   335

  ,       ,
     , ,   .

6           -
      .

7   ˄ = 8  , = 4? ,       -
,    , ,      , -
    .

8            APT,  
     , ..   S   .

9       ,    S   .
   (),     .  ,    
S     ,      
.  S     ,      -
 ,  S.

10 ,   APT     -
 S.

      (  ), ,  S&P 500,  8,
     ,  &,    -
  ;',     ,   . 8   /?,,.

12      : ( ^) = (^ + ^ + ,, ^)
: COV(i; ) = b. COV(F^, /) + COV(e., ^).    
 ,     ;;-,, ^) = 6, COV(F^, ^).     ^ 
 (. 10),  COV(r^., ^/ <^ = ,   (12.26).

13 COV(F^, ^)  ,   ,     
     /",  ;'.

14 .  13.

15        (..     F, 
;),          ,.

"    .  13.

17  . 11   ,    .   
    : (1)   ; (2)  
    ; (3)        -
      .

18 ,          -
  ,          , 
        
.

19 ,     S&P 500,     
 .

20 ,   (  )    , -
  .

21       . 18.

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