                                              313

 15%  0,90.         7  9% -
.      ,  -
        18  16,5% ?

20.           -
 :

                 

   1            1,5                0,7
   2            2,6                1,2
  (2.)                 25,0               16,0

   1  2  20  15% ,  -
   225.        
.    ?

21.       7   
      ,   -
   ,      -
 ,     



.    . 8.

     ()  ,     -
       .    - 
   ,  ,   ,      
 .  ,     ,
        .     -
    .

3        .   
     . 17   : Mark Kritzman, ...About Regression,
financial Analysts Journal, 47, no. 3 (May/June 1991), pp. 1215.      -
   ,   : James . McClave and P. George Benson, Statistics
for Business and Economics (San Francisco: Dellen, 1991), Chapter 11.

4       (factor loading),    .

5   t         .  -
          ..

6         . 8.

7         ,  
,      ,     N. -
 ,    ,   . 8.

8         (.: McClave and
Benson, Statistics, Chapter 12)    . 11.1.

9     ,  , ,    -
    ,       , 
    . ., : Benjamin F. King, Market and Industry Factors
in Stock Price Behavior, Journal of Business, 39, no. 1 (January 1966): pp. 139-170; James L. Farrell, Jr.,
Analyzing Covariation of Returns to Determine Stock Groupings, Journal of Business, 47, no. 2 (April
1974), pp. 186207; Homogeneous Stock Grouping: Implications for Portfolio Management, Financial
Analysts Journal, 31, no. 3 (May/June 1975), pp. 5062; and Robert D. Arnott, Cluster Analysis and
Stock Price Comovement, Financial Analysts Journal, 36, no. 6 (November/December 1980), pp. 56-62.

"       ,  --
,     ,    . 
      ,     -
       ,     . .: Gordon J.
Alexander and Jack Francis, Portfolio Analysis (Englewood Cliffs, NJ: Prentice Hall), pp. 83-92.