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2. .

1. 2, . [332] 1952 - , .
(DIVERSIFICATION) (PORTFOLIO) -, (, . . 44) , , .6^
- .
AI,..., An , = ^(AI),..., So(An).
() = BISO(AI) + + BNS0{AN), ^ 0, = 1,...,N. ,
B = (H,... ,6)
,ܳ- "" ˳ 5"().
, AJ , SI () = 1
ASIIAI) = PIAJSOIAI),
, ,
S!(AI) = (1 + (^)({),
P(AI) - , () > 1.
B (B\\,..., 6jv ), () =
XX{B) = BMAT) + + BJYSIMJV),
"" , , "" "" .
. XI(B):
EXI(B) -

DXI(6) - .
, - .
, , , * / = /(EXI(FT), DXI(6)) " " :
() = {B = FA,..., BN): BI > 0, X0(B) = }, > 0.
:
INFD )
, INF FT,
(), EXI(FT) = M,
M - .
([ (6), ^/D-XI(FT) ), FT () , , FT.
ղ()


/)
.
8. - (MEAN-VARIANCE ANALYSIS)
, , , (ղ (6), /DXJ ()) - "" "" /3. (. , , , - "MEAN-VARIANCE ANALYSIS")
2. , (SI(AI),..., SI(^)) (P(AI), , { )), .
(), .. = BISO(AI) + ^^)-
D = (DI,..., DJY),
BIS0{AI)
DI =
X
N
B B(X), -RO DI > DI =1. XI(B)
I=L

XI(B) = (L + R(B))X0{B),

P(D) = DIP{AI) 1- DNP(AN).
,
() ò) ^ (,) R{B) = X^BJ-1 = ~1 = 1
,
= Y,DIP(AI) = P{D).
R(B) = P(D),
, D = (DI,..., DJV) B = (ܲ,..., DI = ^ _ J #) ()
X1(B) = X{L + P(D)),
, , \\ () P(D).
3. , - () , \\ ().
?I ?2 . , ѱ - , λ = \\/D?I, = 1,2,
D(CI?I + 262) = (ѲҲ - C2CT2)2 + 2CIC20I<72(1 + <^12), <7\\ <72
Ѳ ( = 2&2 12 = 1, D(CI?I + c262) = 0-
, ? ?2 (712 = 1, Ѳ 2 , Ѳ Ҳ = 22, CIFI + ?2 .
, , E(CI?I + 2&) . ( Ѳ = 2 = 0 ().)
, (Ѳ,) (?1,62) ,
E(CI?I + 22) "" A D(CI?I + C2C2) "" - (?1, ?2), .
, , - , , , , .
, , - J .
[ ?1, ?21 , ~
< , = 1,..., N, - - .
N N
D(DI6 + + DN?N) = J2DI < CJ2 DI-
I=1 =1
, , , DI = 1 /N, ,

D(DI& + + DN?N) ^ -> 00.
F ,
, -
! , . . D(DI?I -I + DJV?IV), , ,
| N .
DP(D)
P(D) = DIP(AI) + + DNP(AN).
F

N N
I DP(D) = J2 DJDPIA,) + J2 DID3 CO{(),(3)).
I I=1 I,J = L,
[! ^
I DI = 1/N.
\' I:D?DP(AI) = (L)2 N 1 ? = 1
J =1 I 1
_ 1 N
A2N = DP(AT) - . ,
? DID, ((),(^)) = V2 " COVJV, =,
COVJV :
^
CVJV = N2 _ S
,
(1)
DP(D) = + (L - 1)
, < COV JV > V N ,
DP(D) - COV, N TOE. (2)
, COV , N , .. DP(D), . , , , , , , ( - ), , Covjv WE N > . COV , - - , . (1) , , , . ( "MEAN-VARIANCE ANALYSIS" . [268], [331]-[333].)
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: . .. . 1. . .: ,1998. 512 . (, .2). 1998

2. . :

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