Professional Documents
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700114
700114
....
-
2005 -
.
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) )The Portfolio
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)1998 (30
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). 1998 (289
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) (315
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.
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:
) E(R) =
x )
): (315
100 .
20%15%
25%
30%
0.20
0.30
0.40
0.10
:
:
) E(R) =
x )
=))*30%) + (0.40*25%) + (0.30*15%) + (0.20*20%-
((0.10
= 3%+ 10%+ 4.5% + 4%-
= 13.5%
:
) :(Risk
.
"
") . .(364
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)2000 (230
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). (41
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)(Uncertainty
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.
.1
=1
=2
((Variance
) - )((2
:
: )(
: )(
)( : )(
:
2
= 0.20(-0.20-0.135)2 + 0.30(0.15-0.135)2 + 0.40(0.25-0.135)2 +
0.10(0.30-0.135)2
=3.05%
.2 Standard Deviation
= 2
:
.
)(Coefficient of Variation
)(
) ( :
=
) (
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.5
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.
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.3 Market Risk
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2001
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.(45
.4 Purchasing Power Risk
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) . (44
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.5 Management Risk
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Undiversifiable Risk
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=1
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12
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1 1- .
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1+
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=
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13
2 = .
2 = 2 ) + 2 +(
2 : .
:
.
: .
:
.
2 = 2 ) 2 ( 2 + )(
= 2 X 2 ) ( 2 + ))
= 2 X +
= + .
.
.
14
.1
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.5
. .
. .
.1990
. .
2004 .
. 1998
.1
.
1997 .2
.
.2000
15