                           897

,        SML  
. 25.4  .  ,      FF, -
  ( ,  ) = (1,13, 3,93%)   .  ,
   (0, ,) = (0, 2,23%) ,    FF'  
 1,50% [(3,93% - 2,23%)/1,13],  RVOL^.

         SML.
       (0, .)  (1,  ),    
   : (, ,)/(!  0) = (^ ).  
RVOL   ,     
SML , ,     .  
RVOL   ,      SML, 
   ,   .

       2,65% (^  4,88% 
 2,23%).    RVOL      (1,50% <
< 2,65%),         
    ,  .

    ,   
SML  RVOL ,  ,      
     .      
 ,    ,     
 .     ,    -
,       .   ,  
    (  ) -
   SML ,  ,    -
,    SML (    -
 ).      
 (  )    SML
,  ,    ,    SML
(    ).

  ,        
    ,  ,   -
  . ,     ,  1,5, 
 ,  4,86%,      1,34%
{4,86%  [2,23 + (4,88  2,23)  1,5]}.  ,   
   ,       -
 ( 1,34% <  1,29%).     , 
1,75% [(4,86%  2,23%)/1,5],    -
  ,  1,50%,     -
  .

25.3.3    

    ( ,   -
 ,   ) -
 ,        (SML).
        .
      - (reward-to-variability ratio) -
  ,  ,   
 CML9.  ,       
,        
.