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Reilly, F., K., Investment Analysis and Portfolio Management, The Dryden Press,
Chicago, 1989.

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t =1

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13

14

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1962-68 . (
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1948-54 1955-61 1.02.

21

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:
2
MSE = ( A P ) + ( 1 1) sP2 + ( 1rAP
) sA2
A P
2

2
, 1 P , sP

24

sA2 P A rA2P
P A.3
, {inefficiency}
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Pj ,
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Levy
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27

Ri RF
i

Ri

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1%

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(R

RF ) i ,

( short, short).

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(R

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C*. C*
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C*

28

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Ci
Ci
Ci Ci.
Ci C*.

29

4. - C*

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i Ci :

Ci =

m2

m2

e2j

( R R )
j

2
ej

i 2
j
2
1+ m 2
j =1 ej
j =1

,
. Ci

:
Ci =

iP ( RP RF )
i

iP

1%

RP

iP

RP .

30