Download as pdf or txt
Download as pdf or txt
You are on page 1of 11

0HWRGRORJtDGH(QFXHVWDV ,661

9ROXPHQ


&20%,1('5$7,2352'8&7(67,0$7252)),1,7(3238/$7,210($1
,1675$7,),('6$03/,1*

+RXVLOD36LQJKDQG*DMHQGUD.9LVKZDNDUPD
6FKRRORI6WXGLHVLQ6WDWLVWLFV9LNUDP8QLYHUVLW\8MMDLQ03,QGLD
(PDLOKSVXMQ#UHGLIIPDLOFRPYLVKZDJN#UHGLIIPDLOFRP

$%675$&7

$SURFHGXUHLVJLYHQIRUHVWLPDWLQJWKHSRSXODWLRQPHDQLQVWUDWLILHGVDPSOLQJLQWKH
SUHVHQFHRIDX[LOLDU\LQIRUPDWLRQ7KHELDVDQGYDULDQFHRIWKHSURSRVHGHVWLPDWRUKDYH
EHHQGHULYHGXQGHUODUJHVDPSOHDSSUR[LPDWLRQ$V\PSWRWLFDOO\RSWLPXPHVWLPDWRULQWKH
FODVVLVLGHQWLILHGZLWKLWVYDULDQFHIRUPXOD(VWLPDWRUEDVHGRQWKHHVWLPDWHGRSWLPXPLV
DOVRLQYHVWLJDWHG,WKDVEHHQVKRZQWKDWWKHYDULDQFHRIWKHHVWLPDWRUEDVHGRQHVWLPDWHG
RSWLPXPYDOXHLVVDPHDVWKDWRIRSWLPXPHVWLPDWRU%RWKWKHRUHWLFDODQGHPSLULFDOILQGLQJV
DUHHQFRXUDJLQJDQGVXSSRUWWKHVRXQGQHVVRIWKHSURSRVHGSURFHGXUHIRUPHDQHVWLPDWLRQ

.H\ZRUGV)LQLWHSRSXODWLRQPHDQ9DULDQFH2SWLPXPHVWLPDWRU$X[LOLDU\YDULDEOHVWXG\
YDULDEOH
 &RPELQHGUDWLRSURGXFWHVWLPDWRURIILQLWHSRSXODWLRQPHDQLQVWUDWLILHGVDPSOLQJ

,QWURGXFWLRQ

,Q  SODQQLQJ  VXUYH\V  6WUDWLILHG  VDPSOLQJ  KDV  RIWHQ SURYHG  XVHIXO  LQ  LPSURYLQJ  WKH
SUHFLVLRQRIRWKHUXQVWUDWLILHGVDPSOLQJVWUDWHJLHVWRHVWLPDWHWKHILQLWHSRSXODWLRQPHDQ

/ 1K

 <
1
\ KL 
K L 

ZLWKWKHQRWDWLRQXVHGE\'D\DO  2WKHUXVHIXOUHIHUHQFHVIRU6WUDWLILHGVDPSOLQJ


DUH &RFKUDQ    FKDSWHU     5DM   FKDSWHU     5DR    5HGG\    5XL]
(VSHMR  6RP FKDSWHUDQG DQG.DGLODUDQG&LQJL  
$UDWLRSURGXFWHVWLPDWLRQRIILQLWHSRSXODWLRQPHDQ < FDQEHPDGHLQWZRZD\V
2QHLVWRPDNHDVHSDUDWHUDWLRSURGXFWHVWLPDWHRIWKHWRWDORIHDFKVWUDWXPDQGDGGWKHVH
WRWDOV$QDOWHUQDWLYHHVWLPDWHLVGHULYHGIURPDVLQJOHFRPELQHGUDWLRSURGXFW
&RQVLGHUDILQLWHSRSXODWLRQRIVL]H 1 /HW\DQG[UHVSHFWLYHO\EHWKHVWXG\DQG
DX[LOLDU\YDULDWHVRQHDFKXQLW 8 M M  1 RIWKHSRSXODWLRQ8/HWWKHSRSXODWLRQEH
GLYLGHG  LQWR / VWUDWD  ZLWK  WKH  K WK VWUDWXP  FRQWDLQLQJ  1 K  XQLWV K /  VR  WKDW
/

1
K 
K 1 6XSSRVHWKDWDVLPSOHUDQGRPVDPSOHRIVL]H  QK LVGUDZQZLWKRXWUHSODFHPHQW
/
656:25 IURPWKH K WK VWUDWXPVXFKWKDW QK Q
K 
:HFRPSXWHWKHVDPSOHPHDQRIWKHYDULDWHVLQVWUDWLILHGVDPSOLQJPHWKRGDV

QK QK
 \ VW :K \ K DQG [ VW :K [ K 
L  L 
ZKHUH
1K
:K LVVWUDWXPZHLJKW
1

\ K LVWKHVDPSOHPHDQRIYDULDWHRILQWHUHVWLQVWUDWXPKDQG

[ K LVWKHVDPSOHPHDQRIDX[LOLDU\YDULDWHLQVWUDWXPK

:KHQWKHSRSXODWLRQPHDQ  ;  RIWKHDX[LOLDU\YDULDWH [LVNQRZQ +DQVHQ+XUZLW]


DQG*XUQH\  VXJJHVWHGDFRPELQHGUDWLRHVWLPDWRU

;
\ VW
 
 \ 5F
[ VW
7KHFRPELQHGSURGXFWHVWLPDWRUIRU < LVGHILQGE\

[
 \ 3F \ VW VW  
;


7KLVHVWLPDWRUZLOORIWHQEHXVHGLIWKHWZRYDULDEOHVDUHVWURQJO\SRVLWLYHFRUUHODWHG
7R  WKH  ILUVW  GHJUHH  RI  DSSUR[LPDWLRQ  WKH  ELDVHV  DQG  YDULDQFHV  RI  \ 5F  DQG  \ 3F  DUH
UHVSHFWLYHO\JLYHQE\

:KJ K 6 K\  5  6 K[  56 K[\  


/
 9 \ 5F
K 

:KJ K 6 K\  5  6 K[  56 K[\   


/
 9 \ 3F
K 


6 K[ 6 K\ < & K\ 6 K[\  
ZKHUH & K[ 
 & K\ 5  .K U K[\  U K[\  J K 
; K <K ; & K[ 6 K[ 6 K\ QK 1K
1K 1K 1K
  
\ KL  <K  6 K[ [KL  ; K  6 K[\ \ KL  <K [ KL  ; K 
 
 6 K\
1K  L  1K  L  1K  L 

7KHOLQHDUUHJUHVVLRQHVWLPDWRULVPRUHHIILFLHQWWKDQWKHUDWLR SURGXFW HVWLPDWRU


H[FHSWZKHQWKHUHJUHVVLRQOLQHRI\RQ[SDVVHVWKURXJKWKHQHLJKERUKRRGRIWKHRULJLQLQ
ZKLFKFDVHWKHHIILFLHQFLHVRIWKHVHHVWLPDWRUVDUHDOPRVWHTXDO+RZHYHURZLQJWRVWURQJHU
LQWXLWLYHDSSHDOVXUYH\VWDWLVWLFLDQVIDYRXUWKHXVHRIUDWLR SURGXFW HVWLPDWRUV)XUWKHUZH
QRWH  WKDW  LQ  PDQ\  SUDFWLFDO  VLWXDWLRQV  WKH  UHJUHVVLRQ  OLQH  GRHV  QRW  SDVVHV  WKURXJK  WKH
QHLJKERUKRRGRIWKHRULJLQ,QWKHVHVLWXDWLRQVWKHUDWLR SURGXFW HVWLPDWRUGRHVQRWSHUIRUP
DV  ZHOO  DV  WKH  OLQHDU  UHJUHVVLRQ  HVWLPDWRU  &RQVLGHULQJ  WKLV  IDFW  DQ  DWWHPSW  LV  PDGH  WR
LPSURYHWKHSHUIRUPDQFHRIVXJJHVWHGUDWLRSURGXFWHVWLPDWRUZLWKWKHLUSURSHUWLHV

3URSRVHGUDWLRSURGXFWHVWLPDWRU

:HVXJJHVWWKHFRPELQHGUDWLRSURGXFWHVWLPDWRUIRUHVWLPDWLQJ < DV

F ; [
 <53 \ VW D    D VW  
[
VW ;

ZKHUH  D  LV  D  UHDO  FRQVWDQW  WR  EH  GHWHUPLQHG  VXFK  WKDW  WKH  YDULDQFH  RI  <53 F  LV  D


PLQLPXP)RU D  <53 F o \ 5F ZKHUHDVIRU D  <53 F o \ 3F 
7RREWDLQWKHYDULDQFHRI <53 V WRWKHILUVWGHJUHHRIDSSUR[LPDWLRQZHZULWH

/
 \ VW :K \ K <   H DQG
K 

/
 [ VW :K [ K ;   H
K 
VXFKWKDW

 ( H ( H  

XQGHU656:25ZHKDYH
 &RPELQHGUDWLRSURGXFWHVWLPDWRURIILQLWHSRSXODWLRQPHDQLQVWUDWLILHGVDPSOLQJ



( H
 / 
:K J K 6 K\
< K


 ( H  / 
:K J K 6 K[  
; K 


( H H
 / 
:K J K 6 K\[
< ; K



([SUHVVLQJHTXDWLRQ  LQWHUPVRIHVZHKDYH

 <53 F <   H ^D   H     D   H `

:HQRZDVVXPHWKDW H   VRWKDWZHPD\H[SDQG   H  DVDVHULHVLQSRZHUVRI H 


([SDQGLQJPXOWLSO\LQJRXWUHWDLQLQJWHUPVRIHVWRWKHVHFRQGGHJUHHZHREWDLQ

 <53 F < ^D   H  H  H  H H    D   H  H  H H `


RU
 <53 F  < < ^H  H  H H  D H  H H  H `  

7DNLQJH[SHFWDWLRQVRIERWKVLGHVRI  DQGXVLQJWKHUHVXOW  ZHREWDLQ


WKHELDVRI <53 F WRRUGHU R Q  DV

^D6 `
/

 %LDV <53 F :KJ K 
K[    D 6 K\[  
; K 

 6TXDULQJERWKVLGHVRIHTXDWLRQ  DQGDJDLQUHWDLQLQJWHUPVWRWKHVHFRQG
GHJUHHZHKDYH

> ^ `@

 <53 F  < <  H    D   D H  H H  

7KHQWKHYDULDQFHRI <53 F WRWKHILUVWGHJUHHRIDSSUR[LPDWLRQJLYHQDV

:KJ K >6 K\    D 5^   D 56 K[  6 K[\ `@


/

 9 <53 F
K 

:KJ K >6 K\    D 5  6 K[   D  & @ 


/

K 
 
 9 \ VW  5    D 9 [ VW >   D  & @
 
ZKHUH


/
: J 6
&RY \ VW  [ VW K  K K K[\ E &RY \ VW  [ VW 9 \ VW U 9 \ VW
 &  
5 9 [ VW /
5 5 9 \ VW 9 [ VW 9 [ VW 5 9 [ VW
5 :K J K 6 K[


K 
&RY \ VW  [ VW &RY \ VW  [ VW
DQG U

ZLWK E 
9 [ VW 5 9 \ VW 9 [ VW
0LQLPL]DWLRQRI  ZLWKUHVSHFWWR D ZHJHWWKHRSWLPXPYDOXHRI D DV

 D



 & D R  VD\    

6XEVWLWXWLRQRI D R LQSODFHRI D LQ  \LHOGVWKHRSWLPXPHVWLPDWRURI < DV

F
 <532

\ VW   & ;   & [ VW
   
 [ VW ;

3XWWLQJ  D D R  LQ    ZH  JHW  WKH  YDULDQFH  RI  WKH  RSWLPXP  HVWLPDWRU  <532


F
 RU  WKH
PLQLPXPYDULDQFHRI <53 F DV

 9 <532 9 \ VW   U
F 

 
 :K
J K  U 

6 K\ PLQ 9 <53

F
 

7KXVZHHVWDEOLVKHGWKHIROORZLQJWKHRUHP

7KHRUHP7RWKHILUVWGHJUHHRIDSSUR[LPDWLRQ

 9 <532 t 9 \ VW   U
F 

 :KJ K   U  6 K\  

ZLWKHTXDOLW\LI D
  &


5HPDUN    7KH  DV\PSWRWLFDOO\ RSWLPXP  HVWLPDWRU  $2(  <532 F
 FDQ  EH  XVHG  LQ
SUDFWLFHRQO\ZKHQWKHRSWLPXPYDOXH D R RI D LVH[DFWO\NQRZQ%XWLQSUDFWLFHLWLVKDUGWR
JXHVVWKHYDOXH  D R  H[DFWO\+RZHYHULQUHSHDWHGVXUYH\VRUVWXGLHVEDVHGRQPXOWLSKDVH
VDPSOLQJZKHUHLQIRUPDWLRQLVJDWKHUHGRQVHYHUDORFFDVLRQV RUEDVHGRQSDVWH[SHULHQFH
LW  PD\ EH  SRVVLEOH  WR  JXHVV  WKH  YDOXH  RI  D R LH &  TXLWH  DFFXUDWHO\  (YHQ  WKRXJK  WKLV
DSSURDFKPD\UHGXFHWKHSUHFLVLRQLWPD\EHVDWLVIDFWRU\SURYLGHGWKHUHODWLYHGHFUHDVHLQ
SUHFLVLRQLVPDUJLQDOVHH6XNKDWPHHWDO SS 
 &RPELQHGUDWLRSURGXFWHVWLPDWRURIILQLWHSRSXODWLRQPHDQLQVWUDWLILHGVDPSOLQJ

$OORZDEOH'HSDUWXUHIURP2SWLPXP

6XSSRVH & R &   K WKHQ


 D


 & 
^  &  &K`   &  &K &K
 
DR 
    
6XEVWLWXWLQJWKLVYDOXHRI D LQ  ZHJHWWKHYDULDQFHRI <53 F DV
F
 9 <53 9 \ VW   U   G
 

 
F
 9 <532   G


U 
ZKHUH G K

  U 
1RZZHKDYH
9 <53
F F
 9 <532
U 
 G K   
F
9 <532
  U 

ZKLFKIROORZVWKDWWKHSURSRUWLRQDOLQFUHDVHLQYDULDQFHRI <53 F RYHUWKDWRI$2( <532
F

LVOHVVWKDQ J LI

U 
K   J RU K 
  U J

 

  U  U 
,WIROORZVIURP  WKDWWRHQVXUHRQO\DVPDOOUHODWLYHLQFUHDVHLQWKHYDULDQFH K
PXVWEHLQWKHQHLJKERUKRRGRI]HURLI U LVODUJHEXWFDQGHSDUWFRQVLGHUDEO\IURP]HUR
LI U LVPRGHUDWH

&RPSDULVRQV

,WLVZHOONQRZQXQGHUVWUDWLILHGUDQGRPVDPSOLQJWKDW
/
 9 \ VW :KJ K 6 K\  
K 

)URP  DQG  ZHKDYH


 9 \ VW  9 <53   D 5 9 [ VW >   D  & @
F

ZKLFKLVSRVVLEOHLI
 
HLWKHU D   &
 
 
 
RU  & D 
 
7KXVIURP  ZHQRWHWKDW <53 F LVPRUHHIILFLHQWWKDQ \ VW LI
   
PLQ   &  D  PD[   &  
   
)URP  DQG  ZHKDYH


 9 \ 5F  9 <53    D 5 9 [ VW >D  & @


F 

ZKLFKLVSRVVLEOHLI
HLWKHU D  &
 
RU & D 
7KXVIURP  ZHQRWHWKDW <53 F LVPRUHHIILFLHQWWKDQ \ 5F LI

PLQ &    D  PD[ &  
 
)URP  DQG  ZHKDYH
 9 \ 3F  9 <53 D5 9 [ VW >   D  & @
F 

ZKLFKLVSRVVLEOHLI
HLWKHU  D  &

RU  & D  
 
7KXVIURP  ZHQRWHWKDW <53 F LVPRUHHIILFLHQWWKDQ \ 3F LI

PLQ    &  D  PD[    &
 

(VWLPDWRU%DVHGRQ(VWLPDWHG2SWLPXP

,IWKHH[SHULPHQWHULVQRWDEOHWRVSHFLI\WKHYDOXHSUHFLVHO\WKHQLWPD\EHGHVLUDEOHWR
HVWLPDWHWKHRSWLPXPYDOXH D R
  & IURPWKHVDPSOH\LHOGLQJWKHFRPELQHGHVWLPDWRURI


< GHILQHGEHORZ


F
 <532
\ VW


  & ;   & [ VW

 
 [ VW ;
/


E
:KJ K V K[\ ;
ZKHUH &  E K 
 5  DV ; LVNQRZQ 
5 /
\ VW
:KJ K V K[
K 
QK
 QK

[KL  [K 
QK  
[KL  [K \ KL  \ K DQG V K[
QK  
 V K[\
L  L 

QK
,IWKHDOORFDWLRQLVSURSRUWLRQDODQG Q |   E UHGXFHVWRWKHSRROHGHVWLPDWRURIWKH
K 

UHJUHVVLRQFRHIILFLHQW
/ QK

\ KM  \ K [ KM  [ K
 E
K  M 
/ QK 
[ KM  [K


K  M 
 &RPELQHGUDWLRSURGXFWHVWLPDWRURIILQLWHSRSXODWLRQPHDQLQVWUDWLILHGVDPSOLQJ

,QRUGHUWRREWDLQHGWKHYDULDQFHRI <532
F ZHZULWH

 & &   H 


ZLWK ( & &  2 Q  ([SUHVVLQJ <532
F LQWHUPVRIHVZHKDYH


 <532
F <

>^ ` ^ ` @
  H   &   H   H     &   H   H 
ZKHUH H DQG H DUHVDPHDVGHILQHGLQVHFWLRQ7KXVWKHYDULDQFHRI <532
F XSWRILUVW

GHJUHHRIDSSUR[LPDWLRQLVJLYHQDV

^&RY \ VW  [ VW `
      9 <532
F
9 \ VW 
9 [ VW
  
9 \ VW   U 

 

ZKLFKLVVDPHDVWKDWRI <53 F LH


F 9 < F
 9 <532 53

 



(PSLULFDO6WXG\

7RLOOXVWUDWHWKHSHUIRUPDQFHRIGLIIHUHQWHVWLPDWRUV \ VW  \ 5F DQG <53 F RYHU \ VW ZHKDYH


FRQVLGHUHGWKHQDWXUDOGDWDJLYHQLQ6LQJKDQG&KDXGKDU\ S 
7KHGDWDZHUHFROOHFWHGLQDSLORWVXUYH\IRUHVWLPDWLQJWKHH[WHQWRIFXOWLYDWLRQDQG
SURGXFWLRQRIIUHVKIUXLWVLQWKUHHGLVWULFWVRI8WWDU3UDGHVKLQWKH\HDU

6WUDWXP7RWDO1R7RWDODUHD1RRIYLOODJHV$UHDXQGHU7RWDO1R
1XPEHURIYLOODJH LQKHFW LQVDPSOHDUFKDUGVLQKDRIWUHHV
 K  1 K  ; K  QK  [ K  \ K 


 

























7KHFDOFXODWLRQKDYHEHHQVKRZQLQWKHJLYHQEHORZ


6WUDWXP :K  J K  6 K[  6 K\  6 K[\









5  DQG D RSW  

 7KHSHUFHQWUHODWLYHHIILFLHQF\RIDQHVWLPDWRUWZLWKUHVSHFWWRXVXDOXQELDVHG
HVWLPDWRU \ VW LVGHILQHGE\
9 \ VW
 35( W  \ VW
u   
9 W
:HKDYHFRPSXWHGWKHSHUFHQWUHODWLYHHIILFLHQF\RI \  \  \ DQG < F ZLWKUHVSHFW
VW 5F 3F 53

WR \ VW DQGSUHVHQWHGLQ7DEOH

7DEOH
6KRZLQJWKHSHUFHQWUHODWLYHHIILFLHQFLHVRIWKHYDULRXVHVWLPDWRUVRISRSXODWLRQPHDQ
< ZLWKUHVSHFWWRVWUDWLILHGUDQGRPVDPSOHPHDQ \ VW

YDOXHRI D   \ VW  


 &RPELQHGUDWLRSURGXFWHVWLPDWRURIILQLWHSRSXODWLRQPHDQLQVWUDWLILHGVDPSOLQJ

35( <53
F
 \ VW
   

YDOXHRI D   D RSW   \ 5&

35( <53
F
 \ VW
   

YDOXHRI D    

35( <53
F
 \ VW
   

7DEOH
5DQJHRI D IRUZKLFK <53 F LVEHWWHUWKDQ \ VW DQG \ 5F

 <53 F LVEHWWHUWKDQ


 \ VW LI  \ 5F LI
 D    D  

&RQFOXVLRQ

 7DEOHDQGFOHDUO\LQGLFDWHWKDWWKHSURSRVHGHVWLPDWRU <53 F LVEHWWHUWKDQ


XVXDOXQELDVHGHVWLPDWRU  \ VW  DQGFRPELQHGUDWLRHVWLPDWRULQVWUDWLILHGVDPSOLQJ  \ 5F  HYHQ
ZKHQ D GHSHQGVIURPLWVRSWLPXPYDOXH D RSW  7KHUDQJHRI D LQZKLFK <53 F LVEHWWHU
WKDQ \ VW DQG \ 5F DUH   DQG   ,WLVFOHDUWKDWWKHHVWLPDWRU <53 F LVEHWWHU
WKDQ \ VW IRUDZLGHUUDQJH D ZKLOHLWLVEHWWHUWKDQ \ 5F IRUVPDOOHUUDQJHRI D LQZKLFK <53 F LV
EHWWHUWKDQ \ VW DQG \ 5F LV   ZKLFKLVVKRUWLQOHQJWK7KHODUJHVWJDLQLQHIILFLHQF\
E\XVLQJ <53 F RYHU \ VW DQG \ 5F LVREWDLQHGZKHQ D DWWDLQLWVRSWLPXPYDOXH7KHRSWLPXP
HVWLPDWRU <532
F
 RUWKHHVWLPDWRU <532
F LVPRUHHIILFLHQWWKDQ \ DQG \ ZLWKVXEVWDQWLDOJDLQ
VW 5F

LQHIILFLHQF\7KXVWKHHVWLPDWRU <532
F LVWREHSUHIHUUHGLQSUDFWLFH

5HIHUHQFHV

&RFKUDQ:*  6DPSOLQJWHFKQLTXHVUGHGLWLRQ-RKQ:LOH\1HZ<RUN


'D\DO6   2QDOORFDWLRQRIVDPSOHXVLQJHVWLPDWHVRIERWKSURSRUWLRQVRIVWUDWXP
VL]HVDQGVWDQGDUGGHYLDWLRQV$QQ,QVW6WDWLVW0DWK
(VSHMR05   (TXLSUHFLVLRQDODOORFDWLRQDQGRSWLPXPVWUDWLILFDWLRQ6WDWLVWLFV



(VSHMR05  $FRQWUROLQVWUDWLILHGVDPSOLQJ6WDWLVWLFV


+DQVHQ0++XUZLW]:1DQG*XUQH\0  3UREOHPDQGPHWKRGVRIWKHVDPSOH
VXUYH\RIEXVLQHVV-RXU$PHU6WDW$VVRF
.DGLODU&DQG&LQJL+   5DWLRHVWLPDWRUVLQVWUDWLILHGUDQGRPVDPSOLQJ%LRP
-RXU
5DM'  6DPSOLQJWKHRU\0F*UDZ+LOO1HZ<RUN
5DR-1.   2QWKHHVWLPDWLRQRIWKHUHODWLYHHIILFLHQF\RIVDPSOLQJSURFHGXUHV
$QQ,QVW6WDWLVW0DWK
5HGG\91   $FRPSDULVRQEHWZHHQVWUDWLILHGDQGXQVWUDWLILHGUDQGRPVDPSOLQJ
6DQNK\D&
6LQJK'DQG&KXGKDU\)6  7KHRU\DQGDQDO\VLVRIVDPSOHVXUYH\GHVLJQV:LOH\
(DVWHUQ/LPLWHG1HZ'HOKL
6RP5.  3UDFWLFDOVDPSOLQJWHFKQLTXHVHGHGLWLRQ0DUFHO'HNNHU1HZ<RUN
6XNKDWPH396XNKDWPH%96XNKDWPH6DQG$VKRN&  6DPSOLQJWKHRU\RI
VXUYH\VZLWKDSSOLFDWLRQV ,RZD6WDWH8QLYHUVLW\3UHVV$PHV,RZDDQG,&$51HZ
'HOKL

You might also like