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1、4/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20222012uaa Va V120,0aa( )iViu Ve 4/26/2022212ioiiuaa va v2121121211121222122( )()( )()( )( ( )( )NNiiioiiiiNNNoiiiiiiiiooE upup aaVa Va pa pVa pVaa E Va E Vaa E Va E VaV4/26/20224/26/20224/26/20224/26/20224/26/202
2、2frMrM4/26/20224/26/2022fr(1)fMrr()()MfpfpME rrE rrfr N4/26/2022fr N4/26/20224/26/2022Mr11nijyMcov( , )jkjkr rfr4/26/20222()()cov(,)MfjfjMME rrE rrrr4/26/2022MfrP( ) (1)()pfMpME rrE r ()()()ppMppMfddddE rddE rE rr4/26/2022jMj1jj pE rjMj()(1) ( )()pjME rE rE r4/26/20221jMjM1( )()pccpdddE rdE r2222(1)
3、2 (1)cov( ,)cjjjMMr r 222(1)2(1 2 )cov( ,)2cjjjMMdr rd 4/26/202222cccdddd2(1)(12 )cov( ,)jjjmMccr rdd 1( )()( )cMjddE rE rE r4/26/20222 (1)(1 2 )cov( , )/( )( )( )( )jjjmMcccccMjr rddddErddErErEr 21cov( ,)( )( ()( )jMMcccMjr rddE rE rE r1|cM2cov( ,)( ()( )( )()jMMpMMMjpMfr rdE rE rdE rE rr4/26/20222
4、()( )()cov( ,)( ()MfjMjMMfME rrE rE rr rE rr2()( )cov( ,)MfjfjMME rrE rrr r2()( )cov( ,)MfjfjMME rrE rrr r4/26/2022 ,1,1,iiyhin 11niiy11()()nMiiiErh Er111111cov( ,)cov( ,)cov( ,)nnnjMik kjkkjkkikkr rrh rr r hh121()()nMfjfjkkkME rrE rrh(5.3)4/26/2022121cov( ,)nMjjMkhr rjMMjj4/26/20222jM2jMjMj( )( ()j
5、fjMfE rrE rr(5.4)4/26/202211()( )()()jMjMnjkkMfkjfMMMfpMphE rrE rrE rrdE rd(5.5)dd（收益）风险补偿（证券风险）（风险）121()( )nMfjfjkkkME rrE rrh4/26/2022( )( ), ,;jkjkjkErEror( )( ),;jkjkjkE rE ror( )( ), ,jkjkjkE rE ror4/26/2022111mThm121(,)Tnhhhh121( ( ), ( ), ()TffnfmE rr E rrE rr1(1,1)T14/26/20222()MfkkME rruh11
6、211()( )nnMfjjfjk kjkkkkME rrmE rrhu1muum 121()( )nMfjfjkkkME rrE rrh4/26/2022111nkkhkh11kknkkuhu1111TTmuhum4/26/2022Wfr11,nyy()maxpfpE rr11njjstyW：4/26/20221121,1( )( );()nnpjjpijijki jE ry E ry y(),pfpE rrmaxP4/26/2022fr() (1)()MfpMpE rrE r()( ( )( ( )( )MMfpffpfppffmfMpE rrE rrrE rrE rrrr()()maxm
7、axpfMfpME rrE rr4/26/2022()()(),1,1MfjfMMMjE rrE rrdE rcons jnd()(), ,1,1jfkfjkE rrE rrj knpjjdd y4/26/2022max2( ( )( ()0,jfMMfjpjjMjp mE rrE rrdddydy( ( )( ()0jfMMfjE rrE rr( )()jfMfjME rrE rr4/26/20221()( ),nMjjjE rE r y111,0,nnjjjjydy1111()( )( ( )()()()nnMjjjfjjjnMfMjjMjnMfMfMjMjMjMdE rE r dyE r
8、r dyE rrddydyE rrE rrddyddy4/26/2022()()MfMMME rrdE rd()MfME rrcons4/26/2022()()( )ppfjfpppjdE rE rrE rrconsdddhijyhW4/26/202211( ()njfjjpE rr h2( ( )( ( )(/)0jfppfpjjpE rrE rrddhddh( ( )( )pfpjfpjE rrdE rrdh1,1jn4/26/202211111111( )( )( ( )( )( )( )nnpjjjfjjjnpfpjjpjnpfppfjpjpjpdE rE r dhE rr dhE r
9、rddhdhE rrdE rrdhddh()()ppfjfpppjdrE rrE rrdddh4/26/2022()ppfppdrE rrd()/pfpE rr（）4/26/2022221221()()( )2()()cov( ,)( ()pfppfpifpjpjnpfpfjjppppfjE rrdE rrdE rrdhdhE rrE rrhr rE rr4/26/2022111Tmhm4/26/2022pprMfrfrAfCr4/26/2022PrMrfrMP4/26/202222221/2(1)(1)(1)2 (1)(2)piMpiMiMrara raaaa 4/26/2022222222
10、21/222224;2(1)2 (1)ppiMMiMiMiMiMiMraaarraaaaaa200,.,ppiMMiMMaarrraa4/26/202220/() /ppiMppiMMMarrarra2() /MfiMiMMMMrrrr()/MfMrr4/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/2022MMrM1MPrPMfpfpMrrrrpMM 4/26/2022() MfME rr4/26/2022MfpfpMrrrrpprMfrMrM4/26/20224/26/20224/26/
11、20224/26/20224/26/20224/26/20224/26/2022001IimiWW4/26/2022( ,)ijfr r( ,)ijDfNr r0(,)(,)ijDjfijfiP NrrrrW1( ,)( ,)jijIDDffiNr rNr r4/26/2022 ( ,)DjfjNr rN0011( ,)INiijfmijr r WW4/26/2022( ,)Djjfjjp Nr rp N111111( ,)( ,)( ,)NNNIDDjjjjfjijfjjjiNIDjijfjip Np Nr rpNr rp Nr r4/26/202200111( ,)NINijjijfmji
12、jp Nr r WW0101100( ,)( ,)DjjjjfmjNmjjjIIDijijfijiimmp Np Nr rWp NpNr rWWW4/26/2022 0011001iiIImjijiimmWWWW且 4/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/2022i()2()iMFrFiMME rrEr2()(),imiFMFiimE rrE rr4/26/20224/26/20224/26/2022() ()pfpmfE rrE rr1nPiii 4/26/20
13、22( )( ()ifiMMfE rrE rr其中被称为第项资产的系数。其中被称为第项资产的系数。2iMiMMi 4/26/2022SML( )iE r()ME rfr( )ifE rr4/26/20222( )( )ifmfimmE rrE rr4/26/20221nMiMiMi。iMiiMi4/26/2022()mE r( )E rMfr4/26/20224/26/20224/26/2022fr4/26/20224/26/20224/26/20224/26/20224/26/20224/26/20221j1j1j4/26/2022()( ()pfpMfE rrE rr1npjjj 4/26
14、/20224/26/20224/26/2022Rx=13%E(r)SMLb1.0Rm=11%Ry=7.8%3%1.25bx.6by.084/26/20224/26/20224/26/20224/26/2022jfr()mfErr4/26/20224/26/2022 4/26/2022 (1)JtfJJ MtJtrrr4/26/2022JA(1)fJr(,)ffrrJtrJ4/26/2022iii mirr( )()iiimE rE r4/26/20224/26/2022 i()()iiieE rE rii()()iefimfE rrE rr()()iifimfE rrE rr()()ifiim
15、fE rrE rr4/26/20224/26/2022i4/26/2022( ) ()ifimfE rrE rr( )(1)()ifiimE rrE r(1)ifir(1)ifii mrrr(1)fir(1)ifir4/26/20224/26/2022(,)ffr r4/26/20224/26/20224/26/20224/26/2022( ) ( )E rrJ2222()()()JJMJrr 2( ) 0J ()()JJMrr ( )( )( ()()JJfMfMrE rrE rrr4/26/20222()0J( )()JJMrr ( )( )( ()()jJMfMrE rE rrrJ4/2
16、6/2022( ) ( )E rr()( ()JfMfJE rrE rr2cov( ,)/()jjMMr rrcov( ,)() ()jMJMJMr rrr()( ) ( )()mfjfJMJME rrE rrrr4/26/2022JM 4/26/20224/26/20224/26/2022( )E rZZ( ) rZ4/26/2022ZBZZM( )zE r4/26/202222222()()(1) ()()()(1)() 2(1) () ()PMMMZPMMMZMmMZMZE rE rE rrrrrr PM P4/26/2022( ( ), ( )ZZE rE r4/26/2022002c
17、ov( ,)()iMiMiMMMr rrrrrr4/26/2022( )( )(1) ()()qqpzc pqppE rE rE r4/26/2022()()()Mzc ME rE r()()( )()( ()()qzc MqMMzc ME rE rE rE r()()zc MEr 4/26/20224/26/2022L1T2TbR1R( )E R04/26/20224/26/202211()KkkfkifikKkkrrrrikk 4/26/20224/26/20224/26/20224/26/2022 4/26/20224/26/20224/26/20224/26/2022 4/26/202
18、2 4/26/2022 0.05 1.30.100.0511.5%Ar 0.050.70.100.058.5%Br 4/26/2022 ir i4/26/2022( )( ()jfMfE rrE rr2jjmm( )jE rj4/26/2022pQQPrP( )( ()fmfE QPrE rrP( )1( ()fmfE QPrE rr4/26/20221QrP22cov(/1),cov( ,)mmmmQ PrQ rP2cov( ,)( ()1( )1mmffmQ rE rrPE Qr4/26/2022 110002218002pVpcov( ,)0.045;0.30;0.10;()0.20Mf
19、Mx rrE r4/26/20222)(0.20 0.10( )cov( ,)0.100.045 0.150.09MME rrfE rrx rf11100080090022( (2)E V4/26/2022cov(,)7BrxMcov( ,)0.045;0.30;0.10;0.20Mx rrE rMf）（( )1080.7500.390.67E B 4/26/20222( )(/) cov( ,)190.60(0.200.10 / 0.09)775.291.10E BErrB xMMMfPr)90.6075.29(20.33%75.29E rB4/26/20224/26/2022 ()()PfPPMfPrrrr0P0P0P4/26/2022 。4/26/2022 frMfrr4/26/20224/26/20224/26/2022()1()fmffmfqprrrrpqprrr随机条件下的贴现率（风险调整下的利率）随机条件下的贴现率（风险调整下的利率）4/26/20221000876(1.10.6(0.170.10)p 万美元）4/26/2022 123 fr期望收益率市场风险收益与规模相关的风险收益账面市值比风险收益4/26/20224/26/20224/26/20224/26/20224/26/20224/26/20224/26/2022