   325

12.4

 

         ,
  APT (12.7)  (12.11)     -
 (12.16)  (12.20)  .     ,
         ,
 ? ,        
   .

  k  (F^, F^, ..., F^)      -
 (, , ..., ^)   - :

, = , + bF, + b^ + ... + V. + ,.                       (12.21)

      ,    (12.7) 
(12.6):

7, = \ + \,b + \,b + ... + \b.                        (12.22)

  ,    ,   k + 1 : ^., , 6, ..., ^.

 -  (12.11)  (12.20)   
 .   ,    ,   -
       .   5  
  ,     ./  -
     .    (12.11) 
(12.20)   :

~r, =^+ (S, - /y)Z>,, + (5, - r)b,^ + ... + (8^ - r)b,y                 (12.23)

,         k -
  ,      ^-.

 APT  

   APT    ,     
.     ,      ,  
    .    
,           -
   APT  .   .

12.5.1   

,  ,      
      (market portfolio).    8,
         
  i     . ,  
  .

 ,          
  ?  5,    -
     ,  .    ;',
    ".   ,  
         ,   -
: