254                                                     9

1.          -
  (reward-to-volatility ratio):

RVOL,=(~r,-r^/^y.                         (9.2)

(,        -
    ,     
-.       - . . 25.)
  (2)   . 255      RVOL.

2.    ,         ,.

v r^~rf

ZP,/

,=^o^.                             (9.3)
1-^

^"

    (3).

3.   ,   RVOL,   ,  , 
RVOL,.        .
 k   ,       .
    1  k        , 
  .  ,      RVOL.

,    (3)     RVOL, ,  ,,  
    ,  ..  k = 5   
(    (3))  5,45.     -
    ,       
  ,  5,45.

4.   Z,  ,       -
  k  :

7=^-]

"2, I  P.        4                                    (9)

 Z.  i = k + 1, ..., ^  .

 Z.    (4).   k == 5,    ,  Z,
..., Z.  ,  Z,, ..., Z^   .

5.   Z.   Z       /:

N

X,-Z,/^Z,.                                   (9.5)
ii

  ,    Z.    11.

    0,3879. ,    
 ', = 0,0910/0,3879=0,2345.        (5)
.