    193

     ;   .  ]
Richard Roll, 2, Journal of Finance, 43, no. 3 (July 1988), pp. 541566   11.

10  ,     ,      
 .        ,  
           .    
          
   Y,    ^    , 
  ӗ .         ,   45
     ,     ,
+1.

''      ,    -
       (7.5).    
 ,       iwj  ^./^. 
,   .      . , ^ = 187/(Vl46 x V854) =
=0,53.

12  ,  ,         ,
..        .    -
   , .  5  7.

 

 	,  
 	 
	,   
 	  
 	 
 	 
 	 ( )
 	
 	 
	 

 

1.          -
   -       1990 .
       :

Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7, no. 1 (March 1952),

pp. 77-91.

Harry M. Markowitz, Portfolio Selection: Efficient Diversification of Investments (New York:

John Wiley, 1959).

2.         , -
   XIX .,     
  :