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Bus 345

BUS 345
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10


=
=
=
= . = %
=
%
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= ) ( ) + (
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) (

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= = -

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% =

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( )
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) ( IP

) = ( IP ) ( IO
= ) ( IP ) - ( IO
=
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=
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=
%
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A2

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A4

n
n .


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Vn = Vo

Vo
Vn

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n .
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Vn = Vo )

( A2

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%

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= A4
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24

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% = I

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33

((

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35


=
D

P/E
=
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P/E

= P / E

=
= =

= P

=
-
D1

g - k

( g + ) D0
g - k

:
P
D0

) (

D1
g
k

= ) + (

) (

36

)) g Z (( )) (( ( g - ) D0 = P Z
g + K
)) g Z (( )) (( D = P Z
k
)) g Z (( )) (( ( g + ) D0 = P Z
g-K

( . - )
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39

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)(

)(

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)(

Ra

RP

)( R

)( R

( R) P

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40


) ( .

= +
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:

) ( RF - M ) + RF = E( R

:
) E( R
RF

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.
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( RF - M )

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.


= .

% = RF % = M
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41

( RF - M ) + RF = E( R ) (
= ( - ) . +
= ( ) . +
= +
=%
RF = E( R ) (
=
=
=
= %

+
+
+
+

( RF - M )
( - )
()

RF = E( R ) (
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%

( RF - M )
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RF ) ( .
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42

<<

E ( R ) > RM
E ( R ) = RM

43

>>


E ( R ) < RM

RF = E (R)



:
.
.

= RP

+ R1 W1

R2 W2

:
RP

R1
R2
W

.
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.

..

= = +
W1 = =

W2

= =

%
=
= -
. = = % = W1
. = . - = W2

44

:
( .
( .

:
=

r1.2 21 W2W12 + 22W22 + 21W21 = P

= P

W1
W2
W21
W22
21
22
1
2
r1.2

45

J
46


()

()

()

()

()

()

()

(m Rm)

(m Rm)

RmP

Rm

(m Rm) P

=
. =

a
()

()

()

()

()

()

()

(a Ra)

(a Ra)

R aP

Ra

(a Ra) P

=
. =

b
()

()

()

()

()

()

()

(b Rb)

(b Rb)

RbP

Rb

(b Rb) P

. =

47



a
= )) (( = = . =


b
= )) (( = = . =

) ( b ..

48


. ) ( .
. .
. .

r1.2 21 W2W12

+ 22W22 + 21W21 = P

: +

21 W2W12 + 22W22 + 21W21 = P


:

22W22 + 21W21 = P
: -

21 W2W12
49

- 22W22 + 21W21 = P


) ( + .
= ) (
.

) ( - .


:
=

COV a.b = ra.b
a b
:
ra.b a b = COV a.b
) (

r1.2 21 W2W12 + 22W22 + 21W21 = P


:

r1.2 1 2 = COV 1.2

+ 22W22 + 21W21 = P

W2W12

COV 1.2

50

( b - Rb ) ( a - Ra ) P = COVa.b

51

()

()

()

()

()

()

()

()

COVb.m

COVa.m

COVa.b

(m Rm)

(b Rb)

(a Ra)

COV a.b = ra.b


a b

. =

=
. .


.

.
.
. - +
a ba

. = Wa
a
b :
RP =
Rb Wb +
Ra Wa = RP
% . = . + . =

. = . - = Wb

52


COV a.b

WbWa2

+ 2bW2b + 2aW2a = P

( ) ( . ) ( . ) + ( ) (. ) + ( ) ( . ) =
. =

. =

2bW2b + 2aW2a = P
( ) (. ) + ( ) ( . ) =
. =

Z =


.
COVa.m

M2


= =

..
. = = COVa.m = a

M2

. = = COVb.m = b

M2

W2 2 + W1 1 = P
:

53

W1

W2

1
2

:
Wb b Wa aP
. = . . + .. . = P

) ( RF - RM ) a + RF = E( Ra
= ( - ) . +
= . +
= % .
( RF - RM ) b + RF
( - ) . +
. +
% ..

) = E( Rb
=
=
=


) ( .
) E ( R

) = E(R

) < E(R

) > E(R

54

) ( RF - RM ) + RF = E( R

=
-

( g + ) D0 = P
g - k

) ( RF - RM ) + RF = E( R
= ( ) . +
= ( ) . +
= % . = . +

% < % .

55

= % .

= P
. = ( . + )
. - .
k
.

ba
) ( RF - RM ) a + RF = E( Ra
= ( - ) . +
= . +
= 4.46 +
= % .
>
> .

= .
) = E( Rb
=
=
=

RF
+
+
+

( RF - RM ) b +
( - ) .
.
.

= % ..
<
< .

= .

56

. :
) ( .
) ( .
) ( .


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(


Risk p



) (

) ( ) ( ) ( ) ( .
) ( ) ( ) ( ) ( .

57

) ( .
:

) ( .
.

) ( .


.
) ( .

) (
.


) (
.

58

) (
) ( IO ) ( IP

) (
) (

) (
( g - ) D0 = P
g + K

) (
) ( + ) ( -
( . + )
. - 0.14

59