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

  • . . +WEB (Tokyo.Webmining #7) 2010/09/26
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • ID : yokkuns : : Web http://twitter.com/yokkuns / / NLP/ / / C/C++/Perl/Ruby/PHP/R/JS/JAVA/Android
  • - 1 R Tokyo.R http://groups.google.co.jp/group/r-study-tokyo
  • - 2 http://groups.google.co.jp/group/grinning-math
  • - 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
  • - 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
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 1 .
  • 1 . 2 .
  • 1 . 2 . 3 .
  • 1 . 2 . 3 .
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • ( )
  • ( )
  • ( )
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 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
  • 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
  • 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
  • 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
  • . 1 : X1 R = −1 X0 2 : 1 ∑ N . Rµ = Ri N i=1 3 : 1 ∑ N σ = (Ri − Rµ )2 N i=1
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • CAPM r p = βr M + ϵ p
  • TOPIX 0
  • TOPIX 0
  • TOPIX 0
  • TOPIX 0
  • TOPIX 0
  • TOPIX 0
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • 2 A- B = + A-( + B) = A- B
  • 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 )
  • A B β r A − r B = rµ (β A − β B ) + ϵ A − ϵ B = ϵ A − ϵB
  • R 4 + 4
  • R -
  • R -
  • R -
  • . 1 2 2 3 . .
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • R Tokyo.R#10
  • AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  • I II ( ) ( ) R