Professional Documents
Culture Documents
HoHo*:mm:omU::o*Co:jo.jAm: /oH*Uj]joC8/H8*
W mjo/m: 8)j=oj8xm*oiW**gjHox: :*:1*;::4:oHm:H8
oFjob8 .8*H A,b:HbHoC(*:*,1*$* jbpo*:o:HoomHg
j8 ob:m^n/jmtox:
obm=o:m*j m:8o^r>HobwHo/
84jb|i188o=o,b8b8H8m=m$/H/uC8/H*:*Rb*p:mj*UgjHo
o:oHo m$/H/=,H/jobH]o/p8UHoUj*: i* 8::8H=j/884:
HhjHo8bj83/*/jHb8m:AHbijHo|ojH/jobA18H* ! # " Ho.jo/H*
Zi*:*jbH$ww 8t::/@o8o8$:oW*/$ m:R% oho& o
o.j]:ioHAo/+oH;j/oA8j:o/jb+:oo9*o8Hb:H8 o obmR:*/j*
A+ojmH87o o*o&m:mj1o/o=:b8/j*:u* buH
Uo/jo5ombm:H8@jo8*581oj@jo:3*8*b5:U/Mu3:8
Hj@*H/H8Umu Hpjno*Uo*/joH8;AbU/8bUm m:Hmj*
H/jm:u.j$:;m$.HmWoHH*H*8moj/8]W8bumjo/::8bZu
j/38ijHoobj+oo/8*|jM H gjHoiM ://Cjm:uH/8
/m:j*Uob Zo8:5iio5Hj*:Ht1*$=H/jm+o mm
A!/jom:;81:mjhihHUHZ::o*Co:m*:t:3/.*8*HHHmjA:Cg
H/jmjhjjA/Hmj*8jjXZ*)j*w8XjbAHZ*umW:A:u.
n8b=poo8( 'uo/::hFHp88)bjo.jH*w* )Cj* :/=pHh::Ht*8*:
8:|o/.4oX*:ib8H8oH/4:tjHm:jb3H.8*H!oC:/*:ro*o
+ Hbw5o ,qHoH:H*n]*:o:Ho + wt:o o*o/H:,om818H+o
uH* jbH81:mjhuHA|mjo/ . HhZC::o*58j:o*o:Hb|:!jo@o
H8*/:*3j oHoX8o:oj*o*:j8o:ojoW.i/:Fo
8;ju*:/*o m/jHo.8:|Zoj*@*W*]oqjo:m*.88bj8.
At::o*to:8 .io:HmH8bHh8* b|8bj8j4hj+H:@AHWu8po
8b:H8*b*|W**=Uj5obHHhj.omHm:H8U:u*:/8;WC8bjo:toH8/
H;/o1jH!m o:/*:3/A1!ooo;o/jhUjHbH0 A:!::o H8/no
*om:b:*b. ]::.j|/1om8H8:bj@Ugi 3:b:8mH
j jgjH:8b/j:oH:5HW8/,4:8:H8**o W8/:H8CHbpH4:
HHoH:H/HmF *:hjHob:8 jo*8 jbH8mH: HbZo:mj8 w
:u*:*og
'oHh8* ZoH8*/j:Fj1 obm2 o/o*:4:m
j5bZ8:m:H8;j:o oHwH|Zo]o/joC//o*=o:*8:*mj*=Zb*o8Hu
j8pHmoHHoHm|A1m:mjbobHHhj:o$:oHo/.3b/8i*
j/88=jojoHh, (*:3:u*:==/H:pooou*jbU:*8bHm:H8
W.*tobHHhj oo/:*:$oU!Z: '$o:]nooHh38$*bXUmm:8/
jgiH0 ]j 3*Hb* oo;buoHm::.!mHHugjHoU/:jm:oo
:H|Z:o.o: $ 8@*oHoW* ,:.mC81:mj8ovju8HjpHj*/no*
o*:o/oqoou:Aj mHo&oH*:Z8HZ5:bjo**A3o jo:o*o
8!4 (o/j5o5W*,jwo:,:oHmj8ov18//Z8H:bjo*:H*]:;HZ
5
H/jm/8/m:,Zb4j!o:.u5jb|8 /**jh8!8o,:|oHhjH*
: Hobo/:.j]o:oo8* o*8:bH8h8
A|:bHi@oijij* m: jj ,# m:ot:
+ ij3W* 5 38/8ob:oZ*:/H8mH&H*8HHoWojm:H8ChjCj Cb:/
*H*|j]8W*C*Hmj*|/H*:b>:1HoH *38mbuH:o/+:*/uH*jb
o Cio ]*8@oC:/*o ,&obHHh om8,jbH5o@$:18
8@:mj8o0 gjHo=o$j/8@qop8b:HHbUo4j*HoH/:*+$8
no*=;j5j*o&gjHoR
" o::*:* 8:mj.Z!j
:o
UmR]:
:m
>|b::
oj X/o !opZ8!:b:*ZbvbH:*:/H8b+$Um m:U & o:
owH*8: ! 3 *:/8;Z8$:!H::*/A/w HU:!/8H* oq ,
Z82 ,&Z5/jmm
"! $ #
&%'%
!
(
g 16
: 4/1254 ;
A|j*:!ojb( ,qhZ3::o*|8b8/5*j:H+j|18H*uoH*:j;:**8g
Ugj/;m=m8b'o&j
"
254<,=?>@BADC"EGFIHKJ ;ML
/o
Q
HON
: 4
: 4
P
o o&j/]:mj
WoHH.u8Hbo/:Hm:H8t:mj
:8HC:*oj=H -9/
moH5O -9/ 0o j:85:*oj=H
/
L
254
/
/
- /
jb$uHom:5Z8qHobomHjvmHm+*8ji o L o:vo:jo.jm
o:1.jH oo8w8*+:Ho3:oo:* L U4bW!Z:oo:jo.
j,*8jjm*oZb*j8o:;:* oopmj/ojUmoto:
WoHH.u8HbojCA8o@W
H
5
254 A ;ML
/o
/
: 4
254
;
254
;
HON
: 4
L
N
N
P
6
;
L
6
;
=?>@BA 254 C E F H
;
L :
:
n 16 254
C"EDFIH
; =?>@
;
H
254 ;ML
; =?> @BA
g 16
C E F H
254 ;
N
L
J
HON
: 4
: 4
; L
J
P
L :
H
J
P
432
/5436 ;
73
4
/
3
436
4
/
294 /
6
6
;
;
:
3
3
8: 9>8H*uoH*8$mm::h8
A5WoHH.u8Hb ob:CbHH**8/o&j]H3 8mjoj*;/*jb:
=ojojjj+H/jm+8o@o/:H*Hm:H8;m N L 8=:+Zb=uH*HR
Ho:hUjbHH(mW*=oUH;m:+owoW*/Z8/Um5o jb+Hm::A*8o:* :
jHbH| oojm:*,:*::( tjjm/Z*!ov:*:8/*joo*5m|1*$*:
o/:H* w.838bj8+o/bo8*R A/*Z8/jb:o noH518//Z8H;o
8b:H8*3W*=H;jb+b::o+o:jo.|b/W5$8/:H*:*
+h8;*:/ojH*HgjHo L ovjb18H*u8]H,jbb: :3gUg
j/oWm8h8*4Hw*]18b8@j oq18H*u8A/*::=*::Hb@ :
8o:oj* jm:ouj o(wo$ 4Z8vj518H*uoH*!nH vo;1!*8Wo:;
;:/H*+m*o*|AHoH!o/8j8*: : o>8j : H o$:j:oHb
o*8vo(!8o:*Z*:*18//Z8HK ]bojbAHmHj&18//Z8H5mX!:H -
0
o@1//j@o*
; L
;
:
;
3
J
L
A:
: 3 J 2 0 N /- N U : 3 J 2 0 N /- ;
;
3
2 0
P
3 /
43 ; ; 6 : 3
/ o: :*:18A:|jCmo!o>.j$gwgm:H-o;hAH$8o
W
/
294
L
N
o /o
"!
8:H8/;*8W8b@::8Z/jgj
8o:b8b:H8 /8H;j:W8H.ib8H*noojm:*@uH*H
8o:o(8b:H8
Wo/:ZoHH38mH|j*8jHb8HoH$#m18bWo::H8bo j
WoH*uoH*mAj -
/
/
43
/
/
)5uHo:h:/tHo=0'UW8/:H,obo18::U18//Z8H&%!o
j8:bM$UH '1'b ]w.8*b:*818/j8(+bH8H8X+bv8b:H8:
j]:oHX/j/HmCogjHbH:::/voR:]*8j:o**Ri:C:bjo*
8o o:8j4: W8H.ib8H*|4i8bj8: 4/j/Hm *)*Hm:H
8hUjbH18:hj8tHWH jw/H/H:Ao jb oRwo$ > @8:*Mo*1
o/*oUo/8+: 'ubH:*|jvH/jm4 $8o8m H *u:m jvHbjHo
8b:H88h8 ' 9 bt:m+
43 Ho/jbH/]j8b:H8].iob8
W.* j,b::opm j,:b: m:4o5:,jmu1nmbbo)moH
:81m=8ijHo$:5j5Z8HwH3*uH*+m=1b(
, iOM o.r .A AoXn/5.&*&.-O . m* gg& o.rr.C
o.4Zgb.n/o
3
J
294
"!
L
3Z.
!
]:j$i Xoibo!!+8
254 C E H
254
C"E F H
;
L
;
E H
; L C
: 4,J
2 0
-9/
;
%$
294
H*5jmHR/H*5|/18:hjh8obAZ8Hwjm
"!
(*),+).-/)
$+8bmHR
: 4$J
2 0
L
H'&
C EGF E
L
J
294
6
: ; 3
0
36 /
; 6 3
/!jC:1/:/Hb N |otj!*:HbCo m:]jm:!omHvo
j8bW8/:58j8**o718:hj8Ao j18H*u8*
+
' #
)
'*.
CiojoUj/m:*|o:ZoHHw@o:8b*:WZ8H* Q ,&.31
> -! # " >jbwo$ @o(18H*:oojm: " gjH -!*8://W8bHj5:
gj,*o5o:3:b:(CA3:Hb8: 8=MoCbH:|18H*;C , 0
ot:5:ooHb/Z*:H8;m&j5mj;.8*rmjC:8oH:m:
$
MH
0 N -/
H5476 3 % N
3
,
3 /
H5476 3 N
3 0 N -/
]o:jm3ob:bto8o=j/mo/ m + 8/j:mj*oH+:
w8*:*R ojmC*H:m!Z/8 !' 5 o,! ' Q ]Z8Hw]jm!jb|Wo/:ZoHH|
W*8jHo:h o /j*=b+:::*:*o>:gj@:u*:
+h8 jb,:.i8 :*:hj;jb/HoH4.@:* #;/j:oHo/Z8/o/ :
8b:!:C$H+*H8j* .iW**jmj8Rbb W:Z/8jC/mo/;8bj8t/H*
;j5$Hono.j8/A8o@tj//umo&b:8mH8>AZ8:$+woo
%
3 /
! -/9/
3 -/9/
43DE
>
/ # "
!
"
,
"$# .
#
!'
' +
5j&o/v/:oou/!'H/HA.q:8H:*gRjX18ouj*8j:o*
oHw j18H*8HbAj;:* 3 DE o
3 g*8/jo
jm: ; 8:/jom:@H/8/i*:
t - % - 5 / C E
Aobo:x/j:mj*o)mj - 4UZ8p8otoo: 1=mH)m:H;U
/ t - 4 -/ A*:*Zo:o1o*8/Hjj:Hb8H/Ho:+Ho/:
H ::8/AW8bjb+b:*u8:*:hjo:5u *@oZ8Hw
5 3% GE
H
H 4 6 3 3 2% =8/! N
3 / N -/ /
3 GE / H5476 3 N H < ( % - N
3 0 N -/
3
2 < ( % - <,=o /! / /- /
H
2
;
N
N
3
N
3
3
o Z8AbM
,Q %
H5476 3 H% N
3 H 0 N -/
3 / H5476 3 H N
< ( % < N
3 0 N -/
2 < %3 - <,=8/! / -/ /
H
N
N
3
N
3
3
" H@8oAjb+:b:jjgjm8
)5 jb+mj**R:|bm:85bH:*8j*u:u*: 4HA8h8*=1
3
4
/
<
H
( % / H5476 2 /
8
#
%
(
3GE
33/
3GE
4 H % / H546 2 /
3
4 H % / H 4 6 2 /
(
1
9#
!
>bbjb8tHUjo.j5obtj/m:5|/*ZR/H/ooo:i81o/ 8t:
Z8:o0gjHo48b:HHbo1Moo=m:*Zbvjimjb*8bbj m/Z8:o+W*
Umm:8/o*4jb //j:HoHAo:oH/:Ho/]8|/wjg]:+o8Hb+o
mj]j]Wvj:mj*o/Zo]b:8:ov*8bj]:HX8 /*88:H8m Cbm/Z8:
]*:gj+8b:Hj8:j|mA /oH+: /**W.* obm ooo
Cbu:8/C =>+*8oo !Ho:: 8>oUgj:umbo /8.i1j
8U: *HtoRojmHH*8b:HjmM *8/$#m8U4 3*H**U:8bj8vo&8
W*/Z8/Um5*8bbjj obm&oHmj8
tojH*m =$/W*mH0 *H:bW8j3/:jijHoooj8/$:tou
uH:o/@:*/uH*CZ8j*8jm:4]:/*/ ,&oHh oo8!o' 8//Z8Hb::om
+h8*jbU.u::Umj1b.H18:*j /8H+*o8HijHo om::.j3o
HHoH:H*8j/8m j:mj*8Ho/:.CmHHugjHoto@oo8**A:*
8o+j$H8*/jo/ Hmm3/>WXmuHo3:8:mj* =o: m:HZjm.8/
*jbUo*bjm$*8bH.ihpojbU/8H* H: .j*F8 jb:oH88o
oHb8AZ8AhjA:oHb:H8R
A 'o:gjoXm/j>o =xm 8jmj*3*8bbm:H8o8:oHb:H8
HxUgi tjb.i8jmj8o!:=*8bgjHooA1oj*:oo!j 9o/
Hj:o.UAbUob8bj* jjgjmpo+W*:=imjm !:/8HijHog
j]o/8*!oR:!1Z8:o*"#m/H*:mjAbHo1* oH.8*tjU ,&Hi
81jgjHbt/u/:bH,8:ojC:tj( @8b:H/u/:#oHh8 .iHbHHh8
3.81o@18/joHo
" j;:5Ww$o M /H*Ao juW
Cm;jmoHHoH|H8;/W*
j*:.]j/8b.UomA//+:8|bHC:7jH? H8iI >*/Z8/Uob.
8bj=oB
>ojmHH* 8b:H@uH/8;A5j8bi|1:
o:oH 8b:Htu/j*$woHH**:R5Ab*8:3HtHC: oh=:/:
j*0 '*]m H8? Z8:o* 8bbj|jmu!j5b:87o 8W*jm:o5HH
:]1oj@Z:89:3o:bo/|o=:oo/|:+uHjb/|o Hj]o9 C H
j*:o/|H]oXWw$Z5 ^/tjb|W*/moob:u/:8/58bjmH@:
5
8b.jj/88;Hwm:.,o|bHmj84.8/ v4o:H@H,ojoH*O
j.4o,:wuHb|8o8:CovoijHbU1M$* )C$*8/:|/om:o]jt1
jb;j|1b AZ/8 :Ho:bj**::m /:/H3:b8H8mU$W/Uno$j!1
: #mW*/Z8/Umjm:Htm,o,1g!o/jh=o.j8!*8bj*:!8:*:!mXUooh
jbUnHb Q .
'
' '
,Q
Initialization
Processes distribution
. . .
NO
Modify
Asset Allocation
. . .
YES
Apply the Hedging Strategy
NO
t = Horizon
YES
Sinchronization
Indicators Estimation
(Averaging)
OUTPUT
USER
Interactive
Processor
Processor
Processor
MATLAB
MATLAB
MATLAB
Process
Process
Process
H8b: = bj gjmtC/:*::m
INTERCONNECTING NETWORK
'
!
"
"
"$#
' . !'
A/ujHCo38!Hbjo u58pjo=:8bj84!t:gj
:*/8*
+ 8 o:o*::/:Hm:o
/i*:/8
|:Ho 5 + n + 5
@oj*o/R
=ojb:1o/:bW8j . )
+ )
+
]o:
!H/WnjmH Q +5; 5 0 5
*$8:1 m:R :/* ,
>H8O !:o*
)8@
]8=bo/:o i mjo.j/HjH*o:m
/i*:/8
|:Ho 5 + n + 5
@oj*o/R
=ojb:1o/:bW8j . )
+ )
+
]o:
!H/WnjmH 5 +5; 5 0 5
*$8:1 m:R :/* ,
>H8O !:o*
)8@
A|/uj H8*j*=tj*:. + hj , H:* 5 9 W8jj.Wo:
:*m:85:o;ob=1w*]/h;*u*$ *Hj*bH*::A:w Hb b
+h8:uW88oo1jA/8^j5:o8mjAij*=Xm:.|o8j
jb:+m* H/:+ob@HR1*8*jo m:*:/4=/oo:m$Am]j:
o:oHH m:H8o1j =8j o/H:*o/H+:|gjHoRm$]wo]1*tobHAj/Mu
U::8om8]:uH3H4mH8/:oqjHo*4:3jZ8j|oohi/Ho
uo(HWo/:ZoHHo1=:o8w=:/:o 8b:
!
!
j|o1+;b*8*H81 uv//H4jjjm:H8mHZ/job 8u
j:o*oA318//Z8Ho*:m818o mHoWobj8AH$:b:/gjHoR*o
jo8,H]: *R1H8bHHo:Aj/8:*5oX/o/8/(moZoCHhZ:bjo*
8obH*A!u1H$8*jo1b88t:|W]:b:!'*jt: ob;ooij g
j /9H.8*&H 8:bAjmoHjo*8b]8:5.oH* o@:mHHjC:hjgjHo
=8:*w8*1:Wo/:ZoHH3:b:/j*4H;:HAw AWmj:ojjmobH5H;:
obmUm:o.j*AHo: /m:5moHbW*o/hoHw 8o!:@/*:hjH/
o@oj*/:HH0 'to/:.]/4m: 83W* moHb
0
CXj+:u.Ho8$]/w*Ujm/o/8/vmon8/*::8Uoh
o>HX!Zb*j8o1jA18vH*or8jAH|^8mjoj*:.j/Uob:88Hmjh
o:tb/uH@ZR1 " obH.7b:u*3Hj*:.Z8:t*:*o
jU$>oobj3oWwo3mo:HoH*Ho:*]jtm:joH j/H/4/*jb:,8=oho
8ot:!b::*Uo/o.o:H8bj*:8:mb:]jCo8gjHm&j!b
uHbZb,H]/wu=oXo/:.oHimj8Rb:3uqm4W3ooij=jU/*C:]Zo
W*o:;/*:H8@ob :jo*:/8AHhj$Zoj+o/:*ooo:*
AoW*oH/ o//:jb '*/:H8ovw :@1+Uoo83:|1b
8b:H8@Wo/:ZoHHoj+18H*;HobR oj5jHWo/m5o>j]:/
8:bqj:o:.>/o/8/MmoHXmoHb/>obo:/m8 H+o. o*o8mo/obH
:oHj*:*/jm:*
5
$
!
%# &'$ (
0/
1/
*)+
98
76
F
,)
,
5
2"
*4
3
+
B
:<; =/=;?> @
G
#"
%#!
.-
I/
.
A
BC<; =/=;?>
ED