ,
. (-50%), (+80%).
, .
,
Genco.
( ) (
).
, , 10%.
, 1,0.
5
, , ( Markowif).
"Portfolio Selection" Journal of Finance e 1952 .

11, .

.

, Genco .
, ,
, Genco 30%. ,
10%, .. .
, 10%.
. 10.1 . 10.1.
10.1.
Genco

30%
0,20

10%
0,60

-10%
0,20
. 10.1 , Genco, ,
, 10%- .
10% 30%.
(expected rate of return) ( )
, :
(10.1)
, ,
Genco
() =0,230% +0,610% +0,2210% =10%

. 10.1.
, , ,
. , Risco,
, Genco. Risco
Genco . 10.2 . 10.2.
| 10.2. ffisco Genco |

Risco
Genco

50%
30%
0,20

10%
10%
0,60

-30%
-10%
0,20


. 10.2. Genco Risco
, Risco
. , Risco 50%
( Genco 30%). , Risco
-30% Genco -10%. , Risa
.

10.9.
, ;

,
? (standard deviation)
, .
() = ,
()
= [ P1 (1 - ())2 + 2 (2 - ())2 + .... + n (n - ())2]

P (r E (r ))
i 1

(10.2)
,
, 10% (,
= 1,0 (10% -10%)2 = 1,0 (0,0) =
Genco
= [(0,2)(30% -10%)2 + (0,6)(10% -10%)2 + (0,2)(-10% -10%)2]
= 12,65%
Risco
= [(0,2)(50%-10%)2+(0,6)(10%-10%)2+(0,2)(-30% - 10%)2!
=25,30%
Risco , Genco,
Genco.
,
, . ,
.
,
, . 10.3.


. 10.3. . 10%,
20%.
, ,
. (, <,
, .)
.
, "
" " ".
(confidence interval) ,
( ""),
. ,
, ,
, ,
0,68.
0,95,
0,99.
, , 10% 20%.
, 0,95,
, _
(10% 20% = 50%),
(10% - 2 20% = -30%). , _ -30%
50%, ,
.
10.
,
0,99?

, .
,
, ,
. ,
.
, , ; ,
; .

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

: , ; ,
, ,
.
.




.




: , .

. ,
.
-
. -, , ,
, . -,
.
,
.

,
, .
, , ,
: .

(risk aversion), 329
(risk management), 329
(risk exposure), 330
(speculators), 331
(hedgers), 331
(precautionary saving), 331
(risk-management process), 334
(actuary), 336
(hedging), 338
(insuring), 338
(diversifying), 338
(moral hazard),
343
(adverse selection), 344
( ) (life annuity), 344
(portfolio theory), 345
(probability distribution), 346
(mean), 346
, (standard deviation),346
(volatility), 347
(expected rate of return),347
(continuous probability distribution), 350
(normal distribution), 350
(confidence interval), 350

10.1. , ,
100000 . ,
, ,
150000 . 0 , ?
. . ,
.
10.2. , -
(, , ). , .
.

.
10.3. .
?
. .
.
, .
.
.
.
, .
10.4. ,
, - ?
. ,
,
.
10.5. , ,
, , .
. .
( ).
( ).
( ). .
.
.
( ).
10.6. , , '. ,
.
?
.
100000 . .
- , "",
100000 . .
10.7. ?
. , . ,
, '
.
10.8. ,
,
.
. .
.
, .
, .
.
.
.
10.9. , ,
, .
?
. , ,
, . , ,
.
, .
10.10. , XYZ
: -50%, 50% 100% .
XYZ?
.
= Q)(-50%) + Q)(50%) + ()(100%) = 33,33%
(33,33 50) {33,33-50)
= ( = 62, % )(33,33-100)2
10.11.
, 0,99?
. .

1. , .
, , . ?
.
, .
? ?
2. , ,
, 25000 . ,
15000 . ( ).
. , ,
?
. , 50 50:
I , .
. - , , , ,
? ?
. , ,
100000 .
. , ?
. , 20 ,
?
. ) )? .
? . ? ,
.
, .
.
.
, , 1000 .: ,
8%,
' ,
: 3%.
;
. ?
. ? .
?

. , -L .

* , 8% 7 , lt
8,5% 15 , ' 9% 30 . ,
30 , , -'
; 30 > , 6%
2% 1 12% .
. , , . "
,
?
. ? ?
. "" ,
?
8. 7 .
. , , ?
. ?
. ?
?
9. , .
?
10. ,
Microsoft Lotus Development Corporation.
:

Microsoft

Lotus Development Corp.

1
2
3
4
5

10%
15%
-12%
20%
7%

9%
12%
-7%
18%
5%

. Microsoft Lotus'! b. Microsoft


Lotus?
. , Microsoft Lotus
, .

.

:
() 4, ,
, .
, ,
( ) , ( ),
. ,
611 .
, .
, , .
,
. 20000 .
36 , 402,84 . . ,
(20000 .) 8% (APR),
,
(402,84 .)7. ,
36 8907,06 . , ,
.
? .
10.1 .
36 402,84 .
, , , (, ,
), 8907,06 .
( )
8907,06 .
10.1. ;

, , .
. 402,84

402,84
0

0
8907,06



8907,06

, , .
, 8907,06 .
. ,
, 8.
,
, , 11000 ., , , , .
, (8907,06 .) 2093 .
.
, .
, (,
, , ),
.
APR ; 4. -Wu
APR 8% /?%.
,
. , 1
-.
, , , -'

. ,
" ". 15.

11
,

...
,
,

11.1.
11.2.
11.3. :
11.4.
11.5.
11.6.
11.7.
11.8.
11.9.
11.10.
11.11.
,
: , .
, ,
.
,
. , ,
, ,
.
, , ,
.
.
(, ) (premium)
. , (
, ) ,
.
, ,
,
. ,
(credit guarantee), ,
. .
,
.
, .

. ,
. ,
.

11.1.

, -
, (forward contract).
, , .

,
. :
1000 ., ,
. .
1000 ., .
, , 1000 .
1500 ., ,
1000 . ,
500 ., 1000 .,
. , , .
, .
,
, , (forward price)'.
, ,
.
,
, (soot
price).
.
(face value) ,

, , ,
(long position), ,
(short position).
(futures contract) , , ,
. ,
, ,
, .
, (.. ..)
.
, , .
, .
, . ,
. ,
, .
.
, , , .
. ,
,
. ,
.
,
. ,
,
.
,
. , 100000
2 . .
2 . ,
. 100000
200000 . , ,
. .
,
, .
.
' , ,
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, .
, ,
, -.
-, .

, ( ),
.

, .
, , , ,
. .
, ,
. .
, .
,
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2 . .
, ; ,
, . , ,
, - ,
( ).
, ( )
2 . , (100000
). 2.
. 11.1 .
. , ,
100000 2 .
.
. 11.1 , ,
: 1,5 ., 2 . 2,5 . .
1,5 . ( 1),
150000 .
50000 . , 200000 .
2 . ( 2),
200000 ., , ;
, , . 2,5 .
, 250000 . , 50000 .
. 200000 .
, , ,
200000 .,

11.1 .
- 1,5
( 150000 ., 50000
. , . , 200000
. 2,0 . ( 2), 200000 .,
. 2,5
( 3), 250000 .,
50000 . 200000 .
. 11.1,
. 1,5 . , , 150000 .
2,5 . , , 250000 .
, ; ,
200000 . ,
, ,
.
[ 11.1.



1,5 .
2,0 . 2,5 .
(1)
(2)
(3)
150000

200000

0 250000


50000
, 200000
50000
,

200000
200000


1,5 . 2,0 . 2,5 .
(1)
(2)
(3)

, , ,
; ,
, .

150000
200000

0 250000

50000
, 200000 .
50000
,

200000
200000

2,00 , , ,
100000 .
. 11.1 , 11-1-
,
.
. 11.1 , , , ,
200000 .
, , ,
,
.
,
.
,
.

. 11.1 ,

, , 100000 ,
, , 2
200000

11.1
, , :
a) 1 .
b) 3 . ,
.


, .
. -,
, "
, ,
, , .
, , ,
3. ,
.
, .
.

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

11.2.
, . (swap contract)
,
.
( (the notional amount)).
, ,
.
3
10, .
, . , ,
, .
.
,
.
100000 .
,
, ,
,
.
, .
.
, . ,
0,50 . ,
. 100000
. ,
50000 . (100000 0,50 . 1 ).
( ) , 100000 ,

,
0,40 . . ,
(counterparty)
(0,50 . 1 ) (0,40 . 1 ), 100000.
, 10000 .
,
40000 . (100000, 0,40 . ).
, 50000 .. 100000
, , 40000 ., 10000 .
.
, 0,70
. . - 0,70 . (

) 0,50 . ( ), 100000. 20000 .


, -
700000 . ( 0,70 . , 100000)
, 50000 . ,
, . ( ,
, .)
11.2
, , ,
0,50 . . ?
80-
, ,
, ...
.

11.3. :

2, ,
, ,
, , ,
. ,
(.. , , ), ,
,
, .
, , ,
783,53 . 1000 .
. ( , 5% .)
,
, 1000 .
(matching
assets to liabilities). ,
, 783,53 . ( ,
, 5% ).

, .
, ,
1000 .
,
.
.
.
, ,
,

,
.
. ,
, , .

11.4.
, ,
, .
.
, ,
. 10,3 ,
, .
100000 .
. , 3%
. , , 103000 .

/ 0,01 . ( 100 ).
, 10,3 ,
. , /
. 0,008 . , 0,011 . ,
, 103000 .
, .
0,008 . , 103000 . 12,875
(103000 . /0,008 . ); ,
. 0,012 . , 8,583
(103000 . /0,012 ); 1,717 ,
.
,
.
.
.
, ,
. , ,
, 0,01 . . ,
103000 . 0,01 . , .
/ , 10,3
, .
,
, .
103000 ., ,
.
, , 103000 .,
(10,3 )
, 0,01 . .
( , ..), -
.
, ,
, , " .

11.5.

, .
, , .

. , , .
:
1000
, .
1000 ., . ,
1000 . .
: 20 .
1000 . , ,
1000 . . , ;
, . 20 ., ,
1000 ., , , ,
1020 . (1000 . 20 . ).
, . 100000
, 2 . .
, 100000
, 200000 . , ,
.
, , ,
2 . . 4 , , 20000 . ,
2,00 . , ,
. 2,00 . ,
200000 . ( , 180000 .).

, "

. 11.2 , ,
: (1) ; (2)
; (3) .
, -;;
. ( 3)
. ,
, - 1 ,
. ; .
, , . U. ie
. : , ,
.

. 11.2. , , ?
, , 2,00 . ,
, ( 1). , 2,00 .
, , 2,00 . ( 2).
, , ,
, .

, ,
. ?

11.6.

.
(exclusions), (caps), (deductibles)
(copayments). .

11.6.1
(exclusions) ,
, . ,
,
, .
, - . ,
, - ,
.
(caps) , ,
. , 1 .,
, .

11.6.2
(deductible) ,
, . ,

1000 ., 1000 .
,
.
. ,
500 . (
), ,
. ,
.

11.6.3
(copayment) , .
, , 20% ,
80%.
,
. , , ,
, .
, .
.
1000 .,
, ;
. ,
1000 .;
. ,
.

11.7.
(financial guarantees) (credit risk), ..
, , , .
(loan guarantees) , ()
, .
, .
, , ,
. ,
.
.
, ,
, .
.
, , , ,
.
, ,
, . ,
, , ,
.

11.8.
,
. , , 5000 .,
, .
(.. ) , .
(interest-rate floor),
.. , .
, , . , ,
. , ,
, .
, .
(interest-rate cap), ..
, .

( ARM), 80- 90- ,


. ""
, .
(global) .

11.9.
. (option)
- .
, ,
. ,
- - .
, "" -
, . ,
-": , , ,
..
,
(). , .
, , ""
(option call); , , "" (option put).
, , "" (strike price),
(exercise price).
, , (expiration date),
.
, .
, , .

11.9.1. ""
"" , . :
XYZ. , 1000
XYZ. XYZ - 100 . . ,
XYZ , "" XYZ.
"" XYZ XYZ .
, "" XYZ 100 .
. , "" XYZ
100 . 10 . , 1000
XYZ ( 100000 .) 10000 . .
""
, . , ,
XYZ, . 100000 .
"" , ,
. , 500 .
100000 .
. 11.2 "" ,
.
, . ""
XYZ, -
.
11.2. "":

100000

1

500

""
1000 XYZ
100000 .
1
10000 .

, . ,
5000 ., 5000 .
, , 5000
"",
. 100 .,
95 ., 5 . ,

. "" ,
.
11.4
, 1000 XYZ 10 .
20%. " ""?

11.9.2. ""
8,
, . ,
, . -
- , . ""
, .
20 ,
Risky Realty. , ,
. , ,
. 10 ., ,
, 15 .
, , 6%
, , . ,
15% .
611003 5.
, "" 600000 .
, - ,
(, 6% 8% ) - , , ,
(, 15 . 8 .), 600000
. .

11.10.

- .
" ". (diversification principle) ,

, .
5
10 ./1,15 = 611003 .

11.10.1. :

, ,
, 10,
6. 100000 . , ,
, ,
. ,
, ;
. , 100000 . , 400000 .,
.
, 0 5'
0,5. . 11.3
- .
, 50000 . ,
400000 . ( ),
( ).
: , .
200000 . ( 50000 ., ,
, ).
, .
1. , 400000 .
, ; , 200000 .
1. , ; , 200000 .
2. , .

, ,
, .
, 400000 . 0,5 0,25.
200000 . , , 0,5 (
: 2 0,5 0,5). . 11.4
, , .

() .
:
()=,,
=
* .
11.3. :

0,5 0,5
0 400000
-100% 300%


. 100000
,
11.4, ||


0,25
0
0,50
200000 .
( 0,25
400000 .

-100%
100%
300%

- , :
= 0,5 0 + 0,5 400000 . = 200000 .
:
(a ) = ,
() .
, :
a = [(0,5)(0 - 200000 .)2 + (0,5)(400000 . - 200000 .)2]
a = 200000 . :
== 0,25 0 + 0,5 200000 . + 0,25 400000 .
= 200000 .
= [(0,25)(0 - 200000 .) 2 + (0,5)(200000 . - 200000 .) (0,25)(400000 . 200000 .)2]
= 200000 / = 141421 .
,
, () 200000 .,
, 1//2 200000 ., 141421 .
200% 141,1%.
, ,
, , . ,
( ,
) 7. ,
:
= 200000 ./ -JN

.
.
11.5
s ,
100 .?

11.10.2.
, ,
, . , ,

8. ,
.
, , , .
,
. ,

.
, - . ,
, :
, .
, . .
. 11.5 . 11.3 ( )
9. 2 . 11.5
( ) , , -
; 49,24% . (
), ,
37,36%. 29,69%
..
11.5. ,:

(1)
(2>
(3)
1
49,24
1,00
2
37,36
0,76
4
29,69
0,60
6
26,64
0,54
8
24,98
0,51
10
23,93
0,49
20
21,68
0,44
30
20,87
0,42
* 9.
(Meir Statman) "How Many Stocks Make a ft
sifted Portfolio", Journal of Financial and Quantitative Analysis 22 (September 1987) cmp 353-364.
. 11.5
" (1)
(2)
40
20,46
50
20,20
100
19,69
200
19,42
300
19,43
400
19,29
500
19,27
1000
19,21

(3)
0,42
0,41
0,40
0,39
0,39
0,39
0,39
0,39

(Meir Statman), "How Many Stocks Make a Diversified Portfolio", Journal of Financial
and Quantitative Analysis 22 (September 1987) . 353-364.

. 11.3.
. 11.3 ,
. : ,
, ,
. 30
.
, 19,2%,
. , -
. ,
- ,
(diversifiable risk), ,
, (nondiversifiable risk).
?
. ,
, , .
,
. , ,
, . , ,
(market risk).
, , ,
, , , (
) ,
. , ,
(firm-specific nsc).

. , ,
, . ,
, ,
, , ,
,
.
11.6
, ,
. ?

11.11.
,
. ,
, 11.10.1. 100000 .
, .
.
, , ,
50000 . . 11.4.
, 0,5,

100/ ,
100% (100000 .), .25.
(50000 .), ,
. , ,
t"". . *
, :
0,25 100000 . = 25000 .

(0,25), 100000 .,
,5), 50000 .:
0,25 100000 . + 0,5 50000 . = 50000 .
,
, . ,
. ,
() , ,
200000 . , (.
11.1). .
,
.
11.7
, ( 25000 .)
, 0,5
?
11.1
.,
, !
.
. !
, . <
- | : ,
, , i
; ,
,
.
, ,
, s , ,
, :
,
. , , ,
-Pbie . : AIG
Honeywell, g
. Honeywell
- g Pa, . *

,
.

. ,
.
,
.
.
, .
, ,
.
.
- ,
, .
.
, .

, ,
.
"" , .
.
, ,
, . ""
.
,
.

(forward contract), 359
(forward price),359
, (spot price),360
(face value), 360
(long position), 360
(short position), 360
(futures contract), 360
(swap contract), 364
(counterparty), 365
(exclusions), 369
(caps), 369
(deductible), 369
(copayment),369
(financial guarantees), 370
(credit risk), 370
(interest-rate floor), 371
(interest rate cap), 371
(option), 371
"" (call), 372
"" (put), 372
"" (strike price), 372
(exercise price), 372
, (expiration date), 372
(diversification principle), 373
(djversi-fiable risk), 377
(non-diversifiable risk), 377
(correlation), 392

11.1. , ,
:
a) 1 .
b) 3 . .
.__________

1 .
3 .

100000 .
300000 .
100000
., 100000
.,



200000 .
200000 .

1 .
3 .
, 100000 .
300000 .

100000
., 100000
.,



200000 .
200000 .
11.2. , , ,
0,50 . .
?
. ,
.
11.3. ,
, . ?

. 100000 . ,
. ,
100000 2,00 . .
, . - 2,00 .
; , , , 2,00 . ;
, .
. , 20000 .,
.
11.4. , 1000
XYZ 10 . 20%.
" "?
. 10 . , "" 90 (100 . - 10 .).
20% , "" 800 , 1000.
11.5.
, 100 . ? .
4000000 .
11.6. , ,
.
?
.
;
;
; , , .
11.7. ,
( 25000 .) ,
0,5 ?
. .
, . (
, , 4 25000 . = 100000
.) , , 0,5 4 = 0,0625.
0,0625 100000 . = 6250 . 11.8.
Posicorr .
. Posicorr 0,16,
0,245. Genco 0,14 0,2 .
0,049, = (0,49)/(0,245 0,2) = 1.
.


1. , . ,
, .
, 1,00 . ,
. 250000 .
. ,
0,75 . , 1,00 . , 1,25 . .
. , ; ?
.
?

2. , 1,00 . ,
0,90 ., 1,10 . .
. , ?
, ?
.
1,00 . ? ,
50000 100000 .
. , ? ?

3. , - Hotels International
. , . ,
1,50 . , 35000 . ,
1,50 . 35000 .
. ,
1,25 ., 1,50 . 1,75 .
. Hotels International ?

. 1,25 .,
? ?

4. ,
. 400000
0,60 . .
. , 0,40
., 0,60 . 0,80 . .
. ?
. , ?
?

5. , . ,
. "" "" 0,50 . .
, , , ,
. , 40000 1000
. 5000 . 200000 .
. ?
. ?
. 0,55 . , "" ?
:
6. ,
. Minivan,
10000 . , , ,
. - ,
.
.
, ?
. ? (
?)

7. , (),
, 2500 . 3500 . 3000
.
. ,
?
. ,
?

8. , Photo Processing, Inc. 50%
( - ), 40% 10% .
, , ,
. ,
2700000000 . 90 1
, .
. -
?
. ?
. , , ?
9. , ,
, 18 .
100000 . 0,20 . .
, , .

0,20 . . .
?
. , 0,18 .
, ? ?
. , 0,25 .
, ? ?

. Montgomery Bank and Trust
, .
,
. Montgomery Bank and Trust

, , -
. Montgomery Bank and Trust
, ? , 100 .,
9%,
75 .

11. , - .
.
. ,
?

12. ,
?
979 ., .
"" .
200000 .
.
,
.
( )
, .
.
, .
""
13. ,
. Minivan,
10000 . ,
; , , -
.
. , , , 10000 .,
, ?
. - ?
9

14. , , - .
, .
, , .
, ,
, ?
? ?

15. , (),
, 2500 . 3500 .
3000 . , .
.
?
. ?
16. , . ,
, . , - ,
. ,
?
?

17. , -
. ,
.
, 7% (APR) 30 . ,
, , 30
( 4,5%),
. 7- , , :
, 5%, 3%,
2% 11%.
. , ,
?
. 100000 . 30 ?

. ,
, 10%?

18. 6.
. ,
,
? . ? .
?
d. ?
?
""
19. , . ,
. , 1,00
. , . 250000
. , , ,
( "") 250000 ,
1,00 . . , 25000
.
. , 0,75 . ,
1,00 , 1,25 . ? ?
. ?
""
20. , - Hotels International
. , . ,
1,50 . , 35000 . ""
35000 1,50 . .
. "" 2000 .,
1,25 ., 1,50 . 1,75 .
. 1.25 . ,
""? ?

21. , . ,
, , .
,
(, 9000 .), , .
""
22. , , 65 . 60 .
, , , .
. ,
65 ., , 60 . 55 .?
. 5 ., , , 75
., ? ? ? ,
, ?
. 57 ., ?

23. , Yankee Saving Bank
, 25 (0,25%) ,
.
() , Yankee Saving Bank
10 . Yankee Saving Bank ,
12% . , , Global Products,
Inc. .
10 11%.
. 50
. ,
.

24. , SoftCola
.
,
. ,
. SoftCola ,
.
. SoftCola , -
? ?

. SoftCola ,
, ?

25. , SoftCola,
, . ,
/. .
. , 100 ,
80 .
, , ?
?
. SoftCola, ,
, , 20 .
?
. ) ), ,
SoftColal ? ?
:

26. () 1933
.
,
. -
, , .
, ,
. -
Mismath Ltd. : 100 .
, (NOW) , Mismath
.
,
. . , Mismath? .
Mismath, ?
, .
()
, . ,
, .
, .
, ,
.
. , ?
, ?
d. , ?
? ?
27. 10000 . ,
6% . "" ,
.

28. ,
. , 1% ,
100000 . cm , , 1000 .
'
. ?
. , ,
100000 . ,
7
. , 100000 .,
, . ?
?
29. , .
,
, ; ?
""?

30. , . ,
,
. 5000 . , 1000 .
. (, , 22000 . .)

, ,
. , . .
60000 .
6 . , .
, .
. ?
. , ,
6 . ,
?
. , 5,5 ,
? , , ?
.
. (1) 60000
, 60000 . (2)
, ( )
5000 .; ,
.
, , : (1) . - 6
; (2)
5% .
d. ?
. ,
? ?
, 60000
, ,
. f. ?
. . ,
. ,
, . (1)
6,1 ; (2) 7%.
g. : 60000 5000 .
?
31. , 11.3.1, ,
( )
0,5 0,25. , ,

(FDA). ,
, FDA . ,
, 100000 . 20000 .
, 0,5; ,
FDA, ,
.
. 25% ,
?
. ?
. ?
d. , ? ,
12.3.1?
. 20000 ., ?
f. ,
25% ?
?

-4
(correlation) .
.

.
Genco.
3 . 11.1. Genco ; ,
, , .
Negacorr. .

, , . 4 . 11.1
Negacorr.
. 11.2 ()
. ,
, .
Genco 0,14 .
Negacorr
, 0,02 . ( ) :
0,20.
, 50% Genco, 50%
Negacorr. ?
. 11.. , 100000 .,
50000 . .
11.1. :

Genco Negacorr
(1)
(2)
(3) (4) ___
1/3
0,385 -0,225

1/3
0,140 0,020
1/3
-0,105 _________0,265
11.2.
Genco
Negacorr

0,0600
0,385 0,140 0,245
0 0,0600 0 -0,225
-0,245 0 0,245 0 0,0600
-0,105
-0,245
0,0600
0,020

0,265

. 11.2
Genco
Negacorr

1/3(0,385+0,14-0,105) =0,14
1/3(-0,225+0,2+0,265) =0,02
1/3(0,0600 + 0 + 0,0600) = 0,04 1/3(0,0600+0+0,0600) =0,04 0,20

0,20

, . 50000 .,
-,
Genco, 69250 . (50000 . 1,385), 50000 ., Negacorr,
38750 . 69250 . + 38750 . = 108000 .
0,08.
, , . 50000 .,
Genco, 44750 . (50000 . 0,895), ,
Negacorr, 63250 . 108000 .
0,08.
. 11. , 0,08
. , Genco
Negacorr 0,08. , .
.
11.. , s , , t
> 50000 .,

Genco
50000


Negacorr
.,

Genco
100000 .
Negacorr
(1)
(2)
(3)
(4)
(5)
(6) = (4) + (5)

0,385
-0,225
1,385 50000 . = 0,775
69250 . +
69250 .
50000
.=
38750 . =
.
108000 .
0,140
0,020
1,1450000 . =57000
1,0250000 57000 . +

.
.=
51000 . =
.
108000 .

-0,105
0,265
0,895 50000 . = 1,2655000 44750 . +
44750 .
0.=
63250 . =
.
108000 .

0,140
0,020

0,200
0,200

" ; ,
. , .

(correlation coefficient). , , ,
(covariance).
11.4 Genco Negacorr
. ()
,
,
.
,
11.4

Genco
Negacorr

0,385
0,245
-0,225
0
-0,0600
0,140
0
-0,225
0,265
0

-0,105
-0,245
0,020
0,245
-0,0600
= 1/3 (-0,0600 + 0 - 0,0600) = -0,04 = -0,04/0,04 = -1
( )
. ,
() (),
, .. .
:
,
. .
( ""). :
= u/iffi
+1 ( ) -1
( ). = 0, ,

= / ( ) = -0,04 / 0,04 = -1
_ 11.8
Posicorr

Posicorr
(1)
(2)
(3)

1/3
0,46

1/3
0,16

1/3
-0,14
Posicorr Genco

12

...

,

12 1
12 2 .
123
, , .
(potrfoho selection)
(, , , , , .)
( , , ).
,
. , ,
, (risk-averse) 11
,

.
12 1
( ) , ,
. ,
, (time horizon) (nsk tolerance).
12.2 ,
12.3 ,
.

12.1.
.

,
.
, , .
, ,
; ,
, .
,
(,
).
.
,
/ . ,
, ,
,
. , .

12.1.1.
(,
, , , ..). ,
, ,
. ,
, .

, ,
. -
,
.
. , 1:
, , ,
. , , ,
.., ,
. , ,
.
, , ,
. , ,
, , ,
, . ,
, , .
, , ,
.
, , .
, , ,
, .
,
. , ,
(life annuity). .
, ,
, , , .
, .
.
, .
30 ; -.
. 30 ;
.
. ,
, .
12.1

, , ,
?

12.1.2.

. , {planning horizon)
, .

1. , 25 ,
85 , 60 .
(. 12.1).
, (decision horizon)
, .
.
,
( ) ( ).
, ,
,
, ,
,

, ,
, .
(trading honwn); ,
.
1

, , .
,

.
, ,
(, , , ,
).

. ,
.
12.1

, .
,
. ,
.
,
( ).
1000 (
, ) 65 95 .
.
69-95

1000

()
60
16,08
17,51
9,47
61
17,54
16,79
10,13
65
25,42
14,04
14,59
70
39,51
10,96
22,11
75
64,19
8,31
38,24
80
98,84
6,18
65,99
85
152,95
4,46
116,10
90
221,77
3,18
190,75
95
329,96
1,87
317,32
. Commissioners Standard Ordinary (CSO) Mortality Table.

1000

()
21,25
20,44
17,32
13,67
10.32
7,48
5,18
3,45
1.91

, 60-
61 0,1608 (16,08/1000), 62
0,1754 .. ,
, . ,
60- 17,51 , 61
16,79 .. 96 95- 0,32996;
1,87 . 4 5
.
,
. ,
, .
,
, . ,
"" . "" ,
, .
, , .
, , .
, ,
.
12.2
? ?

12.1.3.
(tolerance)
2. , , ,
, , .., .. ,

.
. ,
, , , .

,
. , ,
, , , ,
, . ,
, ,
.
10 . ,

12.3
, ?
?

12.1.4.
, .
,
" " , .
" " ,
, , , ,
.
, ,
, .
"" , ,
, .
. ,
, ,
, , , ,
.

12.2. :
,

.
,
, .
(risky assets), , , , .,
, ,
.
: (1)
(2) .
,
, . ( ,
.) ,
. 12.3.4 ,
.

12.2.1.
4 , ,
(, ..)
. ,
, , , ,
6% ,
, .

, , ,
. ,
, ,
.
,
,
, . ,
, ,
(..
).
, ,
,
.
12.4
, ,
?

12.2.2.

, 100000 .
0,06 0,14
0,203. 100000 . 4?
. 12.1 . 12.1. ,
( F . . 12.1 . 12.1).
2 . 12.1 , (0), 3
, (100%). 100%.
4 5 . 12.1 , F:
(), 0,06 , , 0,00.
, , S . 12.1
. 12.1. 0,14,
0,20.
. 12.1 , (), ,
, <, . . 12.1
. 12.1.
. 12.1 . . 12.1,
F, G, H, J S, ()
-5.
, 2 3 . 12.1.
()
10.8 10.9. ,
, .
. .
, , ,
. . .
F, . 12.1 , (), 0,06 , , 0,
. ,
0,06 . , ,
, /.
, .
, S () 0,14 - 0,20.
12.1.
)

, ,


(1)
,
E(r)
%
, %
(4)
F
0
100
0,06
G
25
75
0,08

50
50
0,10
J
75
25
0,12"


(5)
0,00
0,05
0,10
0,15

100

0,14

0,20


. 12,1.
. F , 100%
0,06 . S , 100%
0,14 < 0,20. //
, .
//( . 12.1) , .
50% , 50% ,
, , ..
(0,14), , (0,06).
(0,10) 4, (0,10) 5.
12.5
. 12.1 , J. . 12.1
, .
100000 . , J?
, . 12.1 ,
/, , . 12.1. , ,
, 0,09. . 12.1,
, , / G .
? ,
, , . 12.1.
, .
1. ,
.
w 100000 ., .
(I - w); . (r) :
(12.1)
(r) , rf .
0,06, (r) 0,14, :
E (r)= 0,06 + w (0,14-0,06) = 0,06 + 0,08w
12.1 .
(0,06 ). , ,
, (1)
E (rs) - rf (0,08 ) (2) ,
w.
, 0,09,
12.1 w.
0,09=0,06+0,08w
(0.09-0,06), 0,08
, 37,5% , 62,5% .
2. ,
.
,
,

. s
:
, 0,09,
12.2 w 0,375
=sw =0,20,375 =0,075
, 0 075. , w,
,
/.
3. .
, / 12.1,
12.2 w /. w 12.1,
:

E (r ) r f

E (rs ) r f

0,06 0,40

, ,
, , T[ == 0,06
, :

E (rs ) r f

0,08
0,40
0,2

,
, .
12.2.3. : 1
, 0,11
. ?

0,11, 0
12.1 w.
0,11 =0,06+0,08w
0,06
w 0,11
0,625
0,08
, 62,5% 37,5% .
, 0,11,
12.2 w 0,625 .
= 0,2w= 0,20,625 =0,125
, 0,125
12.6
/ OY ', (. 12.1),
0,03 , '
0,10 ?

12.2.4.
(efficient portfolio) ,
.
,
, ,
. 2 0,08
0.15. R . 12.2.
, 1 0.08 , ,
2. , R.
, G
(0,08 ) .
. 12.1 , G 0,05. , -
25% 1, 75% .
, /, G
S, R. ,
1 . ,
J , 2 ( = 0,15),
0,12 , 0,08. . 12.1 ,
, 75% 1 25%
.

12.1 12.2 ,
G J , ,
o 2. , ,
, 62,5% 1 37,5 % .
0,11 , 0,125.
12.7
0,105 ,
1 ? ?
2.

. 12.2.
. R 100% , 2
0,08 = 0,15.
, G J.

12.3. 1

2
, , ?
?
. 1
, 1 2;
.

12.3.1.

; 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)
:
2 = 12 + (1 - w)2 2 + 2w (1 - w) p1 2 (12.5)
12.1 12.2. 12.4 , ,
12.1, rr
2, (r2) 12.5 12.2. 2
, 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

,

0
25
|
36

50
100

100
75
64

,

0,0800
0,0950
0,1016

0,1500
0,1231
0,1200

50

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, ,
:

12.3.2.
/,
1 2. . 12.4
/; ,
.


. 12.4. . , =0,06, /-=0,14,
/=0,20, )=0,08, ;=0,15, /?=0.
, F S. ,
/, . 12.1.
/ ,
1.
, Fc , R S,
, / :
1 2 . ,
, , F . ,
F, , R S. ,
. 12.4, .

. :

, , (
, (the tangency
portfolio)), 69,23% 1 30,77% 2. ,
(-), , , :
(/y)=0,122 =0,146
, / :
0,42.
/, F S:
() =0,06 +0,40
0,40. , ,
,
.

12.3.3.

,
/ . , , 12.1
, ,
, () . ,
, F . . 12.5
. , , 50%
( ) 50% .
12.1 12.2 , ,

, . ,
:
() = / + 0,5 [(/y) - /7] = 0,06 + 0,5(0,122 - 0,06) = 0,091 = 0,5,- =0,50,146=0.073
, 69,2% 1 30,8%
2, , :

50,0%

0,569,2%= 34,6%

1 0,530,8%= 15,4%

2
100,0%
, 100000 . , 50000 .
, 34600 . 1 15400 . 2.
,
.
, .
, ()
. 12.4, .
- .

. 12.5.

12.3.4. : 2
, 100000 .,
0,10 . ,
/ (, S)
/ (, F 7).
?

-, , ,
, . - ,
. -" /,
, :
() =(/,>+, (1-w) (/)= 0,122w+0,06(1-')
0,10 ', :
(/-)=-0,06 + 0,062w =0,10
0,10-0,06 . .w = = 0,6D 0,062
, 65% 100000 .
, 35% .
:
(J=\V(T =0,650,146=0,095
69,2% 1
30,8% 2, 0,10
:

35%
0,6569,2%= 45%


0,6530,8%= 20%

100
% / ,
w, :
(r) =(/>+/ (1-uQ (r)=0,14w+0,06(l-w)
0,10 w, :
(r)= 0,06+0,08=0,10
0,10 - 0 -0, 5
0
w 0,
08
, 50% 100000 . 1.
50% .
:
12.9
, , . 12.5 ,
F F. , 75%
, , 25% .
? 1000000 .,
?
,
, .
1 2
. , ,
( , , ),
, . ,
, :
, ,

,
.

12.3.5.
,
, .
, ,
, .
, .
. 12.6 ,
7. (basic assets)
1, 2 .. . ,
, (efficient portfolio
frontier) . ,

.

. 12.6 , .
,
,
, .
,
, ( ),
. , ,
,
/.
, 12.1.
(, , )
" " , ?
,
, .
. , , ,
.
, ,
, ,
;
. , ,
.
,
, .
60-
.
/,
,
.
, , .
, - .
, ,
, .

8.
-
(mean-variance
approach). .
1101
, "" . ".
, 041")

'-"''la
8
. R.C. Merton, Continuous-Time Finance, Blackwell, 1992, 4-6, 14, 15 21.
, , -|
.

" " ,
.
, ,

.
.
, .

() , .
, ,
, .

, .
, . ,

.


, "" ,
. , , ,
. "" , , .

(portfolio selection), 396
(minimum-variance portfolio), 408
(optimal combination of risky assets), 409
(efficient portfolio frontier), 413
1 (life annuity), 397
(investment strategy), 399
(efficient I portfolio), 405

12.1. -
, 'W ,
?
. , ,
, , .
, ,
, .
- , , \'
.
12.2. ?
?
. .
12.3. ,
? ?
. (
), .
, .
12.4. ,
, ?
: ,
.
12.5. . 12.1 , J.
. 12.1 , .
100000 . ,
J?
. 75000 . , 25000 . .
12.6. / OY
(. 12.1), 0,03 ,
0,] 0 ?
. 0,03,
0,4 0,35.
12.7. 0,105 ,
1 ?
? 2. .
56,25% , ;
, 0,105.
0,1125 ( 2, 0,15).
12.8. ,
60% 1 40% 2,
0,1? .
()- 0,60,14 +0,40,08 =0,114 (72=(0,6)2x(0,2)2+(0,4)2x(0,15)2+2(0,6)(0,4)(0,l)(0,2)(0,15)= 0,01944
=0,1394
12.9. , , . 12.5
, F F.
, 75% , , 25%

. ?
1000000 ., ?
.
() = 0,12154 0,75 + 0,06 0,25 = 0,1062 = 0,75 0,14595 = 0,1095
25% , 51,9% (0,7569,2) 1, 23,1% (0,7530,8)
2.

1. , 58- Ruffy Stuffed Toy Company (,
) 15 (companymatched savings plan). Ruffy Stuffed Toy 0,50 .
1,00 ., , , 6% .
: (1)
; (2) "" , ,
; (3) , ,
; (4) ,
Ruffy Stuffed Toy Company.
, , ,
- , .
, , 98%
Ruffy.
, , ;
. ,
, , ; ,
, , ,
. , , ,
, . ?
?
, Ruffy 98% ,
, ? , ,
? ? ? 2. . . 12.1.
. , , (F, G, , J, S)
( 4) .
. 5 .
. , , . ,
, ( )
.
d. ?
3. , ,
(, . .},
4,50% (0,045). ,
( ,
. .),
20% (0,20) 0,25.
. , /.
. ,
, ?
. ,
15% (0,15)?
4. /
, ?
5. , AT&T Microsoft. AT&T Microsoft
0,10 0,21 0,15 0,25
. ( ),
& Microsoft, ? 0,5? I? -1?
, & Microsoft, , -1 0,
0,5, +1? ?
. 5?
.
4,50% (0,045)?
- ?
d. ?
. .
f. / , 0,5.
, ?

6. , AT&T u. Microsoft,
0,5, 1 12.6, .
. , 100%
4,5%.
/?
. , 90%
10% & Microsoft.
. , 25%
75% & Microsoft.
d. , 0%
100% AT&T Microsoft.
?
7. , AT&T Microsoft,
0,5, 10000 . , &
Microsoft.
. , 75% 25%
AT&T Microsoft. ?
. , 25% 75%
AT&T Microsoft. ?
. , 100%
& Microsoft. ?
8. ,
/, , /
? ? ?
9.
.
0,065 0,1392. , ,
, , 1 -1.


:

:

0,05
-0,02
-0,20

2%
3%

0,15
0,60
0,20

-0,01
0,15
0,15

-0,10
0,15
0,30

10. "" .
. . .
- ?
.
. . .
, .
. , 9
d . , 40,
noicvn , ,
> \-,
10

,

() , (),
w , , (}
, /
= a,\v
,
, ,
2 = -2 + (1 - w)2 (2 + 2w (1 - w) po-iO-;,

, ,
,
,
, " "
,
, ,
,
, , ,

, , ,
, ,
,
,
-, , ,
, , ,
,
,
, ,
25 (
) 25-

25- ,
-, , , {shortfall)
, ,
, , , ,
,
, , ,
,
9

13

...
()

,


131
13 2 ,
13 3 ""
134
13 5
13 6
9

Zjwee 11, ""


15 ,

, (capital asset pricing model, CAPM)



, 12 ,

,
-,
, (indexing)

, Standard & Poor's 500
Morgan Stanley ( ).
, , ,
.

.
-, . ,
9 , ,
,
. 16
.
""
, "
".

13.1.
(capital asset pricing model) ,
12 .
60- 1. :
,
,
,
?
,
.
,
, ,
.
, ..
,
. ,
" ".
.
12 ,
:
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, , ,
, , F,
(. 12.3.3.). - .
1.
, (.. )
. , ,
.
2. .
,
, .
,
, ,
,
, . ,
1

. 1990 HfPK,
1964 , ,

, ,
(market portfolio).
, .
, . ,
/, /-
. ,
: , Toyota .
( ): 66 .
GM, 22 . Toyota 12 . .
100 . , 66% GM, 22%
Toyota 12% .
,
, .

,
. ,
GM Toyota 3 1 ( 66/22). :
75% GM 25%
Toyota.
, 100000 .
, , ,
, .
, 66000 . GM, 22000 Toyota, a 12000
.
24000 . ( , ) 76000 .
GM 0,75 '6000 ., 57000
., Toyota 0,25 76000 ., 19000 . ,
GM , Toyota
13.1
100000 .,
. GM Toyota
. 13.1, >
/, .
, ,
' , , BOB,
//
/ , (capital market line, CML). . 13.1
/ , F
, , .

() 13 1.

E (r) = rf + (E (rm) - rf ) /m
=0,06 + 0,4

" ".
, ,

,
.

E (r) = rf + (E (rm) - rf ) /m

(13.1)

,
E (r)
m ()
E (rm) ,
rf / ,
() .
,

= (E (rm) - rf ) /m
, ,
,
, ,
""
,
, ,
.
.
, , ,
.
, . , ,
,
, . , ,
.
, , " "
, ,
,
, .. ,
, . ,
.
, "
" , .
13.2
, , -,
?

13.2. ,


- .
, ,
, . -,
.
,
, ( ):
E (rm) - rf = m2

(13.2)

.
, 0,20,
2. 0,08:
E (rm) - rf = 2 0,22 = 2 0,4 = 0,08

, ,
, ,
.
,
, .
4,
,
.
, ,
.
0,14
, 0,06.
13.1, :
E (r) = rf + (E (rm) - rf ) /m =
= 0,06 + 0,40
, , ,
0,40 ,
, .
13.3
2 3

13.3. ""


,

, ,
. , , ,
,
. . 13.1 , ,
() :
, {) , , .
, .
. ,
, , "" ( /?).
""
. "" j

j jm/m2
jm j- 2.

"", .
:
E (rj) rf = j [E (rm) - rf]

(13.3)

, (security
market line, SML), . 13 2. , 13 2
"" ,
.
. 0,08, 8% ,

2

" " , ,
, -

E (rj) rf= 0,08j



.
, %, ( )
, j , ( )
, , %. ,
"" ( 1) "",
, . ,
, , .
, "" ( 1), "".
"", 1, "", 1,
"".

. 13.2.
. ( , )
, .
- "",
, . ,
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. 13.2. - ,
" ", . (
, - .)
, , >
,
,
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, /
. [ J
.
"" ,
(.. , -
) , . ,
" , 0,75 , ,25
, 0,75.
13.4
, , "" 0,5.
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?

13.4.

13.3, ,
, . ,
, ,
, ,

, ,
"" .
, ,
.
,
.
"
".

.
. , 1 .
, :
, . ,
, 60%
, 40% , 0% . , ,
.
, 600000 . , 400000 .
.
, 1 . ,
. , ,
: 60% , 40% .

" " ,
. ,
, ,
,
, .

,
10 , 0 ,

.
.
,
, , , ,
, . ,
, , .
, ,
, , ,
.

. (indexing),
, , ,
, Standard & Poor's 500.
, ,
, , . -,
, ,
, . -,
, . ,

. , , .
,
.
,
.
.
13.3, ,
"" .

( ) "" (
"").
, ""
, ,

.

, ,
""
, .
.
, 6% ,
8% , 20%.
Alpha Fund, , "", 0,5,
"", 1% ( ), , 15%.
. 13.3 13.4 Alpha Fund
. Alpha Alpha Fund. . 13.3 Alpha
. Alpha Fund
Alpha .

. 13.3. Alpha Fund


. 0,08, 8% .
Alpha Fund "" 0,5 "" 1%
.

. 13.4. Alpha Fund


. 6% ,
8% 20% .
0,4. Alpha Fund 11% 15%.
. 13.4 Alpha , ,
. Alpha Fund
, /
, . ,
Alpha Fund , ,
.
Q . 13.4 Alpha Fund .
-
" ", , F Q.
. ,

, ,
"" .
13.5
"" :
?

13.5.

.

() .
"" ,
, , "
".
.

13.5.1.

7,
(, )
, ( ).

D, t, a k
. , ,
.
k.
, , Steadygrowth Corporation
, 10% . , ,

D1
5 .

D2
5,50 .

D3
6,05

..
..

9, ,
g,
P0 = D1 / (k - g)
Steadygrowth Corporation , a
P0 = 5 / (k 0,10)
k "" Steadygrowth Corporation
:
, 0,03, steady.=1,5,
0,08. k = 0,15 .
, , Steadygrowth
Corporation.

13.6
Steadygrowth Corporation, "" 2, 1,5?

3.5.2.
16, ( )
.
.
, . ,
, Sfeadygrowth Corporation.
, Corporation
. , "" Corporation
1,1. 0,06 , ,
Corporation 0,08 . , -
, . corporation
E(rABC) = rf + ABC [E(rM) - rf] = 0,06 + 1,1 0,08 = 0,148
, Corporation 0,148 .

13.5.3.

, ,
""
, . , ,
,
, .
, ,
.

, , ,
.
, (- ) .

, ,
. ,
, , ,
"".

13.6.
70- ,

, ,
, . , ,
, .
.
,
3.
.
, , " , ,
.
,
. ;
, ;
BOB; , ,
.
, .
, , . ,
, .
, ( )
3
. F Black, . Jensen, and . Scholes, "The Capital Asset Pricing Model Some Empirical Tes15 M. Jensen, ed.. Studies in the
Theory a/Capital Markets, New York: Praeger, 1972; E. Fama and J. "Risk, Return and Equilibrium: Some Empirical Tests",
Journal of Political Economy, 8, 1973; E. ram K. French, "Multifactor Explanations of Asset Pricing Anomalies", Journal of
Finance, 31, 1996.

. , ,
.
. , ,
,
.
"", , ,
, ,
.
, .
.
, (Arbitrage Pricing Theory, ).
, , ,
, (..
).
"" , , ,
"",
.
, ,
, ,
- .

.

, .

.
""
.
, , ,
.
.

.

" ".
:


,
.


. ""
,
.

,
.
.

"",
. , ,
" ".
; , , .

(capital asset pricing model)
(market portfolio)
(capital market line)
"" (beta)
(security market line)
(indexing)
"" (alpha)


13.1. 100000 .,
. GM
Toyota? . GM 75000 ., Toyota 25000 . 13.2.
, ,
? .

.
13.3.
2 ? ;
. 2 3 0,08
0,12, 0,4 0,6.
13.4. , , ""
0,5. , , ?
?
. , "" 0,5, ,
. 0,08,
0,04.
, .
, ,
/ + 0,04.
13.5. " " ,
?
. ""
.
13.6. Steadygrowth Corporation, ""
2, 1,5?
. "" Steadygrowth 2, k=0,19 =5/(0,19 - 0,10)
= 55,56 . .


1. Flatland
: X, Y Z, . ,
( ) : 24 ., 36 ., 24 .
16 . .
. .
. , 100000 ., 40000 .
, 15000 . X, 12000 . Y 33000 . Z. ,
,
20000 . ,
200000 .

2. 0,46 ,
0,15 .
. , , 0,10
.
. 0,20,
, ?
. , .
,
d.
.
. , 5 .,
, 4% , "", 0,8.
(.. ),
?
3. , ? .
.
.

""

0,20 0,25
1,4 1,2
..


....,;,., : ',.;,


.,,... 0,30., 0,40


,. 0,35..,.,. 0,25

0,10 0,18 0,16

'


0 0,24 0,12

0,10 0,18 0,20


0 0,24 0,22

4. 4%,
12%, .
0,20, ,
? ,
5. ,
0,05, - ;;
0,25, 3.

10000 . ,
?
6. 40% , 60% Industrial
Light and Magic. ,
0,6,
MGM
ILM

10%
15%

15%.;
25%

.
.
. , , , ,
MGMi /ZA/? ?
7. , 20%.
: ' 8%,
13%, 0,25. ,
, .
. "".
. .
. .

8. Suwki Motor Company .
Seppuku.
15%, 5%, ,
, Seppuku 20% .
"" -' Suwki ?
9. Roobel and Associates,
, , Yablonsky Toy Company 1000
. , Yablonsky ,
10%,
' 18%,
. "" Yablonsky 3;
. "" Yablonsky 0,5.

10. , de Rodman, Inc, ,
0,30
0,9. (
), 0,20, de
Rodman , "", 1,8.

11. Vo Giap Clothing Company 50 ,


( ) 14%. 8%,
6%. ,
,
50%?
12. , , IBM , ,
General Motors , IBM 100 .,
, General Motors 30 . 91-
( ) 5%,
15%, 1, "" IBM
2 7
13. , : "
,
,
.

."

14. Pizzaro 12%,
30%.
5% . 10% ,
20%.
Piv-aro, ?

:
15. , :
, 50% 50%. ,
, .
0,20 0,20 , 0.
() 3. , 0,08
.
. , , ,
?
. . ? ,
?
. . ?
, ?

14


| ...
'
-, '
, -

14.1. 444
14.2. 447
14.3. 448
14.4. - 449
14.5. 450
14.6. : - 450 (g 14.7. 454
14.8. "" 456
14.9. 457
14.10.
458
14.11 "" 459 4.12. 459 13.
460
11,
,
, .. .
, , .
'' ,
(, )
, .
(-)
, .
, (financial
futures) a , ,
.

14.1.

11, ,
,
, .
.
,
.
, ,
.
.
,
.
, , -,.
(lake a long position), , ,
(take a short position). , , ,
.
, ,
, .

, ,
1.
, ,
. 11.
.
( ,
), , , ,
, .
, ,
.
,
. , ,
. , ,
"" ..
. ,
.
Chicago Board of
Trade (CBT) 5000 . .
14.1 ,
The Wall Street Journal.
. 14.1 .
,
. (, ).
, ,
, . ,
.
. .
14.1. ()
Monday Aug.5,1991
WHEAT (CBT) 5 000 bu.; cents per bu.
Open High
Low Settle
Change
Lifetime
High
Sept 292
Dec
Mr92
May
Yuly 301

290 3/4
304 1/4
310
307 1/2
298 S 299 3/4

Lifetime Low

Open Interest
16168

294 1/2 289

-7 1/4.

326

258

1/2

303

-1/4

311

2798 1/2

3561

Est. volume 16000; vol Fri 11126; open int. 54588, - 1101
, ,
CBT.
. ,
.
, ,
,
. , (margin requirement)
, . -"
(marked to
market).
. 14.1 .
4 1991
. , 1500
2.
5 7 1/4 . , 7
1/4 5000 , 362,50 ., ,
1

. ,
, .. , , ,
, .. . , , ,
, , .. . . .
2

. ,
, .

(margin call)
. ,
.
.
, ,
,
.
, ..
.
, , . 14.1.
.
.
,
,
,
. , ,
.
,
.
, ,
.
, .

3.
14.1
,
, 7
1/4 , ?

14.2.
,
.
, , ,
, , , .
,
, .
, ,
. 2 . ,
( ) F.
, - (1- ),
F
(2- ). , .
, (cost of ),
, ,
10 .
, , , F 2,10
. , 2,12 . ,
.
, , ,
15 . 2,12
. - ,
, . ,
, , ,
, .
S ,
3

. Bradford Comell and Marc R. Reinganum, "Forward and Futures Prices: Evidence from
Foreign Exchange Markets", Journal of Finance, 36 (December 1981).

. , j
, / < F - S. ,
, (spread), ,
:
,
.
, , ,

. ,
. ,
-. (
) -i, .
, ,
, (.. =0)4.
14.2
, 3 . ,
3,10 . ,
15 . ?

14.3.
,
(, ,
), .
. , ,
(hedger).
(speculators),
-.
,
.
.
, ,
.
, . ,
, , , , ,
.
,
.
, , .
, , ,
, , . "
. , 2 .
. 2 . ,
( ),
.
, ,
, , 1,50 . .
,
1,50 . . , 2 .
, 0,50 . .
, 2 .
, .. -. , 2,50 . .
( ),
2,50 . . ,
2 . . , 0,50 .
.

4
, ,
, , , . ,
- .
, ,
.

,
. , , ,
, .
, .
,
. , .
, , ,
.
-, , ,
, ,
. -,
, ,
. ,
, . ,
,
.
,
.

14.4. - '

14.2, ,
. -, - 2 .
. ,
( F), .
,
, .
-" .
, :
FSC

(14.1)

, ,
.

14.5.


. ,
, ,
.
?
: (1) (2) .
1. , , (stock out)
(14.1) .
.
, ,
-5.
2. ,
, , . ,
14.1 . ,
,
. , , ,
, ,
. ,
, 6.
5
, ,
- 14 9.
6
,
, ,

14.3

, ?

14.6. : -
,
, .
, ,
(forward-spot price-parity relation).
, .
. . S,
5 s ,
. ,
(14.2)

, , 300 ., 2% ,

-=-."
, 300 .
, , (synthetic) .
, 300 . (.. , )
F.

, , 8%,

; , (14.2) (14.3),
5', -F _S-S ~~+''~~S~~S

:
F={l+r+s)xS (14.4)
330 .
:
F = (1 + + s) S = 1,10 300 = 330
330 . , -"
- . ,
, 330 . ,
" - (.. ),
.
,
. ,
.
. 14.2 , ,
330 . , 340 . . ,
300 .
340 . . 10
. , .
, , 320 .
. . 14.3 , ,
330, 320 . .
- 330 . ,
320 . . ,

. , .
(convenience yield) ( ).

, 10 . ,
7.
14.2. 1

S1

0
340 300 .


300 .
- 300 .
0

-324 .
S1
- 6 .
340 -

14.3.

300 .
S1
0
S1 - 320 .
300 - - 300 .
324
.

6
.
0
330 .- 320 .=
- . , .
, , . ,
, .
14.4
, r=0,06, S=400 . s=0,02. ?
, , .

14.6.1. ""

-
, -. ,
14.4, ,
, .
, ,
.
, ,
(implied cost of carry),
:
= F - S
,
, : .
14.4
, ( )
:

, ,
.
, , 300 . ,
330 ., 8%.
?
= F S = 330 . 300 . = 30 .
= (F S)/S = 0,10 0,08 = 0,02, 2% .
14.5
7

,
, ,

, 300 . ,
324 . - \ ?
, 7% ?

14.7.

;'1 , -SS J .
, , -47 . ,
, . , ,
.
,
. ,
.
S&P,
. . S&P
.
F. , ,
F , .
S,.
.
, ,
F S/. , , 108 . . ,
109 ., , , 1
. , . 107 ., ,
, 1 . , .
S&P. ,
S&P 100 ., 8% ,
. ?
, ,
S&P. F,
S&P.
F S&P
.
, S&P
S&P , S&P.
.
. 14.4 ,
. , S&P
(replicating portfolio) ,
Sj.
14.4. '

Si

(
) 0

S,-F

-F/1,08
F
F

-F/1,08
Si

, :
(14.5)

, ,
.
14.5 , F
S .

F = S (1 + ) = 100 . 1,08 = 108 .


,
,
:
(14.6),

.
. ,
. ,
. , , =0,08, S=100 . , F,
109 . 108 . , 1 . , ,
.
S&P
S&P , .
? - ,
. , S&P,
, ,
S&P. ,
1 . . ,
, , 1 .
. 14.5 , . ,
. -
- ,
14.6 .
14.9.


0
109 -Si

100 .
- 108 .

-
S)

0
1
, ,
- .
.
F, S . ,
, .

14.8. ""
, ,
, ,
. , F 108 .,
108 ., .
108 ., 100 .
108
100 ., 108 . ,
(S,) . ,
( ) 108 .
100 ., 8%.
. 14.6.
,
,
(14.7)

14.6.

108 . -108 /(1 +) 108 .


( )
- 81 0 (108 - S1) .
- 108

14.6
, S&P 100 .,
107 . ? ,
8% ,
.

14.9

,
, ,
. , ,
S&P 7% , 8%.
, S&P
15% .
100 , - 115 .
, S&P 15%
- 15% , :
- =
..-0,15
i =1,15 . =1,15100 =115 .

S&P 108 . ,
( ), ,
7% , .
14.7
, S&P 7% , 6%.
, , - 8%
? ?

14.10.


, .
, 14.6
.
, D .
,
.

F+D ,
. 14.7.
14.7.



-S
D+Si

(
) 0

S,-F

-D+F
D+F
D+F
(1+)
-D+F
D+Si

(1+)
, :
(14.8)

, , D , rS, ,
(D/S) , D
,

14.8

. ?

14.11. ""
14.8 , , ,
-. ,
, . 14.8 ,
:

D=S(l+r)-F
, , S = 100 .,
5 .:

te

0,08 F = 103 .,

D= 1001,08 -103 =5

14.12.
- (
) .
:
(14.9)

F , S , () ,
() . .
, , : S = 0,01 . , ; = 0,08
, = 0,05 . , F,
0,0102857 . :
1 8 F = 0,01 - =0,0102857
, ,
"".
1 F
F.
F/(l+r$). ,
1 , Si
. 14.8 .

14.8.


-S Si
) ( )
0 Si - F
F -F F
(1) -F Si
Cs.)
,
, ,
. ,
:
(14.10)

14.10
, , , ,
,
.

- - . , ,
, ,
.
14.9
, $ = 0,06, = 0,03 S = 0,01 . ?
, , , .

14.13.
(expectations hypothesis),
, .
, S,
E(Sj) ,

F=E(S,) (14.11)
. 14.9 - 9
1991 , The Wall Street Journal. ,
, ,
- . ,
180- - , 0,007289/0,007302 = 0,99822,
, 180 0,178%
14.9.

( . )
() 30- 0,007302
0,007299
90- 0,007289
180-

0,007291

-
1 , Bankers Trust Co 3

14.11 , (14.10) ,
:
(14.12)

, ( ) ,
( 14.11),
14.12. , ,
. , ,
14.12.
, ,
. , .
, ,
. 8. ,
14.11
, . ,
/ /.

.

:
, .
, ,
, .
,
:
F-SC
,
, :
F=(l+r+s)S
F , 5" , s .
.

, .
,
, , 1 ,
:
F =S(l+r)-D
, ,
, .
/
:

F , S , ,
.

, (financial futures), 444
() (forward contract), 444
(margin call), 446
(spread), 447
(hedger), 448
(speculators), 448
8
, , I/S
, 1/F 14.11 ,
1/F = E(1/S,) , F = E(J/Si), E(J/Si) = I/E(Si)
-cwye , , ,
E(1/S,) > l/E(S,)

- (forward-spot price-parity relations), 451


(implied dividend), 459
(expectations hypothesis), 460

14.1.
, ,
7 1/4 , ?
. 7 1/4 5000 , 362,50 .,
, .
, .
14.2. , 3
. , 3,10 . ,
0,15 . ?
. ,
. ,
.
14.3.
,
?
. , , 14.1
.
14.4. , r=0,06, S=400 . s=0,02.
? , , ,
.
. 424 . :
F = (1 + + s) S = 1,06 400 = 424 .
424 . ,
.
424 . ,
(.. ),
.
14.5. , 300 . ,
324 .
? - cue , 7%
?
. F S = 324 .
300 . = 24 . .
(F - S)/S - == 0,08 - 0,07 ==0,1, 1% .
14.6. , S&P 100 .,
107 . ?
, , 8% ,
.
. ,
, - ;

8%,
100 . 107 .
1 . .
14.7. , S&P 7% , 6%.
, , 8% ? ?
. S&P 14% . 100
. , 114 . ,
S&P 14%
14% .
S&P 108 .
14.8.
. ?
. ,
.

14.9. , /- = 0,06, = 0,03 S = 0,01 .


? , , ,
. . 0,0102913 :
F = 0,01 106 =0,0102913
, ,
6%, 3%
. ,
, 3%, 6%
.
,
14.10.
(14.10)

14.10 ,

, , .


14.1-14.3,14.6-14.11
1. , . ,
, 50 .
. 1,50 . 1 .
. ,
.
. , / = 0,12 == 0,08. S = 1,50 .,
?
. , F . 0,10 . , (),
.


2. , ,
7% ( ).
. 30- 8% ,
?
. ?
. , , 1 . , ,
(), .

3. 100 .; 7% (
), 3 . .
. ?
. 1 . ,
(), ?

4.
. , ,
?
5. , , . ,
7,45 . , ,
7,60 . , ,
0,10 . ?

6. , ,
435,00 91-
1%, -' 0,002 .

7. , , .
, 180,00 . ,
205,20 . , 4%
.
. , ,
?

. ,
, 5%?
?

8.
, 425,00 . ,
273 460,00 ., 91-
2%, .
9. , 182 , 410,00 ., ,
91 2%.
, ?
10. , Kramer, Inc., -
, , 45,00
., , 41,00 . ,
5%,
:
. , , ?
. ?
?
11. , 273-
, Mifune and Associates 4750
, 273 5000 .
12. ,
Giap Industries 54000 ,
60000 . ,
15%? , . , 0'
.
13. Schleifer and Associates, ,
, 10000 , 182
11000 . , Schleifer and Associates
,
182 15%.
14. 113
, 110 .
,
2,21%.


11, , ,
,
.
(notional, principal amount). , , ,
-
.
,
. - ,
.
, , , .
, .
100 . , ,

- , 100 .
.
, , 0,01
., 0,0104 .
, 100 ,
, 100 .
1 ., 1,04 .
,
. ?
, 8%
, . F .
100000000/'.
.

, ,
0,01 . 0,0104
. , 1 . 1,04 . .
,
, , ,
F. , ,
:
1 . /1,08 +1,04 . /1,082 = 100000000F (1 /1,08 +1 /1,08)2

F = 0,010192307 .

15

...

"", "", .
-.

,

1.1.
1.2.
1.3. "" ""
1.4.
1.5. ()
15.6.
15.7. -
15.8.
11 15.9. :
15.10.
15.11.
, -
, . ,
. , ,
- .
,
.
, .
(contingent claim) ,
1. ,
,
, \'-
. ,
, .
- (Black Scholes model),
70-. ,
(Chicago Board Options Exchange, ), 1973 . 1975
,
. ,
, .

,
.
.
,
,
. ,
"", "", ,
. ,
, .
, .

15.1.

contingent claim .
. . .

,
. , ,
, , , , .
, .
"" (option call);
"" (option put).
, , "" (strike price),
(exercise price).
, , ,
(expiration date), , .
.
.
(exchange-traded options) ,
. -'
. ,
, (over-the-counter options).
15.1. /||
IBM (IBM)
Underlying stock
Call
Strike
Expiration Volume Last
Open interest Volume
115 Jim 1372
7 4483 756
115 Oct
2584 10
115 Jan
15 53
120 Jun 2377
3
'/2 8049 873
120 Oct 121
9
Ve 2561 45
120 Jan 91
12 '/2 8842
125 Jun 1564
1
'/2 9764 17
125 Oct 91
7
V2 2360
125 Jan 87
10 '/2 124

price: 120V16
Put
Last
Open interest
3
l
9692
5
967

40
27/8
9849
7V8
1993
...
5259
5V4
5900
.,,
731
...
70

, 28 1998
The Wall Street Journal, 29 1998 . The
Wall
Street Journal, 1998 Dow Jones & Company, Inc.
. 15.1. ("" "") ,
, "" . ,
, . ,
, , "" 100 ,
, .
,
, 2. . 15 1
IBM, .
, IBM , 28
1998 , 120 '/, . .
, 115 ., , 28
"" IBM . ,
"Volume", , ""
IBM 115 1372.
, "" IBM
115 . "Volume " , ,
"" IBM , 7, 700 . 3.
"Open interest"
LEAPS,
3
100 .
" ") 28 .
,
""
IBM 115.
, (
). (intrinsic value, tangible value). ,
"" IBM 115 .,

? IBM 120 '/, ,


115 ., "" 5
'/, . . 7 , ,
1 "/, (time value)
,
. , , . 15.1 "" IBM
"" 120 ., , .
7, ., 3 '/, 9 5/, 12 7
"" IBM 115.
, , ,
(out of the money). , "" IBM 115 .
. "" IBM 115 .
(in the money). , ""
, "" , . ,
, , (at the money).
"' "" .
"" . ,
15.1 , .
"" 115 . 120 125 . "" 7 3
'/ . 1 , ., ""
1 3/ 2 Vg 5 .
15.1
. 15 1,
"" IBM 125 .
"".

15.1.1.
, IBM, (index
options). , "" "" S&P
500, SPX. SPX ""
, ,
S&P 500.
. 15.2 5 1998 .
SFX , ,
4.
SPX , ""
, 100 ., "".
, , "" 1110 S&P
500 19 1998 1115,
500 .,
100 . (1115 -1110) = 500 .
(cash settlement) ,
. , , IBM 120 .,
"" IBM "" 115 . 11500
100 IBM 12000 .
"" IBM , ,
"" "" 500 . (. 12000 11500 ),
IBM 11500 .
15.2.
SAP 500 INDEX-AM
Chicago Exchange
Underlying
High
Low
Close
Net Change From Dec. 31 % Change
index (SPX) 1113,88 1084,28 1113,86
S&P500
+19,03
+143,43
+14,8
Strike
Volume
Last
Net Change Open
Interest
Jun
1110 call 2081 17 '/4 +8 '/2
15754
Jun
1110 put 1077 10 -11
17104
Jul
1110 call 1278 33 '/ +9 '/2
3712
Jul
1110 put 152 233/! -12%
1040
Jun
1120 call 80 12 +7
16585
Jun
1120 put 211 17 -11
9947
Jul
1120 call 67 27 'A +8 '/4
5546
Jul
1120 put 10 27'/2 -11
4033

, 5 1998
The Wall Street Journal, 6 1998 The
Wall
Street Journal, 1998 Dow Jones & Company, Inc .
15.2 |
, 5 1998 , . 15.2, J ""
SPX 1120. ,
, 19 1998 , 1200?
"' Web- //www cboe com/products/cs/csll4
hfml

15.2.
, ,
.
. (payoff diagrams),
( )
, ( ). . 15.1
"" ,
100 . "" 100.
"" max (Sj- - 100, 0), Sj-
.5 . 15.1, 100 . ""
. 100 . "" .


. 15.1. " "
. "" 100 .
"", max (100 S-,0).
"" . 15.2. ,
, "" ( , 100)
, . , , , ""
.
,
, .
, . ""
, "" , ,
"". , ,
100000 .
5% .

:
1. 100000 . .
2. 100000 . "".
3. 10000 . "", 6ei .

max , , . .


. 15.2 .
. "" 100 .
, 100 ., "" 10 .
1000 ,
10000 .
. 15.3. '

. 15.3.
. 15.3 , .
(. . 15.3)
, , 100 .
. 100, 1%
. 100,
1% .
. 15.3 110
. 10 . ,
"" , ,
10 "", . ,
, 100,
, -100%.

_ _ _ _ _ _
_ _ _

90000(1,05). 100 max(ST 100,0) 1000000.


100000.

0,55 0,01 max(ST 100,0)

15.3. :

100%

0,2
0,6
0,2

5%
5%
5%

50%
10%
-30%


2
100%

400%
0
-100%

3
10%

44,5%
4,5%
-5,5%

50000. 94500. 100000.


0,445, _ _ 44,5%
100000.
15.3.
, 96000. 4000 .
. ?
, ?
15.4.


ST<100 .
ST>100 .

ST
ST

100 .- ST
0

100 .
ST
15.4.

100 .
100 .

0
ST - 100 .

100 .
ST

SP

E
C
(1 r ) T

(15.1)

E
P
(1 r )T

(15.2)

CS

S (1 d ) T P

E
C
(1 r ) T

15.5.



ST <100 .
ST >100 .

18 .
0
-( ST-100 .)



-100 .
ST
ST

100 .
92,59 .
-100 .
-100 .

-10 .
10 . -ST
0

0,59 .
0
0

CPS

E
(1 r )T

_ _
_ _

20. 0
0,5
120. 80.

15.6.





-50,000 .
38,095 .
38,095 .

-11,905 .


ST =120 .
ST =80 .
20 .
0 .
60 .
-40 .
20 .

40 .
-40 .
0 .

C N ( d1 ) S N ( d 2 ) Ee rT
ln( S / E ) (r 2 / 2)T
d1
T
(15.4)
P C S Ee rT

P ( N (d1 ) 1) S (1 N (d 2 )) Ee rT

C N (d1 ) Se dT N (d 2 ) Ee rT
ln(S / E ) (r d 2 / 2)T
T
d 2 d1 T
d1

(15.5)

15.7.
S
E
R
T
d
100
100
0,08
0,5
0,03
15.8. ,

0,2

=6,79 .

=4,35 .

S Ee rT
C
0,4 T
S
. 15.3 . 110
. 10. . ,
"" , , 10 "", . , ,
100, ,
100%.
.'15.3 .
, 100, , ''199%
(), -5,5%. ,

, , , 10000
., "". 90000 ., ,
94500 . , ,
~5,5%*. ,
7.
,
, , ,
, ,
. ,
.
, , ,
; . 15,3. ; , 0,2
50%, < 0,6
' 10%, 0,2 | 30%.
6
7 4 ,

90000(1,05). 100 max(ST 100,0) 1000000.


100000
. _ _ _
_ _
_

0,55 0,01 max( ST 100,0)


_ _ _

' ^ , 11/5 1<5, 1.


90% , 10%
" ".
15.3. :

100%

0,2
0,6
0,2

5%
5%
5%

50%
10%
-30%


2
100%

400%
0
-100%

3
10%

44,5%
4,5%
-5,5%

. 15.3 .
, . (100% )
50%., (100% "")
500000 ., 400%. (10%
"") 50000., 94500 .,

50000. 94500. 100000.


0,445, _ _ 44,5%
100000.
.
,
. (100% "")
, .
, .
,
.
, . ,
, . ,
, ,
, ! 5%- .
15.3.
, 96000. 4000 .
. ?
, ?
15.3. "" ""

, ,
, - "",
. /,
, . )
: "".
. 15.4 . 15.4 , ,
" " (" 1") ,
, . 100
.
-,
"" ,
. 15.4 . 15.4. , "" (
) , (
) "" ( )8.
.
15.4.


ST<100 .
ST>100 .

ST
ST

100 .- ST
0

100 .
ST

. 15.4.
""
* , , -
.
15.4.

100 .
100 .

0
ST - 100 .

100 .
ST

. 15.4.
""
:

SP

E
C
(1 r ) T

(15.1)
8 , , "",
, - , ""9.
15.1 "" "" (1-11 11).
,
""
. , 15.1 ,
, "" : ,
, (..
) "":

CS

E
P
(1 r )T

(15.2)
15.2 , "".
"" .
1. .
2. ( ).
3. ( "").
? ,
. -
"" "". , , ,
,
.

S (1 d ) T P

E
C
(1 r ) T

15.2 "" ""


. , , 15.2 :
>=^100.,^?=100.,7'^1,=0,08=10.
"", , 17,41 . :
=100-100/1,08+10=17,41
, , , 18 .
. - "" .
, ""
. , .
100 .; , 92,59 . .
, , 7,41 .
( "") 10 .,
"" 17,41 . "" 18 .,
0,59 . ? "" "",
17,41 . . 15.5 ,
.
15.5.



ST <100 .
ST >100 .

18 .
0
-( ST-100 .)



-100 .
ST
ST

100 .
92,59 .
-100 .
-100 .

-10 .
10 . -ST
0

0,59 .
0
0
"", "",
, 15.2 :

CPS

E
(1 r )T

"" "" ,
, ""
"";

, ""
"";
, ""
"".
15.4.
, "", "" .
, , ,
, , 120
., 80 . 0,510.

, (, , ) 0,5 120
. + 0,5 80 . = 100 .
"" 100 .,
. "" 20 .,
120 ., , 80 .
, () "" 0,5 20 . +0,50= 10 .
, , ()
. , ,
200 . , 0,5.

10 " " " "


. 1 .
. .
- 100 . (0,5 200 . + 0,5 0),
. ""
50 . {0,5 100 . + 0,5 0), 40 . ,
"" . , , (
) ' "" , ,
. ' "".

, .
. . .
, . ,
, ()
, .
,
"" "'* .
, "" "".
, "" "" ,
"" "" (..
"", , "").
15.5. ()
"" "" ( 15.2),
"" ,
"".
"", "".
.
,
;
,
. . ,
(^/-51 !)

(! !) .
.
, , ,
"" "".
"". "",
"".
"" 100 . ,
& 100 . ;
20%. , , , ,,
120 ., 80 . : 5% .

"" , ,
, .
, ,
, ,
. 80 ., ,
, 80 . / 1,05 = 76,19 .
.

' , "".
(^ ) .

, :

_ _
_ _

20. 0
0,5
120. 80.

, 1/2 38,095 .,
"". ,
.
40 .,
. 40 .,
5%, 38,095 .
. 15.6 "" - "",
.
""
( "") , ""

=0,5^-38,095 . = 50 . - 38,095 .
=11,905 .
15.6.

, ||
.
, 15.6

,
. ,
20 . .
(120 ., 100 . 80 .),
"" 20 ., 0.
( 51<: 5118), ()
"" ,
.
, .
, ! ''" :
''!'
' ' ' 1! ''"''
,
. . 15.5
.
<

100 . ( ). 1/2
50 ., 45 . ,
5 . 110 .
( ), 90 . ( ). 13 ,
55 . . ,
, 45 .
, .

. ,
. , ,
,
, 5 ., 5'.
.
( , .
11 (! - 1).

.
.
.
15.7. -

". , 15.7
,
.
"",
, :

5, , (
, ) ,
.
:

C N (d1 ) S N (d 2 ) Ee rT
ln( S / E ) (r 2 / 2)T
d1
T
(15.4)
P C S Ee rT

13
""


.
- (
( ) ,

))

, ,
( )
1
( 2,71828)
() , </
" , , . , $, 1 , "1
^ ", ! / ! !, 7 (1979), 229-263.
12 11, (1 / , " ^ / 1 5 ", 1
/! , 81 (/ 1973).
13 (1+ ).
"" ,
"" "", .. = - 8 + '^.
"":

P ( N ( d1 ) 1) S (1 N ( d 2 )) Ee rT
,
. ,
,' 14 ^
:

C N ( d1 ) Se dT N (d 2 ) Ee rT
ln( S / E ) (r d 2 / 2)T
T
d 2 d1 T
d1

(15.5)

,
. .

, , "".
.
, , ,
, .
(), ()
, ,
. ,
.
, 15.5, .
.
, ,
4; , , "" ""
100 ., 100 .,
3% , 0,20.
8% . .
15.7.
15.7.

S
100

100

0,08

0,5

0,03

0,2

=6,79 .

=4,35 .

v " . , " /! ^", 111 / ! 81, 4 ( 1973).


. 15.8 ""
"", 15.5.
.
""
"".
""
"".
"",
"".
""
""15.
""
"".
""
"".
, , , ""
(..
S Ee rT
),

C
0,4 T
S
"". , 100,
"" 108,33 ., ,
8%, , 0,20,
"", "" 0,08 , 8 16.
(
15.5), , :
15 .
16 , .

15.8.
(! 111)
, -1^
,
15.8
. ,
, ( 7,97 . "")
5

100 108,33 0,08


10
7,97 ?
15.8. ,

15.6 ;
. 0,2.

5& 100,
17.
(1)
5& 100 30 .

. 15.6 1 1986 1993


. , .
1987 .
.
77 1 . . }1, "
11 1(: ^ 1^ ", 1 / 5 (11 1993), . 80-82.

15.9. :


(contingent claims analysis)
.
, .
Debtco, ,
: (1 ) 80
. (80000 1000 .). Debtco
, . Debtco,
100 .? V
Debtco (100 .) Debtco
D () Debtco ,
100 .:
V = D + = 100 .
D.

. . 15.7 15.8.

296

(.. F[ > 80 .),


(.. Fi80 .). ,
80 ., , .
'8.
200 ,s 160 I -t 120 S
0
80 -
20 40 60 80 100 120 140 160 180 200 1
. 15.7. Debtco
. 80 .,
80 .,
80 .
" , ,
.
.


. 15.8 Debtco
80 ,
80 .,
80
. 15.7 , , 80 .,
, , 80 .,
80 . . 15.8 ,
, , , 80
., 80 .
, Debtco
"" ,
, . ,
15 5, .
,
, :
(15.6)

V



f

( ) In

297

( 2,71828) N(d) ,

d
, D, V .
R , ,

15 6 ,
15.5.
. 8% ,
0,3. . 15.7 15.7.
V :
D = 100 . - 28,24 . = 71,76 .
, R
R = In (80 / 71,76) = 0,1087 10,87%
8% ,
Debtco ,
10,87%.
15.7. [
. ' 'S'&Sgf' 1
V

ff

100
80
0,08
1

0
0,3

= 28,24

,
, .

V= 100, -= 108,33, == 0,3, = 1; ,


=12 .
V

100
108,33
0,08
1
0,3
= 11,92
15.8
Debtco ?

15.10.

.
.

,
.
, ,
.
,
. ,
, .
. ,
. Pension Benefit Guarantee
Corporation (PBGC) .
, ,
, .
.
,
.
. , ,
, .
+ = , (
)

298

=
, , ( ) -
, .
, , :
.

: (1) (2) . ,
. 10 . .
100 .
10% . (100 . 10 .) 90
. 110 .
, ,
, 90 . , 110 .
22,22%, : (110
-90 .)/90 . ,
. , , ,
, 10 .
90 . +10 . = 100 .,
110 .
,
. ,
, ,
. .
( ) .
.
, , , "" , , ,
.
, . ,
-
, .
, - . ,
, ,

.
.
"". ()
, . , ,
, ,
, (collateral)
.19 {shortfall).
.
, , , - .
, V,
, . ,
, ,
, V. , , ,
.
,
. ,
. , , , - max [0, - V\,
, .

15.10.1. :
Debtco Corporation, . , ,
- Debtco.
-? ,
,
, Debtco, Debtco.
0,08 ,
80 . ,
19

, , -
.

299

, , ,

PV = SOe'0 . = 73,849 .
71,759 ., :
= - = 73,849 . -71,759 . =
2,09 .
, , .
Debtco "",
. , ,
"":

V
100

80

0,08

0
0,3

0=2,09,

15.11.

.20
,
, ,
, ,
.
,
. , (real options).
. ,

.
,
20
R. . Merton, "Applications of Option- Theory: Twenty-Five
Years Later", American Economic Review (June 1998), pp. 323-349, .
: .
, ,
.

. .
, ,
, ;
; ,
. ,
,
, ,
.
.
, , , ,
, .
,
. , ,
, ,
.
,
- . :
, , ,
, . , , ,
, . ,
, .
, ()
(, , ).
, ,
( ) ,

300

, .
, , ,

.
,
, ,
.
, , , ,
,
. , ,
' , , .
.
,
( \ ,
-"
,- ,- - ""ICMV.
, ,
.
(.. )
.


.
, ,
, , ,
.

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

.
, ,
.
, ,
, .
,
, . ,
, .

.
"" ,
.
, ",
,
"". , , ""
"":
(15.1)

S , "", - ,
, "".
, ,
. ,
. 1

(15.5)

301


""
S

( ( )
, )

, ,
( )
In ( 2,71828)
N(d) , d
, , . , , .
-, . , ,
-
.

(contingent claim), 469
"" (call), 470
"" (put), 470
"" (strike price), 470
(exercise price), 470
(expiration date), 470
(American-type option), 470
(European-type option), 470
(exchange-traded option), 471
(over-the-counter option), 471
(intrinsic value), 472
(tangible value), 472
(out of the money), 472
(in the money),472
(at the money), 472
, (time value), 472
(index option),472
(cash settlement), 473
(payoff diagram), 474
"" "" (put-call parity relation), 479
(hedge ratio), 483
(self-financing investment), 485
(decision tree), 485
(binomial option-pricing model), 485
- (Black-Scholes model), 486
(implied volatility), 489

15.1. 15.1,
" " IBM 125 .
" ".
. "" IBM 125 .
, ,
(1 1/2 .). ";" IBM 125 .
4 15/16 . (= 125 - 120 1/16).
15.2. , 5 1998 , . 15.2,
"" SPX 1120. ,
, 19 1998 , 1200?
.

302

15.3. , 96000 .
4000 . . ?
, ?
. 4000 . "" 10 . 400
. 400 max (St-100, 0).
, 100800 . .
0,8% 100000 .
0,004.

-

4% ""



15.4. , "",
"" .
. 15.1 , , :

, ,
, "" "" .

: "" ""


ST <
ST >

""
0
ST-E
"".
ST-E
0
"" ST
ST
""

303

15.5. S = 100 ., =
100 ., = 1 , = 0,08 = . ,
" " 20 . "", S, , , ?
. "" , "",
2,59 . "" 12,59 .
15.6. , , , ,
. 30%.
.
.

_ 30 . - 0 _ -130 . - 70 .
, , ,
.
, .. 35 .,
5%. 33,33 .
"" ,
.
"":
=0,5-33,33 . = 50 . - 33,33 . =16,67 .
15.7. , , ,
0,2, , 0,3. " "?
: -0,4 0,3 100 . = 12 .
15.8. Debtco
?
. 12 .,
D = 100 . -12 . =88 .
R
R = In (108,33/88)= 0,2078, 20,78% .

.
1. "" ,
, S,

. (.. " ) . (..


"")15.9-15.11
2. ,
"" "" ,
, S.

3. 4%, Globalex 100.
"" Globalex 104 8%
. , ,
Globalex, . 1 .,
. , ,
, 1 .,
"" Globalex.
. ,
Globalex. Globalex ,
.
, 104 ?
. , , 0,5 Globalex 12%,
0,25 40%, 0,25 20%.
?
"" ""
4.
. , 100 .
, "" "".
. , S = 100 ., = 10 . = 15 .
?
. , , , ,
(), . (.
.)

304

5. "" 90 Toshiro Corporation


2000 , , 2400 .
9855
10000 . "" 90 ,
"", "" 500 .
6. , 90-
, 1000 .,
990,10 ., 200 "", 90 , Paramount
50,00 . 300 Paramount,
215,00 . . , 90-
"" Paramount 50,00 . 25,00 .
. "". .
, ?
7. Kaukonen, Ltd., , 500,00 .,
"" 200,00 .,
400,00 ., "" 84,57
.
. .
. 9%,
.

8.
"".
9. Drummond, Griffin and McNabb
100,00 ., 90 150,00 .
50,00 ., .
"", DGM 85,00 .
, 90 0,01.
-
10.
. - "",
, 50 . ,
51 ., 8%
, 0,4.
. ""? .
"" "" "".
11. , Yew
and Associates , ""
Rattan, Ltd., 30,00 . .
50,00 . Rattan 55,00 ., ,
, 0,04. ,
25 , 5%?

12. Lorre and Greenstreet, Inc., ,
, 100000 ., 90 10000 .
.
,
170000 . , ,
45000 ., .
.
. Lorre and Greenstreet
?
.
90- "" ?
. Lorre and Greenstreet
?
d. ,

"", ?
,
?
13. Gephardt, Armey and Gore 80
1000 . .
, GAG 160000 .,
Washington Press Club , 130000 .,

305

, , 20000 . ,
. ,
, Yeltsin Yuks, Ltd.,
100000 ., 100000 . 40000 . ,
, GAG YY Ltd.,
0,10 .
. GAG,
.
. , ,
, GAG.
. GAG ,
10000 , GAG 120000 .,
YY Ltd. 85725 .
d. GA G
, 80 . ?

VI

16

...

16.1.
16.2.
16.3.
16.4.
16.5. :
16.6.
16.7.
16.8.
16.9.
16.10. ""
, .
, ,
. ,
, ,
.
.

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

306

(optimal financing mix).


,
, .
. ,

.
, ,
. ,
, , , .

16.1.
, ,
. (internal financing)
. , ,
, .
,
. (external financing) ,
.
,
.

. ,
,
, , .
,
, , ( )
. , ..
,
.
, ;
.
,
, , ,
.
, , ,
.
, . ,
,
,
.
16.1

?

16.2.
,
, .
2, ,
. (common stock), (stock
options) (preferred stocks).
(shares), (shareholders) ,
.
(residual claim) . , ,
, ,
.
.
. ,
, , (
, . . .)
, .

307


. , ,
, , .
,
.
. ,
100 . . ,
. 10 10 ,
10 . .
, 10 . ,
.
.
.
,
,
'
.
,
, .
.
16 2
,
?

16.3.
(corporate debt) ,

. ( . . .)
, ( ),
( ,
).
, .
8.
, , , ,
.

16.3.1.
, , , .

. (collateral),
(secured debt)
,
. .
,
, . -
. ,
,
.
, ,
. ,
.
, ,
. ,
, .
16.3

, , ,
, , ?
?

308

16.3.2.
10.
, ,
, . .
, , 30 .
I
.
30 . ,
.
. 16.1 Airbond Airlease.
750 . .
, 250 . . 750 .
. , Airbond
30 , Airlease 30- ( ).
16.1. Airbond Airlease ( )
a Airbond


750 . . 30
250 . .

1 . .

b. Airlease


750 . . 30
250 . .

1 . .

750 . .
250 . .
1 . .

750 . .
250 . .
1 . .


, , , ,
1. Airbond
, . Airlease
(lessor) , Airlease
16.4
,
?

16.3.3.
, , 2.
: (defined contribution) (defined benefit).
, ,
, .
, .

, , ,
. : 1%
.

.
. ,
,
.
(funding) .
, .
. ,
,
.
, , (unsecured) 2.
1

,
.
2
,
.

309

, . 16.3,
AmeriPens DeutchePens.
16.2. AmeriPens DeutchePens
. AmeriPens


:
, ..
:
, ..

1,0 . .

400,0 . .

1,4 . .

400,0 .
400,0 . .

600,0 . .

1,4 . .

b. DeutchePens

:
, .

1,0 . .

1,0 . .

400,0 . .

1,0 . .

600,0 . .

AmeriPens , ,
(400 . .)
. (, , ..),
,
, . AmeriPens ,
400 . . 600 .
.
AmeriPens, DeutchePens , 1
. . ,
. , (unfunded).
16.5
, AmeriPens 300 .
. ,
- 400 . .?

16.4.
, - , .
, .
, ,
, , . ,

:
, 3.
,
: " , , .
, ,
, , ".
, , .
1. .
2. .
3. , .
3
,
, . . Franco Modigliani and Merton Miller, "The Cost of Capital, Corporation
Finance, and the Theory of Investment", American Economic Review (June 1958), pp. 261-297

310

4. , ,
.
.
, , ,
: Nodett Corporation, , Somdett
Corporation, .
Nodett 10 .
. EBIT (earnings before interest and taxes, EBIT). Nodet 10 . .
EBIT 1 .
, Nodett Corporation 10% .
(perpetuity) 10 . .,
10 .
= 100 . .
0,1
100 .
Somdett Nodett .
, EBIT ( ), Nodett Corporation.
Somdett Nodett , ,
. Somdett 40
. ., 8% . ,
3,2 . . (0,8 40 . .). ,
4.
, Somdett Corporation ,
8% . 3,2 . . , EBIT.
, , Somdett
,

Somdett = EBIT - 3,2 . .


Somdett :

Somdett = Somdett +
Somdett = EBIT - 3,2 . . + 3,2 . . = EBIT.
,
, . Somdett
, Nodett, Somdett
100 . ., Nodett.
Somdett ,
40 . . ,
Somdett 60 . . ( 100 . . 40 .
). , Somdett 600000 (60%
Nodett) 100 . ,
, .
, Somdett Nodett. , , Somdett
100 ., 90 . . .
, , Nodett , "",
Somdett. , 1% Nodett
(10000 ) , 1% Somdett (6000
) 1% Somdett. , ? 60000
. , . (sells short) 1%
Nodett 1 . ., 1% 1% Somdett 940000 .
. 16.3 .
, Somdett Nodett. , ,
Somdett 100 ., 110 . . .
, , Somdett ,
Nodett
1 , Somdett. , 1%
Nodett (10000 1000000 .). 40%
(400000 .), ,
1% Somdett (6000 660000 .). . 16.31?
.

,
.

311

16.. Somdett 90 .


1% Nodett
1000000 .
-1% EBIT
100 .
( Nodett):
1% Somdett 90
- 540000 .
1% (EBIT - 3,2 . .
.
)
1% Somdett

- 400000 .

1% 3,2 . .

- 940000 .

1% EBIT

60000 .

16.3b. Somdett 110 .


660000 .

1% Somdett
-1% EBIT (EBIT - 3,2 .
110 .
. )
( :
1% Nodett 100
- 1000000 .
1% EBIT
.
40000 .

400000 .

- 32000 .

- 600000 .

60000 .

1% (EBIT 3,2 . .
)
0

,
. ,
. ,
. 16.4.
16.4. EBIT EPS Somdett Nodett

EBIT Nodett
Somdett

(. EPS (1
EPS(600000 ),
.) ), .
(. .)
.

5,0
5,0
1,8
3,00

10,0

10,0

6,8

11,33

15,0

15,0

11,8

19,67

10,0

10,0

6,8

11,33

1,0

4,0

6,81

1,0

1,67


, EPS, (, ,
, , ),
EBIT. EPS Nodett
EBIT
EPS Nodett =
1000000
3,2 . . (0,08 x 40 . .)
, EBIT. , EPS Somdett
EPS Nodett Somdett, . 16.4, ,
" " (financial leverage) (
)

312

EPS, . EPS Somdett ,


EBIT =15 . ., , EBIT = 5 . .
Nodett EBIT 1 .
Somdett 600000 ,
. ,
Somdett , Nodett,
. .
,

(debt ratio) .
Nodett Corporation ( 1 )
40 . ., ,
? ?
, , 100 .
40 . . 400000 .
, 600000 60 . .
16.6

Mordett , Nodett Somdett,


50 . . ( 8%
) 500000 . EPS Mordett?
? Mordett Corporation (
I ) 50 . .
, ,
? ?

16.5. :

, .
.
, -
.
,
,

,
.
, ,
.
.

. '




, .
, . ,
, .

16.6.
.
, , ,
. .

16.6.1.
, ,
. (
), (
).

313


,
. ,

.
, , , 16.4. Nodett
Somdett. Somdett Corporation (EBIT)
:
( )
()
( )
,
34%, . ,
() Somdett,

Somdett = +
= 0,66 (EBIT - ) +
= 0,66EBIT + 0,34 =
Nodett + 0.34
Somdett
. , ,
, . 16.5.
, Somdett
Nodett 1,088 . .
, Somdett Nodett
. ,
:

Somdett = Nodett +
" " (Interest Tax Shield).
, Somdett ,
" " (34%) :

PV " " Somdett = 0,34 40 . .


= 13,6 . .
Somdett Nodett
, , ,
. . 16.6.
16.5. Nodett
Somdett

EBIT
(. .)
5
10
15

Nodett

(.
.)
3,3
6,6
9,9


(. .)
1,188
4,488
7,788

Somdett

(.
.)
4,388
7,688
10,988

16.6. Nodett
Somdett

Nodett
0
66 . .
34 . .
100 . .

Somdett
40,0 . .
39,6 . .
20,4 . .
100,0 . .

, Somdett, Nodett, (
) 100 . . Nodett 66 .
., 34 . . . Somdett,

314

39,6 . ., 40 . .,
20,4 . .
Nodett Corporation, 1 ,
40 . . ,
? ?
Nodett
66 . 40 . .
, ,
, " " 13,6
. . 1 79,6 . ., , ,
79,6 . . 502513 (40
. . / 79,6 . ), .. 497487 . ,
1 , 13,60 . . , ,
.
.

16.7
Mordett , Nodett Somdett,
50 . . , |
34%.
Mordett ,
? Nodett
Corporation ( 1 )
50 . . ,
?
?


(subsidies), .
, . , ,
Hitek Corporation 100 . . Eldesealand,
Hitek. ,
Hitek ,
Hitek . , ,
Hitek

16.8

, ,
?

16.6.2. ,
,
,
.
,
, (financial distress).
, ,
. ,
, ,
. ,
- , ,
,
.
, ,
, ,
. ,
Nodett Corporation.
16.3 1, , ,
, Nodett
. 40 . .,

315

66 . 79,60 .; 50 . ., 83 .
, ,
, , , .
60 . .,
, .
. 16.1 .
(debt ratio) ,
.

16 1 " "
,
,
"", .
( ).
"", .
, ,
.
16.9
|
?

16.7.
,
, -'
: , '
.
(agency costs)5.
.

16.7.1. :

.

, ,
. ,
NPV, .
- ,
,
.


. , ,
, .

3- 2
.

316

16.10
-
?

16.7.2.
, ,
, , .
, ( )
, .
- ,
, . ,
, ,
.
, , 100 . .
104 . .,
. : 100 . .
4%
, 200 . ., .
, , , ,
( ) .
, , .
, , ,
, 104 . . , .
, ,
, .
, , ,
.
,
( ). (
, ).
,
,
.
16.11

?

16.8.

,
,
,
. ,
- .

.
. ,
,
, .

.
16.12

?

16.9.
,
, . , ,

317

, , : - ,
. , ,
, .
,
; .
, ,
. ,
. . 16.7.
16.7.


On Oil Company


Orr

Gormeh Foods,
Inc.

Bombay Textile
Company

Holey's Burger
Queen


,
-




Lee Productions

16.9.1.
Orr Oil Company
Orr Oil Company 10 . . .
, 10 . .
. Orr Oil Company 10 .
2 . .
/ (/) 10 12.
(debt ratio) Orr Oil 25%, ,
40%.
105 . .
Gormeh Foods, Inc.
- . ,
20 . ,
, . ,
,
. 15 . .
2 . . .
Bombay Textile Company
Bombay Textile Company
, .
,
. ,
60- . 5 . .
500000 .
Holey's Burger Queen

50000 .
Burger Queen. Burger Queen ,
, , 100000
., .

318

, Burger Queen
250000 ., .
Lee Productions
Lee Productions ,
Red Tide Rising. 10 .
, .
10 . . .

16.9.2.

"" ,
.
.
, .

, , ,
.
, ,
. (
16.3.2.)

,
( ).
,
.

"",
. ,
.
, .


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

16.10. ""
16.10
6 ()
, ,
6. ,
, .
.
, :
(adjusted present value, APV)
(Hows to equity, FTE)
(weighted average cost of capital,
WACC)
, NPV .
.

16.10.1.
.
Global Connections Corporation, ,
, .
( ) 1
. . 100 . ., , ,
20 . . .
6

, , 6.

319

5 . . , .
Global Connections Corporation 30%.
, 20% , 80%
. Global Connections Corporation
. Global Connections Corporation ,
8% . NPV ,
,
(unlevered investments), 10% ?
NPVwvi 100%
. NPV ,
,
.

20 . . 5 . . ,
:

( )
= (1-0,3) (20 . . 5 . .) = 0,7 15 . . = 10,5 . .
10% , :
PV =

10,5 . .
0,1

=105 . .

100 . ., , NPV

NPV "" = 105 . . -100 . . = 5 . .


NPV,
.

(APV)
16.6.1 " ". APV PV
" ", -
. ,
Global Connections Corporation, ,
, 20% , 0,20 APV
. ,
" " ,
, 0,30 0,20 APV. , APV

APV = PV + PV " "


= 105 . .+0,06 = 105 . ./0,94= 111,70 . .
0,06 APV, , PV " " 6,70 . .
Global Connections Corporation,
(adjusted net present value, ANPV) 7
ANPV= NPV + PV " "
= 5 . . + 6,70 . . = 11,70 . .

(flow to equity, FTE)
. NPV ,
kg, ,
:8
7

, , PV
" " , , ANPV , ,
.
ANPV APV, .
8
, .

. " "

320

ke = k + ( 1 - t ) ( k - r )d

(16.1)

k ( )
t
r ,
d ( )
Global Connections Corporation
( )
d, .0,20/0,80 = 0,25, (16.1) ,

ke = 0,10 +(1 - 0,30)(0,10 - 0,08)0,25 = 0,1035.
Global Connections Corporation
, CFS,

CFS = -
= 10,5 . . - (1 - /) D = 10,5 . . - 0,7 0,08 D =10,5 .
. - 0,056 D,
D Global Connections Corporation .
, , ,

E = CFS /k = 101,45 . .-0,5411D


= 101,45 . . - 0.5411 0.25 .
=101,45 . .-0,1353E
=101,45 . ./1,1353 = 89,36 . .
D = 22,34 . ., Global Connections Corporation D = 0,25E.
, , 100,0 .
. 22,34 . . = 77,66 . . , NPV ,
, 89,36 . . 77,66 . . = 11,70 . .;
.

PV
(weighted average cost of capital, WACC)
, .
100 . . .
WACC
(16.2)
WACC
( ).
. ,
4

WACC =0,10350,80 +0,70,80,20 =0,0904


NPV
( ), WACC, 100 . .
:
NPV=

10,5 . .
0,094

-100,0 . . = 11,7 . .

16.13
, (
) Global
Connections Corporation 20%, 30%,

321

. APV NPV
,
. FTE I WACC,
, NPV,
APV

,
,
.
( )
,
, ,
: , .
,
, ,
.
, ,
.
: ,
,
( , ). ,

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

(internal financing)
(external financing)
(residual claim)
(collateral)
(agency costs)
- (factor)
(adjusted present value)
(weighted average cost of capital)

16.1.
?
.
; , ; .
16.2. ,
?
. ,
, ,
- . ,

, .
16.3. , , ,
, , ?
?
. . .
16.4.
, ?
. .
' .
j ,
.

322

16.5. , AmeriPens
300 . . , ' 400 . . ?
. 500 . . 1,3 .
., 800 . .
16.6. Mordett , Nodett Somdett,
50 . . ( 8% ) 500000
. EPS Mordett? ?
Nordett Corporation ( 1 )
50 . . ,
? ?
. EPS Mordett 12 ., 8,165
., 2. Mordett 100 .
EPS , Nodett Somdett, .
EPS. Nodett 50 . . ,
. 50 . . 500000 ,
500000 .
EBIT EPS Mordett

EBIT,
.
.

Nodett

Mordett

EPS (1
), .

,
. .

EPS(600000 ),
.

5
10
15
10

5
10
15
10
4

1
6
11
6

2,00
12,00
22,00
12,00
8,165

1,0

1,0

2,0

16.7. Mordett , Nodett Somdett,


50 . . ,
34%. Mordett
,
? Nodett Corporation ( 1 )
50 . . ,
? ?
. 50 . . Mordett ""
17 . .
Mordett , , 83 . . (66 . . + 17 . .).
Mordett 50 . ., 33 . .,
17 . . 50
. ., Nodett 17 .
. 66 . 83 . 602410 (50
. ./ 83 . ), 397590 .
16.8. , ,
?
.
.
16.9.
? .
.
16.10. -
?
. ,
,
.

.
16.11.
?

323

. . ,
, ,
.
16.12.
?

.
16.13. , (
) Global
Connections Corporation 20%, 30%,
. APV NPV ,
.
FTE WA , , NPV,
APV.
. APV NPV
, . 30% APV
, " ",
, , 0,3, 0,09 APV.
, APV ANPV

APV= 105 . ./0,91 =115,4 . .


ANPV = PV + PV " "
= 5 . . +10,4 . . =15,4 . .
FTE d = 0,30/0,70 = 0,429 kg 0,1060.

CFS = -
= 10,5 . . - 0,56 D
PV
:

= CFS I k, = 99,06 . . - 0,52832) = 99, . . - 0,5283 0.429


= 99,06 . . - 0,2 == 80,77 . .
D = 0,429 = 34,63 . .
67,37 . . ,
, NPV 15,4 . .,
APV.
WACC WACC:
WACC= 0,1060,70 +0,70,80,30 =0,0910
NPV (
), WACC 100 . .
:
NPV=10,5 . ./0,0910 - 100,0 . . =115,4 . . -100 . .
=15,4 . .

16.7-16.8
" "
1. Divido Corporation 20 . .
16.7-16.8 20 . .
. ? .
b. , EBIT Divido 20 . .,
12 . ., 4 . . ""
EPS ( ). , ,
?

324

2. Plentilease Nolease .
, Plentilease , ,
Nolease , , .
( ) .

3. Europens Asiapens , .
Europens ,
Asiapens .
( ).
?
4. Comfort Shoe Company Tango
Dance Shoe, , . Tango Dance
Shoe ,
Comfort Shoe. Comfort Shoe ( ) 40% 60%
, . Comfort Shoe
( ) 16% , ,
( ) , 10% .
, Tango Dance Shoe
, . . 10 . .
55% . 1 . .,
. 40%.
. Tango Dance Shoe ,
?
b. Tango Dance Shoe,
5 . .? .
Tango Dance Shoe?
d. ,
.
5. , Foxtrot Dance Shoe
Tango Dance Shoe. Foxtrot Dance Shoe
, Tango Dance Shoe,
, . , Tango Dance Shoe
Foxtrot Dance Shoe ,
Foxtrot Dance Shoe
.
. Foxtrot Dance Shoe, 500000 ?
b. Foxtrot Dance Shoe ,
30% ?
. 40% ? d.
Foxtrot Dance Shoe ?
6. Hanna-Charles Company .
.
Hanna-Charles : (1)
(2) 15%- .
Hanna-Charles 5% , . .
? . Hanna-Charles ?
7. Havem Needem , .
Havem " ",
, a Needem .
.
Havem 1 .
11%, 180 . . Needem
, , 40% ,
500000 . Needem ,
9% , -, ..
:
.
. Needem?
b. , .
Havem Needem :
, . , ,
. , ,
EPS .

325

8. , Havem Needem
40%. ,
.
. Havem Needem
b. ?
. ,
?
9. Griffey-Lang Food Company .
, 150 . .
125 . .
, .
,
. GrifTey-Lang Food
: (1) ,
( 0,12) Griffey-Lang Food
200 . . (2)
. ,
( 0,45). (3) (
1,0).
. Griffey-Lang Food, , ?

b. ? . ?

326

17

...

,

17.1.
17.2.
17.3.

. 1 , , ,
, ,
. 6 16

.
. -,
,
.
,
, .

17.1.
, ,
(acquisition). ,
(merger). ,
:
, .
.
(synergy) ,
, .
, ,
.
, - . ,
,
.
, 1995 .

.
, ,
, .

. ,
, ,
. ,
.
, , ,
,
. . ,
. (
),
. ""
.
,
,
. , ,

327


. .
,
1. , .
,
. , , ,
, , , ,
.
, ,
. , ,
, ,
7. , ,
, , ,
. ,
,
.
, , ,
. ,
, .
, ,
.
17.1
,
.
, (diversification),

.
, .
, .
.
.
.
, ,
, .
, ,
, , .

, , 12,
.
, , ,
.
, ,
, () , ,
.
, , :
, ,
.
.
, , ,
, . ,
,
. ,
.
.
, ,
, .

.
,
1

, ,
.

328

. , v
. ,
. ,
.
, ,
, ,
. , ,
, .
"" ,
.
, ,
, ,
,
. 5% 100%
, 20%. :
?
, ,
.
,
.
, ,
.
,
, ,
. , ,
. ,
, , , ,
, , , , ,
, .
, , ,
, . . ,
, ,
. (
) . ,
" ", ,
" , , .
, ,
, . .
, ,
. , ,
.
, ,
, ,
.
, 1
. , , ,
;
. , ,
; , .
, ,
.
,

, , .

,
(.. ), , ,
,
. ,
,
.
,
,
, .
12 20 . 10 !

329

: ,
.
1.
2.
3.
, ,
, .

, , (
) .
. ,
, . ,
.
. ,
, .
( )
, ()
.
17.2

?

17.2.
(spin-off)
- ,
. , 1997 Pepsico .
1 . . ( ) 1,2 . . (
) 2.

?
,
"" .
, 17.1 .
,
.
, , ,
,
.
,
,
.
Multicrop, ,
1 . . ,
, .
,
Multicrop . 5% ,
.
, Multicrop 1 . .,
5% .
1 .
., , 5%.
, Multicrop
Unicrop 1 . . 0,5 . .
- 2 . .,
, .
Multicrop,
Unicrop.
, Multicrop
.
2

330

,
.
17.3
,
Multicrop . j
Unicrop \
?

17.3.
17.3
( )
.
, , , ,
. (
) , NPV.

. ,
, .
, .
(option)
.
, ,
. ,
. ()
.

"": , , , ,
, .
"" , ..
, (managerial options) .


;
;
, ,
, ,
"" .

17.3.1.
, ""
.
, ,
.
, 1 . . ,
. ,
,
. . 17.1
.
, 1 . .,
.
( ). ,
, 1 . . ,
1 . .
, : .
. ,
. 0,5.
.
, NPV ( , ) 4 . .
, NPV -4 . .
,
, , ,

331

.
, . ,

, , .
1 . . ,
.
.
, , , NPV 4
. . , , NPV 0 ., .
() NPVv 1 . . ,
, NPV 1 . .
, , 100% , ()
1 . . . ,
,
, .
NPV
. , ,
NPV , , NPV
0.

. 17.1. " "


, , 8 . ., 8 . .
, 8 . ., 0 . ,
, NPV ,
, 2 . . 4 . . , NPV ,
, .
.

? ,
,
.
- .
, ,

332

(. 17.1). ,
, .
17.1
: Merck
, Harvard Business Review . 1994 ,
- Merck

. :
Merck 1 1
. i
, Merck
, , ,
. Merck
.
17.4
"" , I ,
. ?

17.3.2. -

,

.
, , Rader, Inc. . Target, Inc.
, . ,
. 1
, .
Target, Inc. 100 . .,
0,20. , Target, Inc. Rader, Inc.
100% Target, Inc. 106 . .
6% .
, 6 . .?
Rader, Inc. .
6 . .,
Target, Inc.
, 15 ""
. 3.


S

( )
( )

S

100
106
0,05
1

d
0

0,2

= 8 . .

3
, ,
,

333

8 . . NPV 2 .
. Rader, Inc. 6 .
. .
,
,
(.. ). , Electro Unity
. .,
, 6 . . ,
, 106 . . ,
112
. . 0,2.
,
k
112 . ./(1+). 106 .
. , , ,
6%,
100 . . ,
6 . . , NPV

NPV= 112 . ./(1+) - 100 . . - 6 . . = 112 . ./(1+) -106 .


.
NPV k,
5,66%, , . , k 12%,
100 . ., NPV
6,0 . .
:
. ,
106 . .
, 106 . 4.
,
? , ,
Rader, Inc. Target, Inc.
, .
, , , , Electro
Unity 6 . . " ",
. , ( )
, " " 106 . .
100 . .
8 . . , NPV
2 . ., ,
,
.
:
NPV . , ,
.
Electro Unity. ,
, . ,
0,20, 0,40. ,
. , , 16
. . , NPV 10 . ., 2 . ., .
, "",
, ,
. , , ,
, ;
;
, . ,
NPV , ,
. NPV
, .
17.5
4

, 6 . . ,
. ,

334

NPV Electro Unity,


0,2, 0,3?

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

, ,
.
NPV .

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

, (acquisition), 537
(merger), 537
(synergy), 538
(managerial option), 543

17.1. ,

. .
.
.
.
17.2.
?
. ,

. , .
17.3. ,
Multicrop .
Unicrop ?
. . , ,
.
,
.
Unicrop
Multicrop.
17.4. " " ,
, . ?
. "" ,

;
;
,
"".
17.5. NPV
Electro Unity, 0,2, 0,3?
:

:
S = 100 . ., = 1 , = 0,3

335

, 12 . . NPV
6 . . ( Rader 6 . .

17.2
1. Hampshire- Cathaway, ,
100% Hl==J Trilennium Corporation,
. Hampshire-Cathaway
.
Hampshire-Cathaway
Trilennium

3,00 .
2,00 .

3,00 .
0,80 .

200 . .

10 . .

30 .

20 .

Hampshire-Cathaway
, Trilennium Corporation 6% . ,
, Hampshire-Cathaway
Trilennium Corporation, 10% .
. ?
b. NPV HampshireCathaway ,
30 . ?
. Hampshire-Cathaway,
Trilennium Corporation Hampshire-Cathaway?
2. Nadir Productions
Planetary Wars, .
30 . . ,
, 35 . ., 0,5.
20%.
. , , NPV ?
b. , ,
, () .
, Planetary
Wars II,
. .
d. , , .

. , Nadir Productions ,
. NPV
?
3. , Microstuff Corporation
, . 100
. . .
, , 1 . . ,
, ,
1,1 . . 0,20.
10% .
, .


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339


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345

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346

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