{"id":208451,"date":"2026-09-30T18:30:00","date_gmt":"2026-09-30T09:30:00","guid":{"rendered":"https:\/\/ichizenholdings.co.jp\/media\/?p=208451"},"modified":"2026-09-25T19:36:45","modified_gmt":"2026-09-25T10:36:45","slug":"volatility-scaling","status":"publish","type":"post","link":"https:\/\/ichizenholdings.co.jp\/media\/trading\/financial-engineering\/volatility-scaling\/","title":{"rendered":"\u7b2c32\u56de \u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306e\u5e74\u7387\u63db\u7b97 \u2015 \u306a\u305c\u6642\u9593\u306e\u5e73\u65b9\u6839\u3092\u639b\u3051\u308b\u306e\u304b"},"content":{"rendered":"\n
\n

\u4f4d\u7f6e: \u7b2c4\u90e8 \u7b2c32\u56de \/ \u524d\u63d0: \u7b2c25\u56de\u3001\u7b2c31\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u65e5\u6b21\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u3092\u5e74\u7387\u306b\u63db\u7b97\u3057\u3001\u305d\u306e\u63db\u7b97\u304c\u6210\u308a\u7acb\u305f\u306a\u3044\u5834\u9762\u3092\u898b\u5206\u3051\u308b\u3053\u3068\u304c\u3067\u304d\u308b<\/p>\n<\/blockquote>\n\n\n\n

0. \u7269\u8a9e \u2015 \u81ea\u5df1\u76f8\u95a2\u304c\u3042\u308b\u3068\u5e73\u65b9\u6839\u5247\u304c\u5916\u308c\u308b<\/h2>\n\n\n\n

\u624b\u5143\u306b100\u4e07\u5186\u3092\u682a\u306b\u6295\u3058\u3066\u3044\u3066\u3001\u904b\u7528\u5831\u544a\u66f8\u306b\u300c\u65e5\u6b21\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306f1.26\u30d1\u30fc\u30bb\u30f3\u30c8\u300d\u3068\u8a18\u3055\u308c\u3066\u3044\u308b\u3068\u3057\u307e\u3059\u3002\u5e74\u7387\u306b\u76f4\u3059\u3068\u3069\u3046\u306a\u308b\u304b\u3002\u6559\u79d1\u66f8\u306b\u5f93\u3063\u3066\u55b6\u696d\u65e5\u6570\u306e\u5e73\u65b9\u6839\u3092\u639b\u3051\u308b\u3068\u3001\u5e74\u738720\u30d1\u30fc\u30bb\u30f3\u30c8\u3068\u3044\u3046\u7b54\u3048\u304c\u51fa\u307e\u3059\u3002\u300c1\u5e74\u9593\u3067\u4e0a\u4e0b20\u4e07\u5186\u304f\u3089\u3044\u306e\u63fa\u308c\u304b\u300d\u3068\u3001\u3042\u306a\u305f\u306f\u5fc3\u306e\u6e96\u5099\u3092\u6c7a\u3081\u307e\u3057\u305f\u3002<\/p>\n\n\n\n

\u3068\u3053\u308d\u304c\u5e74\u672b\u306b\u53e3\u5ea7\u3092\u898b\u308b\u3068\u3001\u60f3\u5b9a\u3088\u308a\u3082\u306f\u308b\u304b\u306b\u5927\u304d\u304f\u52d5\u3044\u3066\u3044\u307e\u3059\u3002\u5b9f\u969b\u306b\u6e2c\u3063\u305f\u5e74\u7387\u306e\u63fa\u308c\u306f\u7d0424\u30d1\u30fc\u30bb\u30f3\u30c8\u3001\u91d1\u984d\u306b\u3059\u308c\u307024\u4e07\u5186\u898f\u6a21\u3067\u3057\u305f\u30024\u4e07\u5186\u5206\u3001\u898b\u7a4d\u3082\u308a\u304c\u7518\u304b\u3063\u305f\u3053\u3068\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

\u539f\u56e0\u306f\u3001\u65e5\u3005\u306e\u5024\u52d5\u304d\u306b\u7656\u304c\u3042\u3063\u305f\u3053\u3068\u3067\u3059\u3002\u4e0a\u304c\u3063\u305f\u7fcc\u65e5\u306f\u307e\u305f\u4e0a\u304c\u308a\u3084\u3059\u304f\u3001\u4e0b\u304c\u3063\u305f\u7fcc\u65e5\u306f\u307e\u305f\u4e0b\u304c\u308a\u3084\u3059\u3044\u3002\u3044\u308f\u3086\u308b\u30c8\u30ec\u30f3\u30c9\u306e\u50be\u5411\u304c\u308f\u305a\u304b\u306b\u542b\u307e\u308c\u3066\u3044\u307e\u3057\u305f\u3002\u6559\u79d1\u66f8\u306e\u63db\u7b97\u5f0f\u306f\u300c\u304d\u306e\u3046\u306e\u5024\u52d5\u304d\u3068\u304d\u3087\u3046\u306e\u5024\u52d5\u304d\u306f\u7121\u95a2\u4fc2\u300d\u3068\u3044\u3046\u524d\u63d0\u3067\u5c0e\u304b\u308c\u3066\u3044\u307e\u3059\u3002\u524d\u63d0\u304c\u6210\u308a\u7acb\u305f\u306a\u3051\u308c\u3070\u3001\u7b54\u3048\u3082\u305a\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

\u305a\u308c\u306e\u65b9\u5411\u306b\u306f\u6cd5\u5247\u304c\u3042\u308a\u307e\u3059\u3002\u4e0a\u304c\u3063\u305f\u3089\u7fcc\u65e5\u3082\u4e0a\u304c\u308a\u3084\u3059\u3044\u3068\u3044\u3046\u7656\u304c\u3042\u308b\u3068\u304d\u3001\u63fa\u308c\u306f\u63db\u7b97\u5024\u3088\u308a\u5927\u304d\u304f\u306a\u308a\u307e\u3059\u3002\u9006\u306b\u3001\u4e0a\u304c\u3063\u305f\u7fcc\u65e5\u306f\u4e0b\u304c\u308a\u3084\u3059\u3044\u3068\u3044\u3046\u7656\u304c\u3042\u308c\u3070\u3001\u63fa\u308c\u306f\u63db\u7b97\u5024\u3088\u308a\u5c0f\u3055\u304f\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u56de\u3067\u793a\u3059\u306e\u306f\u3001\u300c\u65e5\u6b21\u306e\u63fa\u308c\u306b\u6642\u9593\u306e\u5e73\u65b9\u6839\u3092\u639b\u3051\u3066\u5e74\u7387\u306b\u76f4\u3059\u300d\u3068\u3044\u3046\u63db\u7b97\u304c\u3001\u3044\u3064\u6b63\u3057\u304f\u3001\u3044\u3064\u5d29\u308c\u308b\u304b\u3067\u3059\u3002<\/p>\n\n\n\n

1. \u52d5\u6a5f \u2015 \u5e74\u738720\u30d1\u30fc\u30bb\u30f3\u30c8\u3068\u306f\u4f55\u3092\u610f\u5473\u3059\u308b\u306e\u304b<\/h2>\n\n\n\n

\u3053\u306e\u56de\u3092\u8aad\u307f\u7d42\u3048\u308b\u3068\u3001\u65e5\u6b21\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u3092\u5e74\u7387\u306b\u63db\u7b97\u3057\u3001\u305d\u306e\u63db\u7b97\u304c\u6210\u308a\u7acb\u305f\u306a\u3044\u5834\u9762\u3092\u898b\u5206\u3051\u308b\u3053\u3068\u304c\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

\u300c\u3053\u306e\u9298\u67c4\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306f\u5e74\u738720\u30d1\u30fc\u30bb\u30f3\u30c8\u3067\u3059\u300d\u3002\u30cb\u30e5\u30fc\u30b9\u3084\u8a3c\u5238\u4f1a\u793e\u306e\u30ec\u30dd\u30fc\u30c8\u3067\u3088\u304f\u76ee\u306b\u3059\u308b\u8868\u73fe\u3067\u3059\u304c\u3001\u3053\u308c\u306f\u300c1\u5e74\u5f8c\u306b\u4e0a\u4e0b20\u30d1\u30fc\u30bb\u30f3\u30c8\u306e\u7bc4\u56f2\u306b\u53ce\u307e\u308b\u300d\u3068\u3044\u3046\u610f\u5473\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002\u3067\u306f\u4f55\u3092\u8868\u3057\u3066\u3044\u308b\u306e\u3067\u3057\u3087\u3046\u304b\u3002<\/p>\n\n\n\n

\u65e5\u3005\u306e\u682a\u4fa1\u30c7\u30fc\u30bf\u304b\u3089\u8a08\u7b97\u3055\u308c\u308b\u65e5\u6b21\u306e\u30ea\u30bf\u30fc\u30f3\u306e\u6a19\u6e96\u504f\u5dee\u306f\u3001\u305f\u3068\u3048\u30701.26\u30d1\u30fc\u30bb\u30f3\u30c8\u306e\u3088\u3046\u306a\u5c0f\u3055\u306a\u6570\u5b57\u3067\u3059\u3002\u3053\u306e\u6570\u5b57\u3092\u898b\u305f\u3060\u3051\u3067\u306f\u30011\u5e74\u9593\u3067\u3069\u308c\u3060\u3051\u52d5\u304f\u306e\u304b\u5b9f\u611f\u304c\u308f\u304d\u307e\u305b\u3093\u3002\u305d\u3053\u3067\u300c\u5e74\u7387\u300d\u306b\u63db\u7b97\u3057\u3066\u6bd4\u8f03\u3057\u3084\u3059\u304f\u3059\u308b\u306e\u3067\u3059\u304c\u3001\u63db\u7b97\u306b\u4f7f\u3046\u306e\u306f\u639b\u3051\u7b97\u3067\u306f\u306a\u304f\u5e73\u65b9\u6839\u306e\u639b\u3051\u7b97<\/strong>\u3067\u3059\u3002<\/p>\n\n\n\n

\u306a\u305c\u5358\u7d14\u306b\u55b6\u696d\u65e5\u6570\u3092\u639b\u3051\u306a\u3044\u306e\u304b\u3002\u306a\u305c\u5e73\u65b9\u6839\u304c\u51fa\u3066\u304f\u308b\u306e\u304b\u3002\u4eca\u56de\u306f\u3053\u308c\u3092\u5206\u6563\u306e\u52a0\u6cd5\u6027\u3068\u3044\u3046\u4e00\u3064\u306e\u6027\u8cea\u304b\u3089\u5c0e\u304d\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
  • THM-VS-1<\/strong> \u30ea\u30bf\u30fc\u30f3\u304c\u72ec\u7acb\u540c\u5206\u5e03\u306e\u3068\u304d\u3001<\/span>T<\/span><\/span><\/span><\/span><\/eq> \u671f\u9593\u306e\u5bfe\u6570\u30ea\u30bf\u30fc\u30f3\u306e\u5206\u6563\u306f <\/span>T<\/span><\/span><\/span><\/span><\/eq> \u306b\u6bd4\u4f8b\u3057\u3001\u6a19\u6e96\u504f\u5dee\u306f <\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u6bd4\u4f8b\u3057\u307e\u3059\uff08\u5e73\u65b9\u6839\u5247\uff09\u3002<\/li>\n
  • THM-VS-2<\/strong> \u65e5\u6b21\u306e\u6a19\u6e96\u504f\u5dee\u3092 <\/span>s<\/span><\/span><\/span><\/span><\/eq>\u3001\u5e74\u9593\u306e\u55b6\u696d\u65e5\u6570\u3092 <\/span>N<\/span><\/span><\/span><\/span><\/eq> \u3068\u3059\u308b\u3068\u3001\u5e74\u7387\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306f <\/span>s<\/span><\/span>N<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u306a\u308a\u307e\u3059\u3002<\/li>\n
  • THM-VS-3<\/strong> \u30ea\u30bf\u30fc\u30f3\u306b\u81ea\u5df1\u76f8\u95a2\u304c\u3042\u308b\u3068\u3001<\/span>T<\/span><\/span><\/span><\/span><\/eq> \u671f\u9593\u306e\u5206\u6563\u306f <\/span>T<\/span><\/span><\/span><\/span><\/eq> \u306b\u6bd4\u4f8b\u305b\u305a\u3001\u6b63\u306e\u76f8\u95a2\u304c\u3042\u308c\u3070\u5e73\u65b9\u6839\u5247\u3088\u308a\u5927\u304d\u304f\u3001\u8ca0\u306e\u76f8\u95a2\u304c\u3042\u308c\u3070\u5c0f\u3055\u304f\u306a\u308a\u307e\u3059\u3002<\/li>\n<\/ul>\n\n\n\n

    2. \u8a2d\u5b9a\u3068\u4eee\u5b9a \u2015 \u72ec\u7acb\u540c\u5206\u5e03\u306e\u30ea\u30bf\u30fc\u30f3<\/h2>\n\n\n\n

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

      \n
    • \u5404\u65e5\u306e\u5bfe\u6570\u30ea\u30bf\u30fc\u30f3 <\/span>r<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>r<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>\u2026<\/span><\/span>,<\/span><\/span>r<\/span><\/span>N<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u72ec\u7acb\u3067\u540c\u3058\u5206\u5e03<\/strong>\u306b\u5f93\u3044\u307e\u3059\u3002<\/li>\n
    • \u5404 <\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5e73\u5747\u3092 <\/span>\u03bc<\/span><\/span><\/span><\/span><\/eq>\u3001\u5206\u6563\u3092 <\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u3057\u307e\u3059\u3002<\/li>\n
    • \u5e74\u9593\u306e\u55b6\u696d\u65e5\u6570\u306f <\/span>N<\/span><\/span>=<\/span><\/span><\/span><\/span>252<\/span><\/span><\/span><\/span><\/eq> \u3068\u3057\u307e\u3059\u3002<\/li>\n
    • \u5e73\u5747 <\/span>\u03bc<\/span><\/span><\/span><\/span><\/eq> \u306f0\u306b\u8fd1\u3044\u5024\u306a\u306e\u3067\u3001\u5206\u6563\u306e\u8a08\u7b97\u3067\u306f\u7121\u8996\u3067\u304d\u308b\u5834\u5408\u304c\u3042\u308a\u307e\u3059\u304c\u3001\u5b9a\u7406\u306e\u8a3c\u660e\u3067\u306f\u4e00\u822c\u306e <\/span>\u03bc<\/span><\/span><\/span><\/span><\/eq> \u306e\u307e\u307e\u9032\u3081\u307e\u3059\u3002<\/li>\n
    • \u6570\u5024\u5b9f\u9a13\u3067\u306f\u4e71\u6570\u306e\u30b7\u30fc\u30c9\u309242\u306b\u56fa\u5b9a\u3057\u307e\u3059\u3002<\/li>\n<\/ul>\n\n\n\n

      <\/span>T<\/span><\/span><\/span><\/span><\/eq> \u65e5\u9593\u306e\u7d2f\u7a4d\u5bfe\u6570\u30ea\u30bf\u30fc\u30f3\u306f<\/p>\n\n\n\n

      <\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>\u22ef<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u3067\u3059\u3002\u3053\u306e <\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5206\u6563\u3068\u6a19\u6e96\u504f\u5dee\u304c\u3069\u3046\u632f\u308b\u821e\u3046\u304b\u304c\u4eca\u56de\u306e\u4e3b\u984c\u3067\u3059\u3002<\/p>\n\n\n\n

      3. \u4e3b\u5f35 \u2015 \u5206\u6563\u306f\u6642\u9593\u306b\u6bd4\u4f8b\u3057\u3001\u6a19\u6e96\u504f\u5dee\u306f\u5e73\u65b9\u6839\u306b\u6bd4\u4f8b\u3059\u308b<\/h2>\n\n\n\n
      \n

      \u5b9a\u7406 THM-VS-1\uff08\u5e73\u65b9\u6839\u5247\uff09<\/strong>\n\u5bfe\u6570\u30ea\u30bf\u30fc\u30f3 <\/span>r<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>r<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>\u2026<\/span><\/span><\/span><\/span><\/eq> \u304c\u72ec\u7acb\u540c\u5206\u5e03\u3067\u3001\u5404 <\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5206\u6563\u304c <\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3042\u308b\u3068\u304d\u3001<\/span>T<\/span><\/span><\/span><\/span><\/eq> \u671f\u9593\u306e\u7d2f\u7a4d\u5bfe\u6570\u30ea\u30bf\u30fc\u30f3 <\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>\u22ef<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5206\u6563\u306f<\/p>\n

      <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>T<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u3067\u3042\u308a\u3001\u6a19\u6e96\u504f\u5dee\u306f <\/span>SD<\/span><\/span>(<\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3042\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \n

      \u5b9a\u7406 THM-VS-2\uff08\u5e74\u7387\u63db\u7b97\u306e\u5f0f\uff09<\/strong>\n\u65e5\u6b21\u306e\u6a19\u6e96\u504f\u5dee\u3092 <\/span>s<\/span><\/span><\/span><\/span><\/eq>\u3001\u5e74\u9593\u306e\u55b6\u696d\u65e5\u6570\u3092 <\/span>N<\/span><\/span><\/span><\/span><\/eq> \u3068\u3059\u308b\u3068\u304d\u3001\u5e74\u7387\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306f<\/p>\n

      <\/span>\u03c3<\/span><\/span>annual<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>s<\/span><\/span>N<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u3067\u3042\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \n

      \u5b9a\u7406 THM-VS-3\uff08\u81ea\u5df1\u76f8\u95a2\u304c\u3042\u308b\u5834\u5408\u306e\u88dc\u6b63\uff09<\/strong>\n\u30ea\u30bf\u30fc\u30f3 <\/span>r<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u81ea\u5df1\u76f8\u95a2 <\/span>Corr<\/span><\/span>(<\/span>r<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>r<\/span><\/span>t<\/span>+<\/span>k<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c1<\/span><\/span>k<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304c\u3042\u308b\u3068\u304d\u3001<\/span>T<\/span><\/span><\/span><\/span><\/eq> \u671f\u9593\u306e\u5206\u6563\u306f<\/p>\n

      <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>T<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>2<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>k<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>T<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>T<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>k<\/span>)<\/span><\/span>\u03c1<\/span><\/span>k<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u3067\u3042\u308b\u3002<\/span>\u03c1<\/span><\/span>k<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq>\uff08\u6b63\u306e\u81ea\u5df1\u76f8\u95a2\uff09\u306a\u3089\u3070 <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>><\/span><\/span><\/span><\/span>T<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308a\u3001\u5e73\u65b9\u6839\u5247\u3067\u63db\u7b97\u3057\u305f\u5024\u3088\u308a\u3082\u5b9f\u969b\u306e\u5909\u52d5\u306f\u5927\u304d\u304f\u306a\u308b\u3002<\/span>\u03c1<\/span><\/span>k<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq>\uff08\u8ca0\u306e\u81ea\u5df1\u76f8\u95a2\uff09\u306a\u3089\u3070\u305d\u306e\u9006\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 \u5206\u6563\u306e\u52a0\u6cd5\u6027\u304b\u3089\u51fa\u3059<\/h2>\n

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

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

      <\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>\u22ef<\/span><\/span>+<\/span><\/span><\/span><\/span>r<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5206\u6563\u3092\u8a08\u7b97\u3057\u307e\u3059\u3002<\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u72ec\u7acb\u306a\u306e\u3067\u3001\u5171\u5206\u6563\u304c\u30bc\u30ed\u306b\u306a\u308b\u3053\u3068\u3092\u4f7f\u3044\u307e\u3059\u3002<\/p>\n

      <\/span><\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/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>Var<\/span><\/span>(<\/span>r<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span>r<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span>\u22ef<\/span><\/span>+<\/span><\/span>r<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/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>1<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u4e00\u822c\u306b\u3001\u78ba\u7387\u5909\u6570\u306e\u548c\u306e\u5206\u6563\u306f<\/p>\n

      <\/span>Var<\/span><\/span><\/span>(<\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>T<\/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><\/span><\/span><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>T<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>Var<\/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>2<\/span><\/span><\/span><\/span>i<\/span><<\/span>j<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>Cov<\/span><\/span>(<\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>r<\/span><\/span>j<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span>(<\/span>2<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3068\u5c55\u958b\u3055\u308c\u307e\u3059\u3002\u3053\u3053\u3067\u72ec\u7acb\u6027\u306e\u4eee\u5b9a\u3092\u4f7f\u3044\u307e\u3059\u3002<\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>r<\/span><\/span>j<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\uff08<\/span>i<\/span><\/span><\/span>\ue020<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span>j<\/span><\/span><\/span><\/span><\/eq>\uff09\u304c\u72ec\u7acb\u3067\u3042\u308b\u3068\u304d\u3001<\/span>Cov<\/span><\/span>(<\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>r<\/span><\/span>j<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u3057\u305f\u304c\u3063\u3066 (2) \u306e\u53f3\u8fba\u306e\u4e8c\u91cd\u548c\u306f\u3059\u3079\u3066\u6d88\u3048\u3001<\/p>\n

      <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/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>T<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>Var<\/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><\/span>i<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>T<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>T<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>3<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u304c\u5f97\u3089\u308c\u307e\u3059\u3002\u540c\u5206\u5e03\u306e\u4eee\u5b9a\u306b\u3088\u308a\u3001\u5404 <\/span>Var<\/span><\/span>(<\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u540c\u3058\u5024 <\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u306a\u308b\u3053\u3068\u3092\u3053\u3053\u3067\u4f7f\u3044\u307e\u3057\u305f\u3002<\/p>\n

      \u6a19\u6e96\u504f\u5dee\u306f\u5206\u6563\u306e\u5e73\u65b9\u6839\u3067\u3059\u304b\u3089\u3001<\/p>\n

      <\/span>SD<\/span><\/span>(<\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span><\/span>T<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>4<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3068\u306a\u308a\u307e\u3059\u3002\u5206\u6563\u306f\u671f\u9593 <\/span>T<\/span><\/span><\/span><\/span><\/eq> \u306b\u6bd4\u4f8b\u3057\u307e\u3059\u304c\u3001\u6a19\u6e96\u504f\u5dee\u306f <\/span>T<\/span><\/span><\/span><\/span><\/eq> \u306e\u5e73\u65b9\u6839\u306b\u3057\u304b\u6bd4\u4f8b\u3057\u307e\u305b\u3093\u3002\u671f\u9593\u30924\u500d\u306b\u3057\u3066\u3082\u6a19\u6e96\u504f\u5dee\u306f2\u500d\u306b\u3057\u304b\u306a\u308a\u307e\u305b\u3093\u3002 \u220e<\/p>\n

      THM-VS-2 \u306e\u8a3c\u660e<\/h3>\n

      THM-VS-1 \u3067 <\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>N<\/span><\/span><\/span><\/span><\/eq>\uff08\u5e74\u9593\u306e\u55b6\u696d\u65e5\u6570\uff09\u3001<\/span>\u03c3<\/span><\/span>=<\/span><\/span><\/span><\/span>s<\/span><\/span><\/span><\/span><\/eq>\uff08\u65e5\u6b21\u306e\u6a19\u6e96\u504f\u5dee\uff09\u3068\u7f6e\u304d\u307e\u3059\u3002\u5e74\u9593\u306e\u7d2f\u7a4d\u5bfe\u6570\u30ea\u30bf\u30fc\u30f3\u306e\u6a19\u6e96\u504f\u5dee\u306f<\/p>\n

      <\/span>SD<\/span><\/span>(<\/span>R<\/span><\/span>N<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>s<\/span><\/span>N<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>5<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3067\u3059\u3002\u3053\u308c\u304c\u5e74\u7387\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3 <\/span>\u03c3<\/span><\/span>annual<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5b9a\u7fa9\u305d\u306e\u3082\u306e\u3067\u3059\u3002<\/p>\n

      \u65e5\u6b21\u306e\u6a19\u6e96\u504f\u5dee <\/span>s<\/span><\/span>=<\/span><\/span><\/span><\/span>1.26%<\/span><\/span><\/span><\/span><\/eq> \u3092\u5e74\u7387\u63db\u7b97\u3059\u308b\u3068\u3001<\/span>s<\/span><\/span>N<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>1.26%<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span><\/span>252<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>1.26%<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>15.8745<\/span><\/span>=<\/span><\/span><\/span><\/span>20.00%<\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308a\u307e\u3059\u3002 \u220e<\/p>\n

      THM-VS-3 \u306e\u8a3c\u660e\uff08\u8981\u70b9\uff09<\/h3>\n

      <\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304c\u72ec\u7acb\u3067\u306a\u3044\u5834\u5408\u3001(2) \u306e\u5171\u5206\u6563\u9805\u304c\u6b8b\u308a\u307e\u3059\u3002<\/span>Cov<\/span><\/span>(<\/span>r<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>r<\/span><\/span>j<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u03c1<\/span><\/span>\u2223<\/span>i<\/span>\u2212<\/span>j<\/span>\u2223<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u3059\u308b\u3068\u3001<\/p>\n

      <\/span>Var<\/span><\/span>(<\/span>R<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>T<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>2<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>k<\/span>=<\/span>1<\/span><\/span><\/span><\/span><\/span>\u2211<\/span><\/span><\/span><\/span>T<\/span>\u2212<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>T<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>k<\/span>)<\/span><\/span>\u03c1<\/span><\/span>k<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>6<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3068\u306a\u308a\u307e\u3059\u3002<\/span>(<\/span>T<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>k<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306f\u300c\u9593\u9694\u304c <\/span>k<\/span><\/span><\/span><\/span><\/eq> \u3067\u3042\u308b\u30da\u30a2\u306e\u500b\u6570\u300d\u3067\u3059\u3002<\/span>i<\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>j<\/span><\/span>=<\/span><\/span><\/span><\/span>i<\/span><\/span>+<\/span><\/span><\/span><\/span>k<\/span><\/span><\/span><\/span><\/eq> \u306e\u30da\u30a2\u306f\u3001<\/span>i<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span>,<\/span><\/span>2<\/span>,<\/span><\/span>\u2026<\/span><\/span>,<\/span><\/span>T<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>k<\/span><\/span><\/span><\/span><\/eq> \u306e <\/span>T<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>k<\/span><\/span><\/span><\/span><\/eq> \u901a\u308a\u3042\u308a\u307e\u3059\u3002<\/p>\n

      <\/span>\u03c1<\/span><\/span>k<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u306e\u3068\u304d\u3001(6) \u306e\u7b2c2\u9805\u306f\u6b63\u3067\u3059\u3002\u3064\u307e\u308a\u5206\u6563\u306f <\/span>T<\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3088\u308a\u5927\u304d\u304f\u306a\u308a\u3001\u5e73\u65b9\u6839\u5247\u3067\u5f97\u305f\u5024 <\/span>\u03c3<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u5e74\u7387\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u3092\u904e\u5c0f\u8a55\u4fa1\u3057\u307e\u3059\u3002<\/span>\u03c1<\/span><\/span>k<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u306e\u3068\u304d\u3001\u7b2c2\u9805\u306f\u8ca0\u3067\u3001\u5e73\u65b9\u6839\u5247\u306f\u904e\u5927\u8a55\u4fa1\u3057\u307e\u3059\u3002 \u220e<\/p>\n<\/details>\n\n\n\n

      5. \u53cd\u4f8b \u2015 \u81ea\u5df1\u76f8\u95a2\u304c\u3042\u308b\u3068\u63db\u7b97\u304c\u72c2\u3046<\/h2>\n\n\n\n

      CEX-VS-1: \u81ea\u5df1\u76f8\u95a2\u304c\u3042\u308b\u3068\u5e73\u65b9\u6839\u5247\u304c\u305a\u308c\u308b\uff08THM-VS-1 \u306e\u72ec\u7acb\u6027\u3092\u58ca\u3059\uff09<\/h3>\n\n\n\n

      \u81ea\u5df1\u76f8\u95a2 <\/span>\u03c1<\/span><\/span>=<\/span><\/span><\/span><\/span>0.2<\/span><\/span><\/span><\/span><\/eq> \u306e AR(1) \u904e\u7a0b\u3067\u30ea\u30bf\u30fc\u30f3\u3092\u751f\u6210\u3057\u3001252\u65e5\u5206\u3092\u8db3\u3057\u3066\u5e74\u7387\u306e\u6a19\u6e96\u504f\u5dee\u3092\u6e2c\u308a\u307e\u3059\u3002\u65e5\u6b21\u30ea\u30bf\u30fc\u30f3\u305d\u306e\u3082\u306e\u306e\u6a19\u6e96\u504f\u5dee\u306f <\/span>1.26%<\/span><\/span><\/span><\/span><\/eq> \u306b\u305d\u308d\u3048\u3066\u3042\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

      \u5e73\u65b9\u6839\u5247\u3067\u63db\u7b97\u3057\u305f\u5e74\u7387\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306f <\/span>20.00%<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u304c\u3001\u5b9f\u969b\u306b\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u3067\u6e2c\u3063\u305f\u5024\u306f <\/span>24.32%<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\uff08THM-VS-3 \u306e (6) \u306b <\/span>\u03c1<\/span><\/span>k<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.<\/span>2<\/span><\/span>k<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3092\u5165\u308c\u305f\u7406\u8ad6\u5024\u306f <\/span>24.48%<\/span><\/span><\/span><\/span><\/eq>\uff09\u3002\u5dee\u306f <\/span>4.32<\/span><\/span><\/span><\/span><\/eq> \u30dd\u30a4\u30f3\u30c8\u306b\u3082\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6b63\u306e\u81ea\u5df1\u76f8\u95a2\u304c\u3042\u308b\u3068\u300c\u4e0a\u304c\u3063\u305f\u65e5\u306e\u7fcc\u65e5\u3082\u4e0a\u304c\u308a\u3084\u3059\u3044\u300d\u305f\u3081\u3001\u5909\u52d5\u304c\u5897\u5e45\u3055\u308c\u307e\u3059\u3002THM-VS-3 \u306e (6) \u3067\u7b2c2\u9805\u304c\u6b63\u306b\u306a\u308b\u3053\u3068\u3068\u5bfe\u5fdc\u3057\u3066\u3044\u307e\u3059\u3002\u5e73\u65b9\u6839\u5247\u304c\u6210\u308a\u7acb\u3064\u306e\u306f\u72ec\u7acb\u6027\u304c\u6e80\u305f\u3055\u308c\u308b\u3068\u304d<\/strong>\u306b\u9650\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

      CEX-VS-2: \u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306f\u6642\u9593\u306b\u6bd4\u4f8b\u3059\u308b\u3068\u3044\u3046\u8aa4\u89e3\u3092\u58ca\u3059<\/h3>\n\n\n\n

      \u300c\u671f\u9593\u304c4\u500d\u306a\u3089\u6a19\u6e96\u504f\u5dee\u30824\u500d\u300d\u3068\u601d\u3044\u304c\u3061\u3067\u3059\u304c\u3001\u305d\u308c\u306f\u5206\u6563\u306e\u8a71\u3067\u3059\u3002\u6a19\u6e96\u504f\u5dee\u306f\u5e73\u65b9\u6839\u306b\u5f93\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u3067\u671f\u9593 <\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span>,<\/span><\/span>4<\/span>,<\/span><\/span>9<\/span>,<\/span><\/span>16<\/span><\/span><\/span><\/span><\/eq> \u65e5\u306e\u7d2f\u7a4d\u30ea\u30bf\u30fc\u30f3\u306e\u6a19\u6e96\u504f\u5dee\u3092\u6e2c\u308a\u3001<\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq> \u3068\u306e\u6bd4\u3092\u53d6\u308b\u3068\u6b21\u306e\u3088\u3046\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n\n\n\n\n\n\n\n\n
      \u671f\u9593 <\/span>T<\/span><\/span><\/span><\/span><\/eq>\uff08\u65e5\uff09<\/th>\n\u6a19\u6e96\u504f\u5dee\u306e\u6bd4\uff08\u5b9f\u6e2c\uff09<\/th>\n<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\uff08\u7406\u8ad6\uff09<\/th>\n<\/tr>\n<\/thead>\n
      1<\/td>\n1.0000<\/td>\n1.0<\/td>\n<\/tr>\n
      4<\/td>\n2.0063<\/td>\n2.0<\/td>\n<\/tr>\n
      9<\/td>\n3.0081<\/td>\n3.0<\/td>\n<\/tr>\n
      16<\/td>\n4.0120<\/td>\n4.0<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

      \u5b9f\u6e2c\u5024\u306f\u7406\u8ad6\u5024\u306e <\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u6975\u3081\u3066\u8fd1\u304f\u3001<\/span>T<\/span><\/span><\/span><\/span><\/eq> \u305d\u306e\u3082\u306e\u306b\u306f\u6bd4\u4f8b\u3057\u3066\u3044\u307e\u305b\u3093\u3002\u671f\u9593\u30924\u500d\u306b\u3057\u3066\u3082\u6a19\u6e96\u504f\u5dee\u306f\u7d042\u500d\u300116\u500d\u306b\u3057\u3066\u3082\u7d044\u500d\u3067\u3059\u3002<\/p>\n\n\n\n

      CEX-VS-3: \u5e74\u738720\u30d1\u30fc\u30bb\u30f3\u30c8\u306e\u7bc4\u56f2\u306b\u5fc5\u305a\u53ce\u307e\u308b\u308f\u3051\u3067\u306f\u306a\u3044<\/h3>\n\n\n\n

      \u300c\u5e74\u7387\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a320\u30d1\u30fc\u30bb\u30f3\u30c8\u300d\u3068\u805e\u304f\u3068\u30011\u5e74\u5f8c\u306e\u30ea\u30bf\u30fc\u30f3\u304c <\/span>\u00b1<\/span>20%<\/span><\/span><\/span><\/span><\/eq> \u306e\u7bc4\u56f2\u306b\u5fc5\u305a\u5165\u308b\u3068\u8aa4\u89e3\u3055\u308c\u304c\u3061\u3067\u3059\u3002<\/p>\n\n\n\n

      \u5bfe\u6570\u30ea\u30bf\u30fc\u30f3\u304c\u5e73\u57470\u3001\u6a19\u6e96\u504f\u5dee20\u30d1\u30fc\u30bb\u30f3\u30c8\u306e\u6b63\u898f\u5206\u5e03\u306b\u5f93\u3046\u3068\u3057\u307e\u3057\u3087\u3046\u3002<\/span>\u00b1<\/span>20%<\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>\u00b1<\/span>1<\/span>\u03c3<\/span><\/span><\/span><\/span><\/eq> \u306e\u7bc4\u56f2\u306a\u306e\u3067\u3001\u3053\u306e\u4e2d\u306b\u53ce\u307e\u308b\u78ba\u7387\u306f <\/span>68.27%<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u9006\u306b\u8a00\u3048\u3070\u3001<\/span>31.73%<\/span><\/span><\/span><\/span><\/eq> \u306e\u78ba\u7387\u3067\u3053\u306e\u7bc4\u56f2\u3092\u8d85\u3048\u307e\u3059\u3002\u7d043\u56de\u306b1\u56de\u306f\u300c\u5e74\u7387\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u300d\u306e\u5e45\u3092\u8d85\u3048\u308b\u306e\u3067\u3059\u3002<\/p>\n\n\n\n

      <\/span>\u00b1<\/span>20%<\/span><\/span><\/span><\/span><\/eq> \u306f\u300c\u3060\u3044\u305f\u30443\u5206\u306e2\u306e\u78ba\u7387\u3067\u5165\u308b\u7bc4\u56f2\u300d\u3067\u3042\u3063\u3066\u3001\u300c\u5fc5\u305a\u53ce\u307e\u308b\u7bc4\u56f2\u300d\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

      6. \u6570\u5024\u4f8b \u2015 \u65e5\u6b21\u304b\u3089\u5e74\u7387\u3078\u63db\u7b97\u3059\u308b<\/h2>\n\n\n\n

      \u65e5\u6b21\u306e\u6a19\u6e96\u504f\u5dee <\/span>s<\/span><\/span>=<\/span><\/span><\/span><\/span>1.26%<\/span><\/span><\/span><\/span><\/eq> \u306e\u7cfb\u5217\u3092\u5e74\u7387\u63db\u7b97\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      <\/span><\/span>\u03c3<\/span><\/span>annual<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/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>s<\/span><\/span>\u00d7<\/span><\/span><\/span>N<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>1.26%<\/span><\/span>\u00d7<\/span><\/span><\/span>252<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>1.26%<\/span><\/span>\u00d7<\/span><\/span>15.8745<\/span><\/span>=<\/span><\/span>20.00%<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u6b21\u306b\u3001\u671f\u9593\u3054\u3068\u306e\u6a19\u6e96\u504f\u5dee\u3092\u78ba\u8a8d\u3057\u307e\u3059\u3002\u72ec\u7acb\u540c\u5206\u5e03\u306e\u30ea\u30bf\u30fc\u30f310\u4e07\u672c\u3092\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u3057\u3001<\/span>T<\/span><\/span><\/span><\/span><\/eq> \u65e5\u9593\u306e\u7d2f\u7a4d\u30ea\u30bf\u30fc\u30f3\u306e\u6a19\u6e96\u504f\u5dee\u3092\u6e2c\u308a\u307e\u3057\u305f\u3002<\/p>\n\n\n\n\n\n\n\n\n\n\n\n
      \u671f\u9593 <\/span>T<\/span><\/span><\/span><\/span><\/eq><\/th>\n\u6a19\u6e96\u504f\u5dee\uff08%\uff09<\/th>\n<\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq> \u3068\u306e\u6bd4<\/th>\n<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/th>\n<\/tr>\n<\/thead>\n
      1<\/td>\n1.2588<\/td>\n1.0000<\/td>\n1.0<\/td>\n<\/tr>\n
      4<\/td>\n2.5254<\/td>\n2.0063<\/td>\n2.0<\/td>\n<\/tr>\n
      9<\/td>\n3.7865<\/td>\n3.0081<\/td>\n3.0<\/td>\n<\/tr>\n
      16<\/td>\n5.0501<\/td>\n4.0120<\/td>\n4.0<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

      \u6a19\u6e96\u504f\u5dee\u306e\u6bd4\u306f <\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u307b\u307c\u4e00\u81f4\u3057\u3066\u3044\u307e\u3059\u300210\u4e07\u672c\u306e\u6709\u9650\u30b5\u30f3\u30d7\u30eb\u306b\u3088\u308b\u8aa4\u5dee\u304c\u5c0f\u6570\u7b2c2\u4f4d\u4ee5\u964d\u306b\u898b\u3048\u307e\u3059\u304c\u3001\u7406\u8ad6\u901a\u308a\u3067\u3059\u3002<\/p>\n\n\n\n

      \u81ea\u5df1\u76f8\u95a2\u304c\u3042\u308b\u5834\u5408<\/strong>\uff1a<\/span>\u03c1<\/span><\/span>=<\/span><\/span><\/span><\/span>0.2<\/span><\/span><\/span><\/span><\/eq> \u306e\u81ea\u5df1\u76f8\u95a2\u3092\u5165\u308c\u308b\u3068\u3001\u5e73\u65b9\u6839\u5247\u3067\u63db\u7b97\u3057\u305f\u5e74\u7387\u306f <\/span>20.00%<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u304c\u3001\u5b9f\u969b\u306e\u5e74\u7387\u6a19\u6e96\u504f\u5dee\u306f <\/span>24.32%<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u5dee\u306f <\/span>4.32<\/span><\/span><\/span><\/span><\/eq> \u30dd\u30a4\u30f3\u30c8\u3067\u3001\u72ec\u7acb\u6027\u306e\u4eee\u5b9a\u304c\u5d29\u308c\u308b\u3068\u5e73\u65b9\u6839\u5247\u306f\u4f7f\u3048\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

      \u5e74\u738720\u30d1\u30fc\u30bb\u30f3\u30c8\u306e\u610f\u5473<\/strong>\uff1a\u5e74\u7387\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u304c <\/span>20.00%<\/span><\/span><\/span><\/span><\/eq> \u306e\u3068\u304d\u30011\u5e74\u5f8c\u306e\u5bfe\u6570\u30ea\u30bf\u30fc\u30f3\u304c <\/span>\u00b1<\/span>20%<\/span><\/span><\/span><\/span><\/eq> \u306e\u7bc4\u56f2\u306b\u53ce\u307e\u308b\u78ba\u7387\u306f <\/span>68.27%<\/span><\/span><\/span><\/span><\/eq> \u306b\u3059\u304e\u307e\u305b\u3093\u3002<\/span>31.73%<\/span><\/span><\/span><\/span><\/eq> \u306e\u78ba\u7387\u3067\u7bc4\u56f2\u3092\u8d85\u3048\u307e\u3059\u3002<\/p>\n\n\n\n

      7. \u6b21\u56de\u3078 \u2015 \u4f55\u306b\u5bfe\u3059\u308b\u5831\u916c\u306a\u306e\u304b<\/h2>\n\n\n\n

      \u4eca\u56de\u3001\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306f\u6642\u9593\u306e\u5e73\u65b9\u6839\u3067\u62e1\u5927\u3059\u308b\u3053\u3068\u3092\u898b\u307e\u3057\u305f\u3002\u3053\u308c\u306f\u300c\u30ea\u30b9\u30af\u306f\u6642\u9593\u3068\u3068\u3082\u306b\u5927\u304d\u304f\u306a\u308b\u304c\u3001\u6642\u9593\u305d\u306e\u3082\u306e\u307b\u3069\u306f\u901f\u304f\u306a\u3044\u300d\u3068\u3044\u3046\u3053\u3068\u3067\u3059\u3002<\/p>\n\n\n\n

      \u3067\u306f\u3001\u6295\u8cc7\u5bb6\u304c\u3053\u306e\u30ea\u30b9\u30af\u3092\u5f15\u304d\u53d7\u3051\u308b\u898b\u8fd4\u308a\u3068\u3057\u3066\u53d7\u3051\u53d6\u308b\u30ea\u30bf\u30fc\u30f3\u3001\u3044\u308f\u3086\u308b\u30ea\u30b9\u30af\u30d7\u30ec\u30df\u30a2\u30e0\u306f\u3069\u306e\u3088\u3046\u306b\u6c7a\u307e\u308b\u306e\u3067\u3057\u3087\u3046\u304b\u3002\u6b21\u56de\uff08\u7b2c33\u56de\uff09\u3067\u306f\u3001\u4f55\u306b\u5bfe\u3059\u308b\u5831\u916c\u3068\u3057\u3066\u8d85\u904e\u53ce\u76ca\u304c\u751f\u307e\u308c\u308b\u306e\u304b\u3092\u8003\u3048\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6b21\u306e\u30de\u30a4\u30eb\u30b9\u30c8\u30fc\u30f3\u307e\u3067\u3042\u3068 10 \u672c\u3067\u3059\u3002<\/p>\n\n\n\n

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

      \u306a\u305c\u5e73\u65b9\u6839\u306a\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u5206\u6563\u304c\u8db3\u3057\u7b97\u306b\u306a\u308b\u304b\u3089\u3067\u3059\u3002\u6a19\u6e96\u504f\u5dee\u306f\u5206\u6563\u306e\u5e73\u65b9\u6839\u306a\u306e\u3067\u3001\u5e73\u65b9\u6839\u304c\u51fa\u3066\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

      \u5e74\u738720\u30d1\u30fc\u30bb\u30f3\u30c8\u306a\u30891\u5e74\u3067\u4e0a\u4e0b20\u30d1\u30fc\u30bb\u30f3\u30c8\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u9055\u3044\u307e\u3059\u3002\u304a\u304a\u3088\u305d3\u5206\u306e2\u306e\u78ba\u7387\u3067\u305d\u306e\u7bc4\u56f2\u306b\u5165\u308b\u3001\u3068\u3044\u3046\u610f\u5473\u3067\u3059\u3002\u5916\u308c\u308b\u5834\u5408\u3082\u666e\u901a\u306b\u3042\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

      \u73fe\u5b9f\u306e\u30ea\u30bf\u30fc\u30f3\u306f\u72ec\u7acb\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u53b3\u5bc6\u306b\u306f\u9055\u3044\u307e\u3059\u3002\u7279\u306b\u5927\u304d\u306a\u5909\u52d5\u306e\u5f8c\u306f\u5909\u52d5\u304c\u7d9a\u304f\u50be\u5411\u304c\u3042\u308a\u3001\u63db\u7b97\u306b\u305a\u308c\u304c\u51fa\u307e\u3059\u3002<\/p>\n\n\n\n

      \u53c2\u8003\u6587\u732e<\/h2>\n\n\n\n
        \n\n
      1. Hull J. C.\u3001Options Futures and Other Derivatives\u3001\u7b2c11\u7248\u3001Pearson\u30012021\u5e74<\/li>\n\n\n
      2. Campbell J. Y.\u3001Lo A. W. and MacKinlay A. C.\u3001The Econometrics of Financial Markets\u3001Princeton University Press\u30011997\u5e74<\/li>\n\n<\/ol>\n\n\n\n
        \n\n\n\n

        \u6570\u5024\u4f8b\u306f compute.py<\/code> \u306b\u3088\u308a\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\uff08\u30b7\u30fc\u30c942\u56fa\u5b9a\uff09\u3067\u691c\u7b97\u6e08\u307f\u3002<\/em><\/p>\n\n","protected":false},"excerpt":{"rendered":"

        \u4f4d\u7f6e: \u7b2c4\u90e8 \u7b2c32\u56de \/ \u524d\u63d0: \u7b2c25\u56de\u3001\u7b2c31\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u65e5\u6b21\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u3092\u5e74\u7387\u306b\u63db\u7b97\u3057\u3001\u305d\u306e\u63db\u7b97\u304c\u6210\u308a\u7acb\u305f\u306a\u3044\u5834\u9762\u3092\u898b\u5206\u3051\u308b\u3053\u3068\u304c\u3067\u304d\u308b 0. \u7269\u8a9e \u2015 \u81ea\u5df1 […]<\/p>\n","protected":false},"author":1,"featured_media":209128,"comment_status":"closed","ping_status":"","sticky":false,"template":"","format":"standard","meta":{"swell_btn_cv_data":"","footnotes":""},"categories":[159],"tags":[163],"class_list":["post-208451","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