322                                                    12

  'k.      (pure factor portfolio),
 *,     , .. , = 1,0.
(    ,       ,
      .)     (12.9)  -
    :

^.=^+Ai.                            (12.10a)
      :

^.-^=,.                                 (12.106)

, ,     (..  -
   ) ,   -
  .  ,      (factor risk premium).
 5, = ~r ,       -
  ,   (12.106)  :

1-^=,.                                   (12.10)

    (12.10)  ^   (12.9),  -
    APT:

',=^+(8,-^),.                              (12.11)

     /= 8%  , = 5[  ,= 4%,    5j=12%.
 ,        
   12%.

        -
,   ,      
   .       
     k   k > 2.

 

   ,  F^  F^   
     ,   
       ^.  ,   -
      :

r,=a,+bF,+bF,+e,.                           (12.12)

 ,         -
   :

	,	܄	,2
 1	15%	0,9	2,0
 2	21	3,0	1,5
 3	12	1,8	0,7
 4	8	2,0	3,2

   ,   $5 000 000     -
 (..   WQ  $20 000 000).     
 ?