{"id":208442,"date":"2026-09-30T18:40:00","date_gmt":"2026-09-30T09:40:00","guid":{"rendered":"https:\/\/ichizenholdings.co.jp\/media\/?p=208442"},"modified":"2026-09-25T19:36:46","modified_gmt":"2026-09-25T10:36:46","slug":"risk-premium","status":"publish","type":"post","link":"https:\/\/ichizenholdings.co.jp\/media\/trading\/financial-engineering\/risk-premium\/","title":{"rendered":"\u7b2c33\u56de \u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u4f55\u306b\u5bfe\u3059\u308b\u5831\u916c\u304b \u2015 \u5206\u6563\u3059\u308b\u3060\u3051\u3067\u306f\u6d88\u3048\u306a\u3044\u90e8\u5206"},"content":{"rendered":"\n
\n

\u4f4d\u7f6e: \u7b2c4\u90e8 \u7b2c33\u56de \/ \u524d\u63d0: \u7b2c29\u56de\u3001\u7b2c31\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u5206\u6563\u6295\u8cc7\u3067\u6d88\u3048\u308b\u30ea\u30b9\u30af\u3068\u6d88\u3048\u306a\u3044\u30ea\u30b9\u30af\u3092\u5206\u3051\u3001\u3069\u3061\u3089\u306b\u5831\u916c\u304c\u4ed8\u304f\u306e\u304b\u3092\u8aac\u660e\u3067\u304d\u308b<\/p>\n<\/blockquote>\n\n\n\n

0. \u7269\u8a9e \u2015 \u5909\u52d5\u304c\u5927\u304d\u3044\u8cc7\u7523\u307b\u3069\u671f\u5f85\u53ce\u76ca\u304c\u9ad8\u3044\u3068\u306f\u9650\u3089\u306a\u3044<\/h2>\n\n\n\n

\u300c\u3053\u306e\u9298\u67c4\u3001\u5024\u52d5\u304d\u304c\u3082\u306e\u3059\u3054\u304f\u8352\u3044\u3093\u3067\u3059\u3002\u3060\u304b\u3089\u9577\u3044\u76ee\u3067\u898b\u308c\u3070\u3001\u305d\u306e\u3076\u3093\u5132\u304b\u308b\u306f\u305a\u3067\u3059\u3088\u306d\u300d\u3002\u6295\u8cc7\u30b5\u30fc\u30af\u30eb\u306e\u52c9\u5f37\u4f1a\u3067\u3001\u3042\u308b\u5b66\u751f\u304c\u305d\u3046\u8a00\u3044\u307e\u3057\u305f\u3002\u5148\u751f\u306f\u9996\u3092\u6a2a\u306b\u632f\u308a\u307e\u3059\u3002\u300c\u5024\u52d5\u304d\u304c\u8352\u3044\u3053\u3068\u3068\u3001\u898b\u8fd4\u308a\u304c\u5927\u304d\u3044\u3053\u3068\u306f\u3001\u540c\u3058\u3067\u306f\u306a\u3044\u3088\u300d\u3002<\/p>\n\n\n\n

\u5177\u4f53\u7684\u306a\u6570\u5b57\u3067\u78ba\u304b\u3081\u3066\u307f\u307e\u3059\u3002\u5024\u52d5\u304d\u306e\u8352\u3055\u304c\u666e\u901a\u306e\u8cc7\u7523\u309210\u500b\u3001\u540c\u3058\u5272\u5408\u3067\u6301\u3063\u3066\u3044\u308b\u3068\u3057\u307e\u3059\u3002\u5024\u52d5\u304d\u306e\u8352\u3055\u3092\u3001\u5e73\u5747\u304b\u3089\u306e\u305a\u308c\u30922\u4e57\u3057\u3066\u5e73\u5747\u3057\u305f\u300c\u5206\u6563\u300d\u3067\u6e2c\u308b\u3068\u3001\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u5168\u4f53\u306e\u5206\u6563\u306f0.049\u3067\u3059\u3002\u3053\u3053\u306b\u3001\u56fa\u6709\u306e\u5024\u52d5\u304d\u306e\u8352\u3055\u304c\u666e\u901a\u306e3\u500d\u3042\u308b\u8cc7\u7523\u30921\u3064\u52a0\u3048\u307e\u3059\u3002\u305a\u308c\u306e\u5e45\u304c3\u500d\u306a\u306e\u3067\u3001\u5206\u6563\u3067\u6e2c\u308c\u30709\u500d\u3067\u3059\u300211\u500b\u306e\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u5206\u6563\u306f0.054\u306b\u5897\u3048\u307e\u3057\u305f\u3002<\/p>\n\n\n\n

\u4e00\u898b\u3059\u308b\u3068\u3001\u8352\u3044\u8cc7\u7523\u3092\u8db3\u3057\u305f\u3076\u3093\u3060\u3051\u30ea\u30b9\u30af\u304c\u5897\u3048\u3066\u3001\u305d\u306e\u3076\u3093\u898b\u8fd4\u308a\u3082\u5927\u304d\u304f\u306a\u308a\u305d\u3046\u306b\u601d\u3048\u307e\u3059\u3002\u3057\u304b\u3057\u5897\u3048\u305f\u5909\u52d5\u306f\u3001\u305d\u306e\u8cc7\u7523\u3060\u3051\u306b\u56fa\u6709\u306e\u3082\u306e\u3067\u3059\u3002\u5e02\u5834\u5168\u4f53\u3068\u9023\u52d5\u3059\u308b\u5171\u901a\u306e\u5909\u52d5\u306e\u5206\u6563\u306f0.04\u306e\u307e\u307e\u5909\u308f\u3063\u3066\u3044\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

\u3053\u3053\u304c\u809d\u5fc3\u3067\u3059\u3002\u8cc7\u7523\u306e\u6570\u3092\u3082\u3063\u3068\u5897\u3084\u3057\u3066\u3044\u304f\u3068\u3001\u56fa\u6709\u306e\u5909\u52d5\u306f\u3069\u3093\u3069\u3093\u8584\u307e\u3063\u3066\u3044\u304d\u307e\u3059\u30021000\u500b\u306e\u8cc7\u7523\u306b\u5206\u3051\u3066\u6301\u3066\u3070\u3001\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u5206\u6563\u306f\u307b\u307c0.04\u307e\u3067\u4e0b\u304c\u308a\u307e\u3059\u3002\u8352\u3044\u8cc7\u7523\u3092\u8db3\u3057\u305f\u3053\u3068\u3067\u5897\u3048\u305f\u90e8\u5206\u306f\u3001\u5206\u6563\u3059\u308b\u3060\u3051\u3067\u6d88\u3048\u3066\u3057\u307e\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

\u6d88\u305b\u308b\u5909\u52d5\u3092\u62b1\u3048\u308b\u3053\u3068\u306b\u3001\u5e02\u5834\u306f\u5831\u916c\u3092\u51fa\u3057\u307e\u305b\u3093\u3002\u5206\u6563\u3059\u308c\u3070\u8ab0\u3067\u3082\u30bf\u30c0\u3067\u53d6\u308a\u9664\u3051\u308b\u304b\u3089\u3067\u3059\u3002\u5831\u916c\u304c\u4ed8\u304f\u306e\u306f\u3001\u3044\u304f\u3089\u8cc7\u7523\u3092\u5897\u3084\u3057\u3066\u3082\u6d88\u3048\u306a\u3044\u3001\u5e02\u5834\u5168\u4f53\u306b\u5171\u901a\u3059\u308b\u5909\u52d5\u306e\u90e8\u5206\u3060\u3051\u3067\u3059\u3002<\/p>\n\n\n\n

\u3064\u307e\u308a\u300c\u5024\u52d5\u304d\u304c\u8352\u3044\u300d\u3060\u3051\u3067\u306f\u3001\u671f\u5f85\u53ce\u76ca\u304c\u9ad8\u3044\u6839\u62e0\u306b\u306f\u306a\u308a\u307e\u305b\u3093\u3002\u305d\u306e\u8352\u3055\u304c\u5e02\u5834\u5168\u4f53\u3068\u9023\u52d5\u3057\u3066\u3044\u308b\u304b\u3069\u3046\u304b\u304c\u3001\u5831\u916c\u3092\u5206\u3051\u308b\u5883\u76ee\u3067\u3059\u3002<\/p>\n\n\n\n

1. \u52d5\u6a5f \u2015 \u306a\u305c\u682a\u306f\u9810\u91d1\u3088\u308a\u671f\u5f85\u53ce\u76ca\u304c\u9ad8\u3044\u306e\u304b<\/h2>\n\n\n\n

\u3053\u306e\u56de\u3092\u8aad\u307f\u7d42\u3048\u308b\u3068\u3001\u5206\u6563\u6295\u8cc7\u3067\u6d88\u3048\u308b\u30ea\u30b9\u30af\u3068\u6d88\u3048\u306a\u3044\u30ea\u30b9\u30af\u3092\u5206\u3051\u3001\u3069\u3061\u3089\u306b\u5831\u916c\u304c\u4ed8\u304f\u306e\u304b\u3092\u8aac\u660e\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

\u9280\u884c\u9810\u91d1\u306e\u91d1\u5229\u306f\u4f4e\u3044\u306e\u306b\u3001\u682a\u5f0f\u306e\u9577\u671f\u7684\u306a\u671f\u5f85\u53ce\u76ca\u7387\u306f\u305d\u308c\u3088\u308a\u304b\u306a\u308a\u9ad8\u3044\u3002\u3053\u306e\u5dee\u3092\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0<\/strong>\u3068\u547c\u3073\u307e\u3059\u3002\u3057\u304b\u3057\u3001\u300c\u30ea\u30b9\u30af\u304c\u3042\u308b\u304b\u3089\u898b\u8fd4\u308a\u304c\u5927\u304d\u3044\u300d\u3068\u3044\u3046\u76f4\u611f\u306f\u3001\u6b63\u78ba\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

\u5024\u52d5\u304d\u304c\u6fc0\u3057\u3044\u8cc7\u7523\u3067\u3082\u3001\u5831\u916c\u304c\u4ed8\u304b\u306a\u3044\u7a2e\u985e\u306e\u5909\u52d5\u304c\u3042\u308a\u307e\u3059\u3002\u305d\u3057\u3066\u3001\u4fa1\u683c\u3092\u8a08\u7b97\u3059\u308b\u3068\u304d\u306b\u306f\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u4e00\u5207\u73fe\u308c\u307e\u305b\u3093\u3002\u4eca\u56de\u306f\u3001\u3069\u306e\u90e8\u5206\u306e\u30ea\u30b9\u30af\u306b\u5831\u916c\u304c\u4ed8\u304d\u3001\u3069\u306e\u90e8\u5206\u306b\u306f\u4ed8\u304b\u306a\u3044\u306e\u304b\u3092\u3001\u5206\u6563\u306e\u8a08\u7b97\u3060\u3051\u3067\u660e\u3089\u304b\u306b\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u8a18\u4e8b\u3067\u8a3c\u660e\u3059\u308b\u3053\u3068<\/h3>\n\n\n\n
    \n\n
  • THM-RP-1<\/strong> \u8cc7\u7523\u6570\u3092\u5897\u3084\u3059\u3068\u3001\u56fa\u6709\u306e\u5909\u52d5\u306e\u5bc4\u4e0e\u306f\u8cc7\u7523\u6570\u306b\u53cd\u6bd4\u4f8b\u3057\u3066\u5c0f\u3055\u304f\u306a\u308a\u307e\u3059\u304c\u3001\u5171\u901a\u306e\u5909\u52d5\u306f\u6b8b\u308a\u307e\u3059\u3002<\/li>\n\n\n
  • THM-RP-2<\/strong> \u5206\u6563\u3057\u3066\u6d88\u305b\u308b\u30ea\u30b9\u30af\u306b\u306f\u5831\u916c\u304c\u4ed8\u304d\u307e\u305b\u3093\u3002\u6d88\u305b\u306a\u3044\u90e8\u5206\u3060\u3051\u304c\u671f\u5f85\u8d85\u904e\u53ce\u76ca\u306e\u6e90\u6cc9\u3067\u3059\u3002<\/li>\n\n\n
  • THM-RP-3<\/strong> \u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\u306e\u3082\u3068\u3067\u306f\u3059\u3079\u3066\u306e\u8cc7\u7523\u306e\u671f\u5f85\u53ce\u76ca\u7387\u304c\u7121\u30ea\u30b9\u30af\u91d1\u5229\u306b\u4e00\u81f4\u3057\u3001\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u73fe\u5b9f\u306e\u78ba\u7387\u306e\u3082\u3068\u3067\u306e\u307f\u73fe\u308c\u307e\u3059\u3002<\/li>\n\n<\/ul>\n\n\n\n

    2. \u8a2d\u5b9a\u3068\u4eee\u5b9a \u2015 \u5171\u901a\u306e\u5909\u52d5\u3068\u56fa\u6709\u306e\u5909\u52d5\u306b\u5206\u3051\u308b<\/h2>\n\n\n\n

    \u4ee5\u4e0b\u306e\u4eee\u5b9a\u3092\u7f6e\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

      \n
    • \u8cc7\u7523 <\/span>i<\/span><\/span><\/span><\/span><\/eq>\uff08<\/span>i<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span>,<\/span><\/span>\u2026<\/span><\/span>,<\/span><\/span>n<\/span><\/span><\/span><\/span><\/eq>\uff09\u306e\u53ce\u76ca\u7387 <\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u3001\u5171\u901a\u6210\u5206 <\/span>M<\/span><\/span><\/span><\/span><\/eq> \u3068\u56fa\u6709\u6210\u5206 <\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u548c\u3068\u3057\u3066\u66f8\u3051\u308b:<\/li>\n<\/ul>\n\n\n\n
      <\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>M<\/span><\/span>+<\/span><\/span><\/span><\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>1.1<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n
        \n
      • \u56fa\u6709\u6210\u5206 <\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u4e92\u3044\u306b\u7121\u76f8\u95a2\u3067\u3001\u5171\u901a\u6210\u5206 <\/span>M<\/span><\/span><\/span><\/span><\/eq> \u3068\u3082\u7121\u76f8\u95a2\u3002<\/li>\n
      • \u3059\u3079\u3066\u306e\u56fa\u6709\u6210\u5206\u306e\u5206\u6563\u306f\u7b49\u3057\u3044: <\/span>Var<\/span><\/span>(<\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3002<\/li>\n
      • \u5171\u901a\u6210\u5206\u306e\u5206\u6563\u306f <\/span>Var<\/span><\/span>(<\/span>M<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3002<\/li>\n
      • \u4fdd\u6709\u6bd4\u7387\u306f\u7b49\u30a6\u30a7\u30a4\u30c8: <\/span>w<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>1\/<\/span>n<\/span><\/span><\/span><\/span><\/eq>\u3002<\/li>\n
      • \u6570\u5024\u306b\u5358\u4f4d\u306f\u4ed8\u3051\u306a\u3044\u3002<\/li>\n<\/ul>\n\n\n\n

        \u7b49\u30a6\u30a7\u30a4\u30c8\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u53ce\u76ca\u7387\u306f<\/p>\n\n\n\n

        <\/span>R<\/span><\/span>p<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>M<\/span><\/span>+<\/span><\/span><\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>1.2<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

        \u3067\u3059\u3002\u5171\u901a\u6210\u5206 <\/span>M<\/span><\/span><\/span><\/span><\/eq> \u306f\u3059\u3079\u3066\u306e\u8cc7\u7523\u306b\u540c\u3058\u3088\u3046\u306b\u5165\u3063\u3066\u3044\u308b\u306e\u3067\u3001\u5e73\u5747\u3092\u53d6\u3063\u3066\u3082\u6d88\u3048\u307e\u305b\u3093\u3002\u56fa\u6709\u6210\u5206\u3060\u3051\u304c <\/span>n<\/span><\/span><\/span><\/span><\/eq> \u3067\u5272\u3089\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

        \u3053\u306e\u5206\u89e3\u304c\u3001\u4ee5\u4e0b\u306e\u8b70\u8ad6\u306e\u5168\u3066\u306e\u571f\u53f0\u3067\u3059\u3002<\/p>\n\n\n\n

        3. \u4e3b\u5f35 \u2015 \u6d88\u305b\u308b\u30ea\u30b9\u30af\u306b\u5831\u916c\u306f\u4ed8\u304b\u306a\u3044<\/h2>\n\n\n\n
        \n

        \u5b9a\u7406 THM-RP-1\uff08\u5206\u6563\u53ef\u80fd\u306a\u30ea\u30b9\u30af\u3068\u5206\u6563\u4e0d\u80fd\u306a\u30ea\u30b9\u30af\uff09<\/strong>\n\u4e0a\u306e\u4eee\u5b9a\u306e\u3082\u3068\u3067\u3001\u7b49\u30a6\u30a7\u30a4\u30c8\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u5206\u6563\u306f<\/p>\n

        <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>p<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

        \u3067\u3042\u308b\u3002<\/span>n<\/span><\/span>\u2192<\/span><\/span><\/span><\/span>\u221e<\/span><\/span><\/span><\/span><\/eq> \u306e\u3068\u304d <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>p<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2192<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3002\u3059\u306a\u308f\u3061\u3001\u8cc7\u7523\u6570\u3092\u5897\u3084\u3059\u3068\u56fa\u6709\u6210\u5206\u306e\u5bc4\u4e0e\u306f <\/span>1\/<\/span>n<\/span><\/span><\/span><\/span><\/eq> \u306b\u6bd4\u4f8b\u3057\u3066\u5c0f\u3055\u304f\u306a\u308b\u304c\u3001\u5171\u901a\u6210\u5206\u306e\u5206\u6563 <\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u6b8b\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

        \n

        \u5b9a\u7406 THM-RP-2\uff08\u5831\u916c\u306e\u5bfe\u8c61\uff09<\/strong>\n\u5206\u6563\u306b\u3088\u3063\u3066\u6d88\u305b\u308b\u30ea\u30b9\u30af\uff08\u56fa\u6709\u6210\u5206\u306e\u5206\u6563 <\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\/<\/span>n<\/span><\/span><\/span><\/span><\/eq>\uff09\u306b\u306f\u5831\u916c\u304c\u4ed8\u304b\u306a\u3044\u3002\u5206\u6563\u3057\u3066\u3082\u6b8b\u308b\u5171\u901a\u6210\u5206 <\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u90e8\u5206\u3060\u3051\u304c\u3001\u671f\u5f85\u8d85\u904e\u53ce\u76ca\u306e\u6e90\u6cc9\u3067\u3042\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

        \n

        \u5b9a\u7406 THM-RP-3\uff08\u30ea\u30b9\u30af\u4e2d\u7acb\u3068\u306e\u5bfe\u6bd4\uff09<\/strong>\n\u4fa1\u683c\u4ed8\u3051\u306b\u4f7f\u3046\u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387 <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306f\u3001\u3059\u3079\u3066\u306e\u8cc7\u7523\u306e\u671f\u5f85\u53ce\u76ca\u7387\u304c\u7121\u30ea\u30b9\u30af\u91d1\u5229 <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u306b\u4e00\u81f4\u3059\u308b:<\/p>\n

        <\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span>.<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

        \u3057\u305f\u304c\u3063\u3066\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0 <\/span>E<\/span>[<\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306f\u5e38\u306b\u30bc\u30ed\u3067\u3042\u308a\u3001\u30bc\u30ed\u3067\u306a\u3044\u5024\uff08\u6b63\u306e\u5024\u3092\u542b\u3080\uff09\u3092\u53d6\u308a\u3046\u308b\u306e\u306f\u73fe\u5b9f\u306e\u78ba\u7387 <\/span>P<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3060\u3051\u3067\u3042\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

        \u8a3c\u660e\u3092\u8aad\u3080\uff08\u8aad\u307e\u306a\u304f\u3066\u3082\u8a18\u4e8b\u306f\u5b8c\u7d50\u3057\u307e\u3059\uff09<\/summary>\n

        4. \u8a3c\u660e \u2015 \u8cc7\u7523\u6570\u3092\u5897\u3084\u3057\u305f\u3068\u304d\u306e\u5206\u6563\u3092\u8a08\u7b97\u3059\u308b<\/h2>\n

        \u3053\u306e\u7bc0\u306f\u8aad\u307e\u306a\u304f\u3066\u3082\u8a18\u4e8b\u306f\u5b8c\u7d50\u3057\u307e\u3059\u3002<\/p>\n

        THM-RP-1 \u306e\u8a3c\u660e<\/h3>\n

        (1.2) \u306e\u5206\u6563\u3092\u8a08\u7b97\u3057\u307e\u3059\u3002<\/span>M<\/span><\/span><\/span><\/span><\/eq> \u3068\u5404 <\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304c\u7121\u76f8\u95a2\u3067\u3042\u308b\u3053\u3068\u3092\u4f7f\u3046\u305f\u3081\u306b\u3001\u5206\u6563\u3092\u5206\u89e3\u3057\u307e\u3059\u3002<\/p>\n

        <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>p<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>Var<\/span><\/span><\/span><\/span>(<\/span><\/span>M<\/span><\/span>+<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

        <\/span>M<\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u7121\u76f8\u95a2\u3067\u3059\u3002\u306a\u305c\u306a\u3089\u3001<\/span>M<\/span><\/span><\/span><\/span><\/eq> \u3068\u5404 <\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304c\u7121\u76f8\u95a2\u3068\u3044\u3046\u4eee\u5b9a\u304b\u3089\u3001<\/span>M<\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u4efb\u610f\u306e\u7dda\u5f62\u7d50\u5408\u3082\u7121\u76f8\u95a2\u306b\u306a\u308b\u304b\u3089\u3067\u3059\u3002\u3057\u305f\u304c\u3063\u3066\u5206\u6563\u306f\u548c\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n

        <\/span>=<\/span><\/span><\/span><\/span>Var<\/span><\/span>(<\/span>M<\/span>)<\/span><\/span>+<\/span><\/span><\/span><\/span>Var<\/span><\/span><\/span><\/span>(<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span>(<\/span>2.1<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

        \u7b2c1\u9805\u306f <\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u7b2c2\u9805\u3092\u8a08\u7b97\u3057\u307e\u3059\u3002<\/span>1\/<\/span>n<\/span><\/span><\/span><\/span><\/eq> \u3092\u5916\u306b\u51fa\u3059\u3068 <\/span>1\/<\/span>n<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304c\u639b\u304b\u308a\u307e\u3059\u3002<\/p>\n

        <\/span>Var<\/span><\/span><\/span><\/span>(<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>n<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>Var<\/span><\/span><\/span><\/span>(<\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

        <\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u540c\u58eb\u306f\u4e92\u3044\u306b\u7121\u76f8\u95a2\u306a\u306e\u3067\u3001\u548c\u306e\u5206\u6563\u306f\u5206\u6563\u306e\u548c\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n

        <\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>n<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>Var<\/span><\/span>(<\/span>E<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>n<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u22c5<\/span><\/span><\/span><\/span>n<\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>2.2<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn>(2.1)<\/span><\/section>\n
        <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>p<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span><\/span><\/span>n<\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>2.3<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

        \u304c\u5f97\u3089\u308c\u307e\u3059\u3002<\/span>n<\/span><\/span>\u2192<\/span><\/span><\/span><\/span>\u221e<\/span><\/span><\/span><\/span><\/eq> \u3067\u7b2c2\u9805\u306f <\/span>0<\/span><\/span><\/span><\/span><\/eq> \u306b\u53ce\u675f\u3057\u3001<\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>p<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2192<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002<\/p>\n

        \u5171\u901a\u6210\u5206\u306e\u5206\u6563 <\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>n<\/span><\/span><\/span><\/span><\/eq> \u306b\u4f9d\u5b58\u3057\u306a\u3044\u306e\u3067\u3001\u3044\u304f\u3089\u8cc7\u7523\u6570\u3092\u5897\u3084\u3057\u3066\u3082\u6d88\u3048\u307e\u305b\u3093\u3002\u4e00\u65b9\u3001\u56fa\u6709\u6210\u5206\u306e\u5bc4\u4e0e <\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\/<\/span>n<\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>n<\/span><\/span><\/span><\/span><\/eq> \u306b\u53cd\u6bd4\u4f8b\u3057\u3066\u5c0f\u3055\u304f\u306a\u308a\u307e\u3059\u3002 \u220e<\/p>\n

        THM-RP-2 \u306e\u8a3c\u660e\uff08\u8981\u70b9\uff09<\/h3>\n

        THM-RP-1 \u306b\u3088\u308a\u3001\u5341\u5206\u306a\u6570\u306e\u8cc7\u7523\u306b\u5206\u6563\u6295\u8cc7\u3059\u308c\u3070\u3001\u56fa\u6709\u6210\u5206\u306e\u5206\u6563\u306f\u3044\u304f\u3089\u3067\u3082\u5c0f\u3055\u304f\u3067\u304d\u307e\u3059\u3002\u3064\u307e\u308a\u56fa\u6709\u6210\u5206\u306f\u30b3\u30b9\u30c8\u3092\u639b\u3051\u305a\u306b\u53d6\u308a\u9664\u3051\u308b<\/strong>\u30ea\u30b9\u30af\u3067\u3059\u3002<\/p>\n

        \u53d6\u308a\u9664\u3051\u308b\u30ea\u30b9\u30af\u3092\u5f15\u304d\u53d7\u3051\u308b\u3053\u3068\u306b\u5e02\u5834\u304c\u5831\u916c\u3092\u51fa\u3059\u7406\u7531\u306f\u3042\u308a\u307e\u305b\u3093\u3002\u3082\u3057\u56fa\u6709\u6210\u5206\u306b\u6b63\u306e\u671f\u5f85\u8d85\u904e\u53ce\u76ca\u304c\u4ed8\u3044\u3066\u3044\u308c\u3070\u3001\u5341\u5206\u306b\u5206\u6563\u3057\u305f\u6295\u8cc7\u5bb6\u304c\u305d\u306e\u8d85\u904e\u53ce\u76ca\u3060\u3051\u3092\u5f97\u3089\u308c\u308b\u304b\u3089\u3067\u3059\u3002\u3053\u308c\u306f\u88c1\u5b9a\u306b\u8fd1\u3044\u72b6\u614b\u3067\u3042\u308a\u3001\u5747\u8861\u3067\u7dad\u6301\u3055\u308c\u307e\u305b\u3093\u3002<\/p>\n

        \u3057\u305f\u304c\u3063\u3066\u3001\u671f\u5f85\u8d85\u904e\u53ce\u76ca\u306e\u6e90\u6cc9\u306f\u3001\u5206\u6563\u3057\u3066\u3082\u6b8b\u308b\u5171\u901a\u6210\u5206\u306e\u5909\u52d5\u306b\u9650\u3089\u308c\u307e\u3059\u3002 \u220e<\/p>\n

        THM-RP-3 \u306e\u8a3c\u660e<\/h3>\n

        \u7b2c29\u56de\u3067\u5c0e\u5165\u3057\u305f1\u671f\u95932\u72b6\u614b\u30e2\u30c7\u30eb\u3092\u4f7f\u3044\u307e\u3059\u3002<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>S<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>\u03c9<\/span><\/span>u<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>u<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>S<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>\u03c9<\/span><\/span>d<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>d<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>d<\/span><\/span><<\/span><\/span><\/span><\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span><<\/span><\/span><\/span><\/span>u<\/span><\/span><\/span><\/span><\/eq> \u3068\u3057\u307e\u3059\u3002<\/p>\n

        \u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\u306f <\/span>q<\/span><\/span>=<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>d<\/span>)<\/span>\/<\/span>(<\/span>u<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>d<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3067\u5b9a\u7fa9\u3055\u308c\u307e\u3059\u3002\u3053\u306e <\/span>q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306e\u671f\u5f85\u53ce\u76ca\u7387\u3092\u8a08\u7b97\u3057\u307e\u3059\u3002<\/p>\n

        <\/span><\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>S<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>q<\/span><\/span>\u22c5<\/span><\/span>u<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span>q<\/span>)<\/span><\/span>\u22c5<\/span><\/span>d<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span><\/span>q<\/span>u<\/span><\/span>+<\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span>q<\/span>)<\/span>d<\/span>)<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

        <\/span>q<\/span><\/span><\/span><\/span><\/eq> \u306e\u5b9a\u7fa9\u3092\u4ee3\u5165\u3057\u3066\u5c55\u958b\u3057\u307e\u3059\u3002<\/span>q<\/span>u<\/span><\/span>=<\/span><\/span><\/span><\/span>u<\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>d<\/span>)<\/span>\/<\/span>(<\/span>u<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>d<\/span>)<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>q<\/span>)<\/span>d<\/span><\/span>=<\/span><\/span><\/span><\/span>d<\/span>(<\/span>u<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>r<\/span>)<\/span>\/<\/span>(<\/span>u<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>d<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306a\u306e\u3067<\/p>\n

        \u5206\u5b50\u3092\u5c55\u958b\u3057\u307e\u3059\u3002<\/p>\n

        <\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>u<\/span>(<\/span>1<\/span><\/span>+<\/span><\/span>r<\/span><\/span>\u2212<\/span><\/span>d<\/span>)<\/span><\/span>+<\/span><\/span>d<\/span>(<\/span>u<\/span><\/span>\u2212<\/span><\/span>1<\/span><\/span>\u2212<\/span><\/span>r<\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>u<\/span><\/span>+<\/span><\/span>u<\/span>r<\/span><\/span>\u2212<\/span><\/span>u<\/span>d<\/span><\/span>+<\/span><\/span>d<\/span>u<\/span><\/span>\u2212<\/span><\/span>d<\/span><\/span>\u2212<\/span><\/span>d<\/span>r<\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>(<\/span>u<\/span><\/span>\u2212<\/span><\/span>d<\/span>)<\/span><\/span>+<\/span><\/span>r<\/span>(<\/span>u<\/span><\/span>\u2212<\/span><\/span>d<\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

        \u3088\u3063\u3066<\/p>\n

        <\/span>q<\/span>u<\/span><\/span>+<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>q<\/span>)<\/span>d<\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>u<\/span><\/span>\u2212<\/span><\/span>d<\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>u<\/span><\/span>\u2212<\/span><\/span>d<\/span>)<\/span>(<\/span>1<\/span><\/span>+<\/span><\/span>r<\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span>(<\/span>2.4<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

        \u3088\u3063\u3066 <\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>S<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span>)<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308a\u3001\u53ce\u76ca\u7387\u3092 <\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>S<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\/<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq> \u3068\u66f8\u304f\u3068 <\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span><\/span><\/eq>\u3001\u3064\u307e\u308a <\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\u306e\u3082\u3068\u3067\u306e\u671f\u5f85\u53ce\u76ca\u7387\u306f\u7121\u30ea\u30b9\u30af\u91d1\u5229 <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u306b\u7b49\u3057\u304f\u306a\u308a\u307e\u3059\u3002<\/p>\n

        \u4e00\u65b9\u3001\u73fe\u5b9f\u306e\u78ba\u7387 <\/span>P<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306f<\/p>\n

        <\/span>E<\/span>[<\/span>S<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>p<\/span>u<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>p<\/span>)<\/span>d<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span><\/span>p<\/span>u<\/span><\/span>+<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>p<\/span>)<\/span>d<\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

        \u3067\u3042\u308a\u3001<\/span>p<\/span><\/span><\/span>\ue020<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span>q<\/span><\/span><\/span><\/span><\/eq> \u3067\u3042\u308c\u3070 <\/span>p<\/span>u<\/span><\/span>+<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>p<\/span>)<\/span>d<\/span><\/span><\/span>\ue020<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u3053\u306e\u5dee <\/span>E<\/span>[<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>E<\/span>[<\/span>R<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span><\/span><\/eq> \u304c\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u3067\u3042\u308a\u3001\u30bc\u30ed\u3067\u306a\u3044\u5024\u3092\u53d6\u308a\u3046\u308b\u306e\u306f\u73fe\u5b9f\u306e\u78ba\u7387 <\/span>P<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3060\u3051\u3067\u3059\u3002<\/span>p<\/span><\/span>><\/span><\/span><\/span><\/span>q<\/span><\/span><\/span><\/span><\/eq> \u306a\u3089\u6b63\u3001<\/span>p<\/span><\/span><<\/span><\/span><\/span><\/span>q<\/span><\/span><\/span><\/span><\/eq> \u306a\u3089\u8ca0\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n

        \u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\u306e\u3082\u3068\u3067\u306f\u5168\u3066\u306e\u8cc7\u7523\u306e\u671f\u5f85\u53ce\u76ca\u7387\u304c <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u306b\u4e00\u81f4\u3059\u308b\u306e\u3067\u3001\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306f\u5b9a\u7fa9\u4e0a\u30bc\u30ed\u3067\u3059\u3002 \u220e<\/p>\n<\/details>\n\n\n\n

        5. \u53cd\u4f8b \u2015 \u5909\u52d5\u304c\u5927\u304d\u304f\u3066\u3082\u5831\u308f\u308c\u306a\u3044\u3053\u3068\u304c\u3042\u308b<\/h2>\n\n\n\n

        CEX-RP-1: \u5206\u6563\u6295\u8cc7\u3059\u308c\u3070\u30ea\u30b9\u30af\u306f\u30bc\u30ed\u306b\u306a\u308b\u3001\u3068\u3044\u3046\u7406\u89e3\u3092\u58ca\u3059<\/h3>\n\n\n\n

        <\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.04<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.09<\/span><\/span><\/span><\/span><\/eq> \u3068\u3057\u3066\u3001\u8cc7\u7523\u6570\u3092\u5897\u3084\u3057\u305f\u3068\u304d\u306e\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u5206\u6563\u3092\u8a08\u7b97\u3057\u307e\u3059\u3002<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
        \u8cc7\u7523\u6570 <\/span>n<\/span><\/span><\/span><\/span><\/eq><\/th>\n<\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>p<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq><\/th>\n\u5c0f\u6570<\/th>\n<\/tr>\n<\/thead>\n
        1<\/td>\n<\/span>13\/100<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.13<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
        10<\/td>\n<\/span>49\/1000<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.049<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
        100<\/td>\n<\/span>409\/10000<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.0409<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
        1000<\/td>\n<\/span>4009\/100000<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.04009<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
        <\/span>\u221e<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>1\/25<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.04<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

        <\/span>n<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq> \u3067\u306f <\/span>0.13<\/span><\/span><\/span><\/span><\/eq> \u3060\u3063\u305f\u5206\u6563\u304c\u3001<\/span>n<\/span><\/span>=<\/span><\/span><\/span><\/span>1000<\/span><\/span><\/span><\/span><\/eq> \u3067\u306f <\/span>0.04009<\/span><\/span><\/span><\/span><\/eq> \u307e\u3067\u4e0b\u304c\u308a\u307e\u3059\u3002\u3057\u304b\u3057 <\/span>0.04<\/span><\/span><\/span><\/span><\/eq>\uff08\u5171\u901a\u6210\u5206\u306e\u5206\u6563\uff09\u3092\u4e0b\u56de\u308b\u3053\u3068\u306f\u6c7a\u3057\u3066\u3042\u308a\u307e\u305b\u3093\u3002\u300c\u5206\u6563\u3059\u308c\u3070\u30ea\u30b9\u30af\u304c\u30bc\u30ed\u306b\u306a\u308b\u300d\u306f\u8aa4\u308a\u3067\u3001\u5171\u901a\u6210\u5206\u306e\u5206\u3060\u3051\u5fc5\u305a\u4e0b\u3052\u6b62\u307e\u308a<\/strong>\u307e\u3059\u3002<\/p>\n\n\n\n

        CEX-RP-2: \u5909\u52d5\u304c\u5927\u304d\u3044\u8cc7\u7523\u307b\u3069\u671f\u5f85\u53ce\u76ca\u304c\u9ad8\u3044\u3001\u3068\u3044\u3046\u7406\u89e3\u3092\u58ca\u3059<\/h3>\n\n\n\n

        \u901a\u5e38\u306e\u8cc7\u7523\uff08<\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.09<\/span><\/span><\/span><\/span><\/eq>\uff09\u304c10\u500b\u3042\u308b\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306b\u3001\u56fa\u6709\u5909\u52d5\u3060\u3051\u304c\u5927\u304d\u3044\u8cc7\u7523\uff08<\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.81<\/span><\/span><\/span><\/span><\/eq>\u3001\u5171\u901a\u6210\u5206\u306f\u540c\u3058 <\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.04<\/span><\/span><\/span><\/span><\/eq>\uff09\u30921\u3064\u52a0\u3048\u307e\u3059\u3002<\/p>\n\n\n\n

          \n
        • 10\u8cc7\u7523\uff08\u901a\u5e38\u306e\u307f\uff09\u306e\u5206\u6563: <\/span>49\/1000<\/span><\/span>=<\/span><\/span><\/span><\/span>0.049<\/span><\/span><\/span><\/span><\/eq><\/li>\n
        • 11\u8cc7\u7523\uff08\u8352\u3044\u8cc7\u7523\u3092\u542b\u3080\uff09\u306e\u5206\u6563: <\/span>131\/2420<\/span><\/span>\u2248<\/span><\/span><\/span><\/span>0.0541<\/span><\/span><\/span><\/span><\/eq><\/li>\n<\/ul>\n\n\n\n

          \u8352\u3044\u8cc7\u7523\u3092\u52a0\u3048\u308b\u3068\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u5206\u6563\u306f <\/span>0.049<\/span><\/span><\/span><\/span><\/eq> \u304b\u3089 <\/span>0.0541<\/span><\/span><\/span><\/span><\/eq> \u306b\u5897\u3048\u307e\u3059\u3002\u3057\u304b\u3057\u3053\u306e\u5897\u52a0\u5206\u306f\u56fa\u6709\u6210\u5206\u306e\u5bc4\u4e0e<\/strong>\u3067\u3042\u308a\u3001\u5171\u901a\u6210\u5206\u306f <\/span>0.04<\/span><\/span><\/span><\/span><\/eq> \u306e\u307e\u307e\u5909\u308f\u308a\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

          11\u8cc7\u7523\u306e\u56fa\u6709\u6210\u5206\u306e\u5bc4\u4e0e\u306f <\/span>171\/12100<\/span><\/span>\u2248<\/span><\/span><\/span><\/span>0.0141<\/span><\/span><\/span><\/span><\/eq> \u3067\u300110\u8cc7\u7523\u306e\u3068\u304d\u306e <\/span>9\/1000<\/span><\/span>=<\/span><\/span><\/span><\/span>0.009<\/span><\/span><\/span><\/span><\/eq> \u3088\u308a\u5927\u304d\u304f\u306a\u3063\u3066\u3044\u307e\u3059\u3002\u3057\u304b\u3057\u3001\u8cc7\u7523\u6570\u3092\u3055\u3089\u306b\u5897\u3084\u305b\u3070\u3053\u306e\u90e8\u5206\u306f\u6d88\u3048\u307e\u3059\u3002\u8352\u3044\u8cc7\u7523\u306e\u56fa\u6709\u5909\u52d5\u304c\u3044\u304f\u3089\u5927\u304d\u304f\u3066\u3082\u3001\u5206\u6563\u3067\u6d88\u3048\u308b\u4ee5\u4e0a\u3001\u305d\u308c\u306b\u5bfe\u3059\u308b\u5831\u916c\u306f\u4ed8\u304d\u307e\u305b\u3093\u3002\u300c\u5909\u52d5\u304c\u5927\u304d\u3044 = \u671f\u5f85\u53ce\u76ca\u304c\u9ad8\u3044\u300d\u306f\u6210\u308a\u7acb\u3061\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

          CEX-RP-3: \u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u304c\u4fa1\u683c\u5f0f\u306b\u73fe\u308c\u308b\u3001\u3068\u3044\u3046\u4e88\u60f3\u3092\u58ca\u3059<\/h3>\n\n\n\n

          1\u671f\u95932\u72b6\u614b\u30e2\u30c7\u30eb\uff08<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>u<\/span><\/span>=<\/span><\/span><\/span><\/span>1.2<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>d<\/span><\/span>=<\/span><\/span><\/span><\/span>0.9<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>0.05<\/span><\/span><\/span><\/span><\/eq>\uff09\u3067\u78ba\u304b\u3081\u307e\u3059\u3002\u4e3b\u89b3\u78ba\u7387\u3092 <\/span>p<\/span><\/span>=<\/span><\/span><\/span><\/span>0.7<\/span><\/span><\/span><\/span><\/eq> \u3068\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

          \u73fe\u5b9f\u306e\u78ba\u7387 <\/span>P<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306e\u671f\u5f85\u53ce\u76ca\u7387<\/strong>:<\/p>\n\n\n\n

          <\/span>E<\/span>[<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>R<\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>0.7<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>1.2<\/span><\/span>+<\/span><\/span><\/span><\/span>0.3<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>0.9<\/span><\/span>=<\/span><\/span><\/span><\/span>1.11<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

          \u53ce\u76ca\u7387\u306f <\/span>0.11<\/span><\/span><\/span><\/span><\/eq>\uff0811%\uff09\u3002\u7121\u30ea\u30b9\u30af\u91d1\u5229 <\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>0.05<\/span><\/span><\/span><\/span><\/eq> \u3068\u306e\u5dee\u304c\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0 <\/span>0.06<\/span><\/span><\/span><\/span><\/eq>\uff086%\uff09\u3067\u3059\u3002<\/p>\n\n\n\n

          \u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387 <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306e\u671f\u5f85\u53ce\u76ca\u7387<\/strong>:<\/p>\n\n\n\n

          <\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>1<\/span><\/span>+<\/span><\/span><\/span><\/span>R<\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>0.5<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>1.2<\/span><\/span>+<\/span><\/span><\/span><\/span>0.5<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>0.9<\/span><\/span>=<\/span><\/span><\/span><\/span>1.05<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

          \u53ce\u76ca\u7387\u306f\u3061\u3087\u3046\u3069 <\/span>0.05<\/span><\/span><\/span><\/span><\/eq>\uff085%\uff09\u3067\u3001\u7121\u30ea\u30b9\u30af\u91d1\u5229\u306b\u4e00\u81f4\u3057\u307e\u3059\u3002\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u30bc\u30ed\u3067\u3059\u3002<\/p>\n\n\n\n

          \u4fa1\u683c\u4ed8\u3051\u3067\u306f\u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387 <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u3092\u4f7f\u3044\u307e\u3059\u3002<\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306f\u5168\u3066\u306e\u8cc7\u7523\u306e\u671f\u5f85\u53ce\u76ca\u7387\u304c\u7121\u30ea\u30b9\u30af\u91d1\u5229\u306b\u306a\u308b\u306e\u3067\u3001\u4fa1\u683c\u306e\u8a08\u7b97\u5f0f\u306b\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u73fe\u308c\u307e\u305b\u3093\u3002\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u3042\u304f\u307e\u3067\u3001\u73fe\u5b9f\u306e\u78ba\u7387 <\/span>P<\/span><\/span><\/span><\/span><\/eq> \u3067\u671f\u5f85\u5024\u3092\u53d6\u3063\u305f\u3068\u304d\u306b\u898b\u3048\u308b\u91cf\u3067\u3059\u3002<\/p>\n\n\n\n

          \u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\u306e\u6b63\u78ba\u306a\u5b9a\u7fa9\u306f\u7b2c45\u56de\u3067\u6271\u3044\u307e\u3059\u304c\u3001\u300c\u4fa1\u683c\u306e\u6574\u5408\u6027\u304b\u3089\u9006\u7b97\u3055\u308c\u305f\u91cd\u307f\u300d\u3068\u7406\u89e3\u3057\u3066\u304a\u3051\u3070\u4eca\u306f\u5341\u5206\u3067\u3059\u3002<\/p>\n\n\n\n

          6. \u6570\u5024\u4f8b \u2015 \u8cc7\u7523\u6570\u30921000\u307e\u3067\u5897\u3084\u3057\u3066\u307f\u308b<\/h2>\n\n\n\n

          <\/span>\u03c3<\/span><\/span>m<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.04<\/span><\/span><\/span><\/span><\/eq>\u3001<\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.09<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u3001(2.3) \u306e\u516c\u5f0f\u3092\u4f7f\u3063\u305f\u7d50\u679c\u3092\u4e26\u3079\u307e\u3059\u3002<\/p>\n\n\n\n\n\n\n\n\n\n\n\n
          \u8cc7\u7523\u6570 <\/span>n<\/span><\/span><\/span><\/span><\/eq><\/th>\n\u56fa\u6709\u6210\u5206\u306e\u5bc4\u4e0e <\/span>\u03c3<\/span><\/span>e<\/span><\/span><\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\/<\/span>n<\/span><\/span><\/span><\/span><\/eq><\/th>\n\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u5206\u6563<\/th>\n<\/tr>\n<\/thead>\n
          1<\/td>\n<\/span>0.09<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.13<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          10<\/td>\n<\/span>0.009<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.049<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          100<\/td>\n<\/span>0.0009<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.0409<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          1000<\/td>\n<\/span>0.00009<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.04009<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

          <\/span>n<\/span><\/span>=<\/span><\/span><\/span><\/span>1000<\/span><\/span><\/span><\/span><\/eq> \u3067\u306f\u56fa\u6709\u6210\u5206\u306e\u5bc4\u4e0e\u306f <\/span>0.00009<\/span><\/span><\/span><\/span><\/eq> \u3067\u3001\u5168\u4f53\u306e <\/span>0.2%<\/span><\/span><\/span><\/span><\/eq> \u7a0b\u5ea6\u3067\u3059\u3002\u4e8b\u5b9f\u4e0a\u3001\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa\u306e\u5909\u52d5\u306f\u5171\u901a\u6210\u5206 <\/span>0.04<\/span><\/span><\/span><\/span><\/eq> \u3060\u3051\u3067\u6c7a\u307e\u3063\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

          1\u671f\u95932\u72b6\u614b\u30e2\u30c7\u30eb\u306e\u6570\u5024\u3082\u307e\u3068\u3081\u307e\u3059\u3002<\/p>\n\n\n\n\n\n\n\n\n\n
          \u78ba\u7387<\/th>\n\u671f\u5f85\u53ce\u76ca\u7387<\/th>\n\u8d85\u904e\u53ce\u76ca\u7387<\/th>\n<\/tr>\n<\/thead>\n
          \u73fe\u5b9f <\/span>P<\/span><\/span><\/span><\/span><\/eq>\uff08<\/span>p<\/span><\/span>=<\/span><\/span><\/span><\/span>0.7<\/span><\/span><\/span><\/span><\/eq>\uff09<\/td>\n<\/span>0.11<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0.06<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
          \u30ea\u30b9\u30af\u4e2d\u7acb <\/span>Q<\/span><\/span><\/span><\/span><\/eq>\uff08<\/span>q<\/span><\/span>=<\/span><\/span><\/span><\/span>0.5<\/span><\/span><\/span><\/span><\/eq>\uff09<\/td>\n<\/span>0.05<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>0<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

          \u73fe\u5b9f\u306e\u78ba\u7387\u3067\u306f <\/span>6%<\/span><\/span><\/span><\/span><\/eq> \u306e\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u304c\u898b\u3048\u307e\u3059\u304c\u3001\u4fa1\u683c\u8a08\u7b97\u306b\u4f7f\u3046\u30ea\u30b9\u30af\u4e2d\u7acb\u78ba\u7387\u3067\u306f\u6d88\u3048\u307e\u3059\u3002<\/p>\n\n\n\n

          \u6570\u5024\u306e\u8981\u70b9\u306f\u4e8c\u3064\u3067\u3059\u3002\u7b2c\u4e00\u306b\u3001\u5206\u6563\u3067\u6d88\u305b\u308b\u56fa\u6709\u6210\u5206\u306b\u306f\u5831\u916c\u304c\u4ed8\u304b\u306a\u3044\u306e\u3067\u3001\u500b\u5225\u8cc7\u7523\u306e\u5909\u52d5\u306e\u5927\u304d\u3055\u3060\u3051\u3092\u898b\u3066\u671f\u5f85\u53ce\u76ca\u3092\u5224\u65ad\u3057\u3066\u306f\u3044\u3051\u307e\u305b\u3093\u3002\u7b2c\u4e8c\u306b\u3001\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u73fe\u5b9f\u306e\u78ba\u7387\u306e\u3082\u3068\u3067\u5b9a\u7fa9\u3055\u308c\u308b\u91cf\u3067\u3042\u308a\u3001\u4fa1\u683c\u4ed8\u3051\u306e\u67a0\u7d44\u307f\u306b\u306f\u76f4\u63a5\u73fe\u308c\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

          7. \u6b21\u56de\u3078 \u2015 \u306a\u305c\u4eba\u306f\u30ea\u30b9\u30af\u306b\u5bfe\u4fa1\u3092\u6c42\u3081\u308b\u306e\u304b<\/h2>\n\n\n\n

          \u4eca\u56de\u306f\u300c\u4f55\u306b\u5831\u916c\u304c\u4ed8\u304f\u304b\u300d\u3092\u793a\u3057\u307e\u3057\u305f\u3002\u3057\u304b\u3057\u3001\u306a\u305c<\/strong>\u4eba\u306f\u30ea\u30b9\u30af\u306b\u5bfe\u3057\u3066\u8ffd\u52a0\u306e\u898b\u8fd4\u308a\u3092\u8981\u6c42\u3059\u308b\u306e\u304b\u3001\u3068\u3044\u3046\u554f\u3044\u306b\u306f\u7b54\u3048\u3066\u3044\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

          \u6b21\u56de\uff08\u7b2c34\u56de\uff09\u3067\u306f\u3001\u52b9\u7528\u95a2\u6570\u3068\u30ea\u30b9\u30af\u56de\u907f\u5ea6\u3092\u5c0e\u5165\u3057\u3001\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u304c\u751f\u307e\u308c\u308b\u6839\u672c\u7684\u306a\u7406\u7531\u306b\u8e0f\u307f\u8fbc\u307f\u307e\u3059\u3002<\/p>\n\n\n\n

          \u6b21\u306e\u30de\u30a4\u30eb\u30b9\u30c8\u30fc\u30f3\u307e\u3067\u3042\u3068 9 \u672c\u3067\u3059\u3002<\/p>\n\n\n\n

          \u3088\u304f\u3042\u308b\u8cea\u554f<\/h2>\n\n\n\n

          \u30ea\u30b9\u30af\u3092\u53d6\u308c\u3070\u5fc5\u305a\u5831\u308f\u308c\u307e\u3059\u304b<\/strong><\/p>\n\n\n\n

          \u5206\u6563\u3057\u3066\u6d88\u305b\u308b\u30ea\u30b9\u30af\u306b\u306f\u5831\u916c\u304c\u4ed8\u304d\u307e\u305b\u3093\u3002\u6d88\u305b\u306a\u3044\u90e8\u5206\u3092\u5f15\u304d\u53d7\u3051\u305f\u3068\u304d\u3060\u3051\u3067\u3059\u3002<\/p>\n\n\n\n

          \u500b\u5225\u682a\u306e\u5024\u52d5\u304d\u304c\u6fc0\u3057\u3051\u308c\u3070\u671f\u5f85\u53ce\u76ca\u3082\u9ad8\u3044\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

          \u5fc5\u305a\u3057\u3082\u305d\u3046\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002\u305d\u306e\u6fc0\u3057\u3055\u304c\u5e02\u5834\u5168\u4f53\u3068\u9023\u52d5\u3057\u3066\u3044\u306a\u3044\u9650\u308a\u3001\u5831\u916c\u306b\u306f\u306a\u308a\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

          \u4fa1\u683c\u306e\u8a08\u7b97\u306b\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u51fa\u3066\u304d\u307e\u3059\u304b<\/strong><\/p>\n\n\n\n

          \u51fa\u3066\u304d\u307e\u305b\u3093\u3002\u4fa1\u683c\u4ed8\u3051\u3067\u306f\u5225\u306e\u78ba\u7387\u3092\u4f7f\u3044\u3001\u305d\u3053\u3067\u306f\u5168\u8cc7\u7523\u306e\u671f\u5f85\u53ce\u76ca\u304c\u7121\u30ea\u30b9\u30af\u91d1\u5229\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

          \u53c2\u8003\u6587\u732e<\/h2>\n\n\n\n
            \n\n
          1. Luenberger D. G.\u3001Investment Science\u3001\u7b2c2\u7248\u3001Oxford University Press\u30012013\u5e74<\/li>\n\n\n
          2. Cochrane J. H.\u3001Asset Pricing\u3001\u6539\u8a02\u7248\u3001Princeton University Press\u30012005\u5e74<\/li>\n\n<\/ol>\n\n\n\n
            \n\n\n\n

            \u6570\u5024\u4f8b\u306f compute.py<\/code> \u306b\u3088\u308a\u6709\u7406\u6570\u6f14\u7b97\u3067\u691c\u7b97\u6e08\u307f\u3002\u672c\u6587\u4e2d\u306e\u5c0f\u6570\u306f4\u6841\u3067\u4e38\u3081\u3066\u3044\u308b\u3002<\/em><\/p>\n\n","protected":false},"excerpt":{"rendered":"

            \u4f4d\u7f6e: \u7b2c4\u90e8 \u7b2c33\u56de \/ \u524d\u63d0: \u7b2c29\u56de\u3001\u7b2c31\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u5206\u6563\u6295\u8cc7\u3067\u6d88\u3048\u308b\u30ea\u30b9\u30af\u3068\u6d88\u3048\u306a\u3044\u30ea\u30b9\u30af\u3092\u5206\u3051\u3001\u3069\u3061\u3089\u306b\u5831\u916c\u304c\u4ed8\u304f\u306e\u304b\u3092\u8aac\u660e\u3067\u304d\u308b 0. \u7269\u8a9e \u2015 \u5909\u52d5\u304c\u5927 […]<\/p>\n","protected":false},"author":1,"featured_media":209129,"comment_status":"closed","ping_status":"","sticky":false,"template":"","format":"standard","meta":{"swell_btn_cv_data":"","footnotes":""},"categories":[159],"tags":[163],"class_list":["post-208442","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-financial-engineering","tag-fe-part3-portfolio"],"aioseo_notices":[],"aioseo_head":"\n\t\t\n\t\n\t\n\t\n\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t