874                                                            24
,  (24.12)    :

1[(-^1}

=-2.                           (24.13)
(rs-rr)

   ,        (24.2)  -
      18.

  ^    (24.7)    :

(~rs-rp)Xs=rc-rF.                        (24.14)

 ,    (24.13) (^-)^    /^-//.-.
   , :

21^<2]

=-^-.                               (24.15)
(>'s -)

 ,  , - = 15%  - = 4,5%.   -
   (24.15)  , :

2[\152]
^    4,5                                (246)

     . 24.1.



'    ,       
  ,     ; .: Edwin J. Eiton, Martin J. Gruber,
and Seth Grossman. Discrete Expectational Data and Portfolio Performance, Journal of Finance, 41,
no. 3 (July 1986), pp. 699-713, and Chapter 23.

2    : William F. Sharpe, Asset Allocation Tools (Redwood City, CA: Scientific Press,
1987), p. 38.

3        (,  
     ),  ,  -  -
  .

4            -
.    (24.1)  ,    I/  .
 ,        . 24.3.

5  .        /.  
   ,     /.  -
   ,      -
 (certainty equivalent returns) .  : Mark Kritzman, ...About Utility, Financial Analysts
Journal, 48, no. 3 (May/June 1992), pp. 17-20.

'        ,   -
    .     , -