1

Teoria Portofoliului

Formule

=

=

=

1

)(

2

xe

xx

xRE

T

T

p

T

p

( )

=

=

=

=

2

21

2

2

221

112

2

1

21

21

)1,,1,1(

)(,),(),(

),,,(

nnnn

n

n

T

n

T

n

T

e

RERERE

xxxx

K

KKKK

K

K

K

K

K

i

p

ip

i

p

x

==

( )[ ]

]2[1

)(1

22

11

CBAD

eBCBAD

x

p +=

+=

2

1

1

1

BACD

C

eB

eeA

T

T

T

=

=

=

=

A

Bv =

Av

1=

2

eA

xv11 =

Bxw

1=

B

Cw =

2

2

B

Cw =

wv xxx )1( +=

tconsA

xv tan1

, ==

=

=

A

DC

B

BCD

A

1

][

SMS =

AA

D

A

BR pp

12 +=

HG

pG

RR

RR

HG

Hp

RR

RR

0),cov( =ZP xx

BAR

CBRR

p

p

z

=

vp

wp

VzRR

RRRR

=

3

2

p

pxBETA

=

)( zpz RRBETAeR +=

2

p

kPk

=

21

1

)var(

),cov(

+

+==

A

BR

D

A

A

A

BR

A

BR

D

A

A

x

xx

P

QP

P

QP

Q

CBRAR

R

ff

f

p

+

=

22

( )eRCBRAR

x fpff

+

= 12 2

1

[ ]

f

ff

M

f

f

M

f

f

M

ARB

CBRAR

ARB

BRCRE

eRARB

x

+=

=

=

2

)(

1

2

1

P

M

fM

fp

RRERRE

+=

)()(

M

M

PP xx

=

[ ]fMf RREBETAeR += )(

[ ]fMKfK RRERRE += )()(

2

M

kMk

=

kM

M

kk

=

4

kMMkkM =

kMkkk RaR ++=

2222

kMkk +=

M

fM RRE

=

)(

])([1

)()( 110

fMkf RRER

DEPEP

+++

=