㈠ 璧勬湰璧勪駭瀹氫環妯″瀷銆佸崟鍥犵礌妯″瀷鍙婂崟鎸囨暟妯″瀷鐨勫叧緋
濂楀埄瀹氫環鐞嗚哄拰璧勬湰璧勪駭瀹氫環妯″瀷閮芥槸璧勪駭瀹氫環鐞嗚猴紝鎵璁ㄨ虹殑閮芥槸鏈熸湜鏀剁泭鐜囦笌椋庨櫓鐨勫叧緋伙紝浣嗕袱鑰呮墍鐢ㄧ殑鍋囪懼拰鎶鏈涓嶅悓銆
涓よ呯殑鑱旂郴
涓よ呰佽В鍐崇殑闂棰樼浉鍚岋紝閮芥槸瑕佽В鍐蟲湡鏈涙敹鐩婁笌椋庨櫓涔嬮棿鐨勫叧緋伙紝浣挎湡鏈涙敹鐩婁笌椋庨櫓鐩稿尮閰嶃
涓よ呭歸庨櫓鐨勭湅娉曠浉鍚岋紝閮芥槸灝嗛庨櫓鍒嗕負緋葷粺鎬ч庨櫓鍜岄潪緋葷粺鎬ч庨櫓錛屾湡鏈涙敹鐩婂彧涓庣郴緇熸ч庨櫓鐩稿叧錛岄潪緋葷粺鎬ч庨櫓鍙浠ラ氳繃澶氭牱鍖栬屽垎鏁ｆ帀銆
涓よ呯殑鍖哄埆錛
鍦ˋPT涓錛岃瘉鍒哥殑椋庨櫓鐢卞氫釜鍥犵礌鏉ヨВ閲婏紱鑰屽湪CAPM涓錛岃瘉鍒哥殑椋庨櫓鍙鐢ㄨ瘉鍒哥浉瀵逛簬甯傚満緇勫悎鐨勎茬郴鏁版潵瑙ｉ噴銆
APT騫舵病鏈夊規姇璧勮呯殑璇佸埜閫夋嫨琛屼負鍋氬嚭瑙勫畾錛屽洜姝APT鐨勯傜敤鎬у炲己浜嗭紱鑰孋APM鍋囧畾鎶曡祫鑰呮寜鐓ф湡鏈涙敹鐩婄巼鍜屾爣鍑嗗樊錛屽苟鍒╃敤鏃犲樊寮傛洸綰塊夋嫨鎶曡祫緇勫悎銆侫PT涔熸病鏈夊亣瀹氭姇璧勮呮槸椋庨櫓鍘屾伓鐨勩
APT騫朵笉鐗瑰埆寮鴻皟甯傚満緇勫悎鐨勪綔鐢錛岃孋APM寮鴻皟甯傚満緇勫悎鏄涓涓鏈夋晥鐨勭粍鍚堛
鍦ˋPT涓錛岃祫浜у潎琛＄殑寰楀嚭鏄涓涓鍔ㄦ佺殑榪囩▼錛屽畠鏄寤虹珛鍦ㄤ竴浠峰畾寰嬬殑鍩虹涓婄殑錛涜孋APM鐞嗚哄垯寤虹珛鍦ㄩ┈縐戠淮鑼ㄧ殑鏈夋晥緇勫悎鍩虹涔嬩笂錛屽己璋冪殑鏄涓瀹氶庨櫓涓嬬殑鏀剁泭鏈澶у寲鍜屼竴瀹氭敹鐩婁笅鐨勯庨櫓鏈灝忓寲錛屽潎琛＄殑瀵煎嚭鏄涓涓闈欐佺殑榪囩▼銆
鐩稿叧姒傚康錛
璧勬湰璧勪駭瀹氫環妯″瀷錛圕apital Asset Pricing Model 綆縐癈APM錛夋槸鐢辯編鍥藉﹁呭忔櫘錛圵illiam Sharpe錛夈佹灄鐗瑰皵錛圝ohn Lintner錛夈佺壒閲岃猴紙Jack Treynor錛夊拰鑾杈涳紙Jan Mossin錛夌瓑浜哄湪璧勪駭緇勫悎鐞嗚虹殑鍩虹涓婂彂灞曡搗鏉ョ殑錛屾槸鐜頒唬閲戣瀺甯傚満浠鋒牸鐞嗚虹殑鏀鏌憋紝騫挎硾搴旂敤浜庢姇璧勫喅絳栧拰鍏鍙哥悊璐㈤嗗煙銆傝祫鏈璧勪駭瀹氫環妯″瀷灝辨槸鍦ㄦ姇璧勭粍鍚堢悊璁哄拰璧勬湰甯傚満鐞嗚哄熀紜涓婂艦鎴愬彂灞曡搗鏉ョ殑錛屼富瑕佺爺絀惰瘉鍒稿競鍦轟腑璧勪駭鐨勯勬湡鏀剁泭鐜囦笌椋庨櫓璧勪駭涔嬮棿鐨勫叧緋伙紝浠ュ強鍧囪浠鋒牸鏄濡備綍褰㈡垚鐨勩
鍗曞洜緔犳ā鍨(Sharpe's One-way Analysis of Variance)鍗曞洜緔犳ā鍨嬫槸璇鴻礉灝旂粡嫻庡﹀栬幏寰楄呭▉寤壜峰忔櫘錛圵illiam Shape 錛夊湪1963騫村彂琛ㄣ婂逛簬鈥滆祫浜х粍鍚堚濆垎鏋愮殑綆鍖栨ā鍨嬨嬩竴鏂囦腑鎻愬嚭鐨勩 澶忔櫘鎻愬嚭鍗曞洜緔犳ā鍨嬬殑鍩烘湰鎬濇兂鏄錛氬綋甯傚満鑲′環鎸囨暟涓婂崌鏃訛紝甯傚満涓澶ч噺鐨勮偂紲ㄤ環鏍艱蛋楂橈紱鐩稿弽錛屽綋甯傚満鎸囨暟涓嬫粦鏃訛紝澶ч噺鑲＄エ浠鋒牸瓚嬩簬涓嬭穼銆傛嵁姝わ紝鍙浠ョ敤涓縐嶈瘉鍒哥殑鏀剁泭鐜囧拰鑲′環鎸囨暟鐨勬敹鐩婄巼鐨勭浉鍏沖叧緋誨緱鍑轟互涓嬫ā鍨嬶細r it= Ai + 尾i rrmt+蔚it
鍋囪綨(t)鏄鏃跺埢t鏌愮綉絝欐祻瑙堥噺錛屽彲鑳藉炲姞錛屽亣璁炬ｆ瘮浜嶯錛屽嵆錛歜N錛屼篃鍙鑳藉噺灝戱紝鍋囪句篃姝ｆ瘮浜嶯錛屽嵆錛歞N銆傝繖鏍峰亣璁懼湪寰堝ぇ紼嬪害涓婃槸鍚堢悊鐨勶紝涓嶈冭檻鍏朵粬鍥犵礌緗戠珯嫻侀噺鐨勫為暱錛屼富瑕佷緷璧栦簬鍙ｇ戱紝鑰屽彛紕戠殑鏁堝簲搴旀ｆ瘮浜庡叾褰撳墠鐢ㄦ埛鐨勬暟鐩銆傚悓鏍峰湪宸叉湁鐢ㄦ埛涓涔熸湁涓瀹氭瘮渚嬬殑浼氬帉鍊﹁繖涓緗戠珯錛屼粠姝や笉鍐嶈塊棶銆