...........................................................................................................................................1
...........................................................................................................................................1
...............................................................................................................................5
.............................................................................................................................13
.........................................................................................................................18
.............................................................................................27
.............................................................................................27
.............................................................................................................................34
.............................................................................................................................43
.............................................................................................................................43
.................................................................................................................44
.............................................................................................................50
.............................................................................................................51
.............................................................................................................53
.................................................................................................................54
.............................................................................................................................57
.............................................................................................................59
.........................................................................................................61
.................................................................................................70
.................................................................................................77
.............................................................................................................77
.....................................................................................78
.........................................................................................................................78
1
2
3
4
5
6
Coopers & Lybrand
7
8
9
10
1 2 3 4 5 6 7 8
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
× × ?
31
10.
11.
32
33
34
35
70 95 0-30 5 80
1
1
β α β
α
36
α β 3 EPS
2
β β
β / β
3
α
α “ ”
2
37
1
2
3
4 /
Barra
Aegis
(Active Risk) (Total Risk) (Value at Risk) (Return at
Risk)
A600 ×80% ×20
38
A600 A600
39
70 95 0-30
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
70 95 0-30 5 80
72
70 95 0-30
73
74
75
76
77
78
79