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Analiza ryzyka zwrotu z wybranej firmy BSE AUTO

Analiza ryzyka zwrotu z wybranej firmy BSE AUTO


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About the Book

Prezentujemy model rynku finansowego, w którym niedojrzala dywersyfikacja, oparta po prostu na wielkości portfela i uzyskana w konsekwencji prawa dużej liczby podmiotów, odróżnia się od efektywnej dywersyfikacji, opartej na analizie średniej zmienności. Rozróżnienie to daje w rezultacie formulę wyceny obejmującą jedynie istotne ryzyko związane ze stopą zwrotu z aktywów, w której calkowite ryzyko może zostac rozlożone na częśc systematyczną i niesystematyczną, jak w teorii wyceny arbitrażu, a częśc systematyczna - na częśc istotną i nieistotną, jak w modelu wyceny kapitalu i aktywów. Obie te te teorie są zatem ujednolicone, a ich poszczególne formuly wyceny aktywów okazaly się równoważne z powszechną ekonomiczną zasadą braku arbitrażu. Obydwie teorie są w ten sposób ujednolicone, a ich indywidualne formuly wyceny aktywów okazaly się równoważne z wszechobecną ekonomiczną zasadą braku arbitrażu. Czynniki modelu są endogenicznie dobierane przez procedurę analogiczną do ekspansji stochastycznych procesów z Karhunen-Loéve w czasie ciąglym; posiada on optymalną wlaściwośc uzasadniającą wykorzystanie stosunkowo niewielkiej ich liczby do opisania podstawowych struktur korelacji.


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Product Details
  • ISBN-13: 9786200951120
  • Publisher: KS Omniscriptum Publishing
  • Publisher Imprint: Sciencia Scripts
  • Height: 229 mm
  • No of Pages: 76
  • Spine Width: 5 mm
  • Width: 152 mm
  • ISBN-10: 6200951128
  • Publisher Date: 26 May 2020
  • Binding: Paperback
  • Language: Polish
  • Returnable: N
  • Weight: 172 gr


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Analiza ryzyka zwrotu z wybranej firmy BSE AUTO
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Analiza ryzyka zwrotu z wybranej firmy BSE AUTO
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