Tokyowebmining07 初めてでも分かるヘッジファンド入門
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Tokyowebmining07 初めてでも分かるヘッジファンド入門

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  • 1. . . +WEB (Tokyo.Webmining #7) 2010/09/26
  • 2. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 3. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 4. ID : yokkuns : : Web http://twitter.com/yokkuns / / NLP/ / / C/C++/Perl/Ruby/PHP/R/JS/JAVA/Android
  • 5. - 1 R Tokyo.R http://groups.google.co.jp/group/r-study-tokyo
  • 6. - 2 http://groups.google.co.jp/group/grinning-math
  • 7. - PRML 2010.09.11 RPML 13.3 13.3.3 9 R R II 2010.09.19 Tokyo.R#09 4 7 2010.09.25 +WEB Tokyo.Webmining#7
  • 8. - PRML 2010.09.11 RPML 13.3 13.3.3 9 R R II 2010.09.19 Tokyo.R#09 4 7 2010.09.25 +WEB Tokyo.Webmining#7
  • 9. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 10. 1 .
  • 11. 1 . 2 .
  • 12. 1 . 2 . 3 .
  • 13. 1 . 2 . 3 .
  • 14. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 15. ( )
  • 16. ( )
  • 17. ( )
  • 18. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 19. 1 1 1 1 × 100 · · 50 = 75 × 120 · · 40 = 80 2 2 2 2 √ √ 1 1 1 1 · (100 − 75)2 + · (50 − 75)2 = 25 · (120 − 80)2 + · (40 − 80)2 = 40 2 2 2 2
  • 20. 1 1 1 1 × 100 · · 50 = 75 × 120 · · 40 = 80 2 2 2 2 √ √ 1 1 1 1 · (100 − 75)2 + · (50 − 75)2 = 25 · (120 − 80)2 + · (40 − 80)2 = 40 2 2 2 2
  • 21. 1 1 1 1 × 100 · · 50 = 75 × 120 · · 40 = 80 2 2 2 2 √ √ 1 1 1 1 · (100 − 75)2 + · (50 − 75)2 = 25 · (120 − 80)2 + · (40 − 80)2 = 40 2 2 2 2
  • 22. 1 1 1 1 × 100 · · 50 = 75 × 120 · · 40 = 80 2 2 2 2 √ √ 1 1 1 1 · (100 − 75)2 + · (50 − 75)2 = 25 · (120 − 80)2 + · (40 − 80)2 = 40 2 2 2 2
  • 23. . 1 : X1 R = −1 X0 2 : 1 ∑ N . Rµ = Ri N i=1 3 : 1 ∑ N σ = (Ri − Rµ )2 N i=1
  • 24. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 25. CAPM r p = βr M + ϵ p
  • 26. TOPIX 0
  • 27. TOPIX 0
  • 28. TOPIX 0
  • 29. TOPIX 0
  • 30. TOPIX 0
  • 31. TOPIX 0
  • 32. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 33. 2 A- B = + A-( + B) = A- B
  • 34. CAPM A B r A = β A rµ + ϵ A r B = β B rµ + ϵ B A B r A − r B = β A rµ + ϵ A − (β B rµ + ϵ B )
  • 35. A B β r A − r B = rµ (β A − β B ) + ϵ A − ϵ B = ϵ A − ϵB
  • 36. R 4 + 4
  • 37. R -
  • 38. R -
  • 39. R -
  • 40. . 1 2 2 3 . .
  • 41. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 42. R Tokyo.R#10
  • 43. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 44. I II ( ) ( ) R