㈠ 璧勬湰璧勪骇瀹氫环妯″瀷銆佸崟鍥犵礌妯″瀷鍙婂崟鎸囨暟妯″瀷鐨勫叧绯
濂楀埄瀹氫环鐞嗚哄拰璧勬湰璧勪骇瀹氫环妯″瀷閮芥槸璧勪骇瀹氫环鐞嗚猴紝鎵璁ㄨ虹殑閮芥槸鏈熸湜鏀剁泭鐜囦笌椋庨櫓鐨勫叧绯伙紝浣嗕袱鑰呮墍鐢ㄧ殑鍋囪惧拰鎶鏈涓嶅悓銆
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鍐虫湡鏈涙敹鐩婁笌椋庨櫓涔嬮棿鐨勫叧绯伙紝浣挎湡鏈涙敹鐩婁笌椋庨櫓鐩稿尮閰嶃
涓よ呭归庨櫓鐨勭湅娉曠浉鍚岋紝閮芥槸灏嗛庨櫓鍒嗕负绯荤粺鎬ч庨櫓鍜岄潪绯荤粺鎬ч庨櫓锛屾湡鏈涙敹鐩婂彧涓庣郴缁熸ч庨櫓鐩稿叧锛岄潪绯荤粺鎬ч庨櫓鍙浠ラ氳繃澶氭牱鍖栬屽垎鏁ｆ帀銆
涓よ呯殑鍖哄埆锛
鍦ˋPT涓锛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涓锛岃瘉鍒哥殑椋庨櫓鍙鐢ㄨ瘉鍒哥浉瀵逛簬甯傚満缁勫悎鐨勎茬郴鏁版潵瑙ｉ噴銆
APT骞舵病鏈夊规姇璧勮呯殑璇佸埜閫夋嫨琛屼负鍋氬嚭瑙勫畾锛屽洜姝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锛屽苟鍒╃敤鏃犲樊寮傛洸绾块夋嫨鎶曡祫缁勫悎銆侫PT涔熸病鏈夊亣瀹氭姇璧勮呮槸椋庨櫓鍘屾伓鐨勩
APT骞朵笉鐗瑰埆寮鸿皟甯傚満缁勫悎鐨勪綔鐢锛岃孋APM寮鸿皟甯傚満缁勫悎鏄涓涓鏈夋晥鐨勭粍鍚堛
鍦ˋPT涓锛岃祫浜у潎琛＄殑寰楀嚭鏄涓涓鍔ㄦ佺殑杩囩▼锛屽畠鏄寤虹珛鍦ㄤ竴浠峰畾寰嬬殑鍩虹涓婄殑锛涜孋APM鐞嗚哄垯寤虹珛鍦ㄩ┈绉戠淮鑼ㄧ殑鏈夋晥缁勫悎鍩虹涔嬩笂锛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灏忓寲锛屽潎琛＄殑瀵煎嚭鏄涓涓闈欐佺殑杩囩▼銆
鐩稿叧姒傚康锛
璧勬湰璧勪骇瀹氫环妯″瀷锛圕apital Asset Pricing Model 绠绉癈APM锛夋槸鐢辩編鍥藉﹁呭忔櫘锛圵illiam Sharpe锛夈佹灄鐗瑰皵锛圝ohn Lintner锛夈佺壒閲岃猴紙Jack Treynor锛夊拰鑾杈涳紙Jan Mossin锛夌瓑浜哄湪璧勪骇缁勫悎鐞嗚虹殑鍩虹涓婂彂灞曡捣鏉ョ殑锛屾槸鐜颁唬閲戣瀺甯傚満浠锋牸鐞嗚虹殑鏀鏌憋紝骞挎硾搴旂敤浜庢姇璧勫喅绛栧拰鍏鍙哥悊璐㈤嗗煙銆傝祫鏈璧勪骇瀹氫环妯″瀷灏辨槸鍦ㄦ姇璧勭粍鍚堢悊璁哄拰璧勬湰甯傚満鐞嗚哄熀纭涓婂舰鎴愬彂灞曡捣鏉ョ殑锛屼富瑕佺爺绌惰瘉鍒稿競鍦轰腑璧勪骇鐨勯勬湡鏀剁泭鐜囦笌椋庨櫓璧勪骇涔嬮棿鐨勫叧绯伙紝浠ュ強鍧囪浠锋牸鏄濡備綍褰㈡垚鐨勩
鍗曞洜绱犳ā鍨(Sharpe's One-way Analysis of Variance)鍗曞洜绱犳ā鍨嬫槸璇鸿礉灏旂粡娴庡﹀栬幏寰楄呭▉寤壜峰忔櫘锛圵illiam Shape 锛夊湪1963骞村彂琛ㄣ婂逛簬鈥滆祫浜х粍鍚堚濆垎鏋愮殑绠鍖栨ā鍨嬨嬩竴鏂囦腑鎻愬嚭鐨勩 澶忔櫘鎻愬嚭鍗曞洜绱犳ā鍨嬬殑鍩烘湰鎬濇兂鏄锛氬綋甯傚満鑲′环鎸囨暟涓婂崌鏃讹紝甯傚満涓澶ч噺鐨勮偂绁ㄤ环鏍艰蛋楂橈紱鐩稿弽锛屽綋甯傚満鎸囨暟涓嬫粦鏃讹紝澶ч噺鑲＄エ浠锋牸瓒嬩簬涓嬭穼銆傛嵁姝わ紝鍙浠ョ敤涓绉嶈瘉鍒哥殑鏀剁泭鐜囧拰鑲′环鎸囨暟鐨勬敹鐩婄巼鐨勭浉鍏冲叧绯诲緱鍑轰互涓嬫ā鍨嬶細r it= Ai + 尾i rrmt+蔚it
鍋囪綨(t)鏄鏃跺埢t鏌愮綉绔欐祻瑙堥噺锛屽彲鑳藉炲姞锛屽亣璁炬ｆ瘮浜嶯锛屽嵆锛歜N锛屼篃鍙鑳藉噺灏戯紝鍋囪句篃姝ｆ瘮浜嶯锛屽嵆锛歞N銆傝繖鏍峰亣璁惧湪寰堝ぇ绋嬪害涓婃槸鍚堢悊鐨勶紝涓嶈冭檻鍏朵粬鍥犵礌缃戠珯娴侀噺鐨勫為暱锛屼富瑕佷緷璧栦簬鍙ｇ戯紝鑰屽彛纰戠殑鏁堝簲搴旀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﹁繖涓缃戠珯锛屼粠姝や笉鍐嶈块棶銆