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..

-
?

,,

?
!


(/)
.

TRADE-OFF

.
.

( ri r )

i=1

r =

ri p

i=1

CV =

2- ;

- ;

ri ;
r - ;
pi ;

CV

E (rp ) = E (r1 ) w1 + E (r2 ) w2 + ... + E (rn ) wn


Pi
wi =
Pp
E(rp) ;
E( 1);
E(r
) E(r
E( 2);
) E(r
E( n) ,

n- ;
w1;w2; wn - , n- ;
Pi - i-
i ;
Pp - .

,

1

w
2
1

2
1

w1 w2 Cov12 =
= w1 w2 1 2 Corr12

w1 w2 Cov12 =
= w1 w2 1 2 Corr12

w1;w2 - 1 2 ;
Pi - i- ;
Pp -
.

2 - 1 2 ;
12

2
2

12 - 1 2 ;
Cov12
C

1 2;
2
Corr12 - 1 2

2
2

p2 = w12 12 + w22 22 + 2 w1 w2 Corr12 1 2

2
p

- () ;
w1;w2 - 1 2 ;
122 - 1 2 ;

12 - 1 2 ;
Corr12 - 1 2

()

()

10

15

()


;
;
;


( );
;

.

re = rf +*(rm rf )

re
Security Market Line (SML)

re=11.2%
rm=10%

4%

5,2%

re
rf
rm -

rf =6%
a =

= 1 = 1.6

am
ov

2 m


beta

, :
9 ;
9 ;
9 .

, :
9 ;
9

;

;
9 .


1: ,
,
.

u =

lev
1 + (1 t )( D / E )

2:

lev = u [1 + (1 t )( D / E )]

9
;
9 Rm,

;
9 ;

;
9
.

9
;
9 ,

9
,

.


(APT)

E(R) = Rf + B1 [E(R1) Rf] + B2[E(R2) Rf]. + Bk[E(Rk) Rf]

Rf ;
E(Rj)
( j)




,,
1 j
( j = 1, 2, ).

;
;


- ;
- ;
- ;
- ;

;
-
-

CAPM

R e A = R fus + comparable (R m R f

us

+ spread

,
,

D/E

K e lc

1 + ilc
= (1 + K edollar )
1 + idollar

i- inflation rate

llc local
l
l currency

(Build up)
1: Rf -
2: (Rm-Rf)
+
3: SP (size premium)
+
4: : ()

+
5: :
+
6: :
( )

= Re