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Teoria Portofoliului

Formule

E ( R p ) = xT
2
T
p = x x
T
e x = 1

x T = ( x1 , x2 ,K, xn )

T = (E ( R1 ), E ( R2 ),K, E ( Rn ) )
e = (1,1,K,1) T
12 12

22

= 21
K K

n1 n 2
p
xi

K 1n

K 2n
K K
2
K nn

ip
=i
p

1
( A B ) 1 + (C B) 1e
D
1
p2 = [ A 2 2 B + C ]
D
x=

A = e T 1 e
B = eT 1
C = T 1
D = AC B 2

v =

B
A

v =

1
A

xv =

1 1
e
A

1
B
C
w =
B
C
w2 = 2
B
xw =

x = xv + (1 ) x w

v,x =

1
= cons tan t
A

A
[C B ]
D
1
D
= C
B
A

= SM S

Rp =

B
D
1
+
p2
A
A
A

RG R p
RG RH
R p RH
RG RH

cov( x P , x Z ) = 0
Rz =

BR p C
AR p B

R z = RV

R p Rw
R p Rv

x p

BETA =

2p

= Rz e + BETA( R p Rz )

k =

kP
p2

1 A
B
B
+ RP RQ
cov( x P , xQ ) A D
A
A
Q =
=
2
var( x P )
1 A
B
+ RP
A D
A
Rf
p =
AR 2f 2 BR f + C
1

x=

AR 2 BR f + C
2
f

1
1 R f e
B AR f

xM =

E ( RM ) =

M =

C BR f
B AR f

AR 2f 2 BR f + C
B AR f

E(R p ) = R f +
xP =

p 1 ( R f e )

E ( RM ) R f

P
xM
M

= R f e + BETA [E ( RM ) R f ]

E ( R K ) = R f + K E ( RM ) R f

k =

kM
M2

k =

k
kM
M

kM = k M kM
Rk = a k + k R M + k

k2 = k2 M2 + 2k
=

P0 =

E ( RM ) R f

M
E ( P1 ) + E ( D1 )
1 + R f + k [ E ( RM ) R f ]