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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

  1. 1. . . +WEB (Tokyo.Webmining #7) 2010/09/26
  2. 2. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  3. 3. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  4. 4. ID : yokkuns : : Web http://twitter.com/yokkuns / / NLP/ / / C/C++/Perl/Ruby/PHP/R/JS/JAVA/Android
  5. 5. - 1 R Tokyo.R http://groups.google.co.jp/group/r-study-tokyo
  6. 6. - 2 http://groups.google.co.jp/group/grinning-math
  7. 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. 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. 9. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  10. 10. 1 .
  11. 11. 1 . 2 .
  12. 12. 1 . 2 . 3 .
  13. 13. 1 . 2 . 3 .
  14. 14. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  15. 15. ( )
  16. 16. ( )
  17. 17. ( )
  18. 18. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  19. 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. 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. 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. 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. 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. 24. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  25. 25. CAPM r p = βr M + ϵ p
  26. 26. TOPIX 0
  27. 27. TOPIX 0
  28. 28. TOPIX 0
  29. 29. TOPIX 0
  30. 30. TOPIX 0
  31. 31. TOPIX 0
  32. 32. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  33. 33. 2 A- B = + A-( + B) = A- B
  34. 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. 35. A B β r A − r B = rµ (β A − β B ) + ϵ A − ϵ B = ϵ A − ϵB
  36. 36. R 4 + 4
  37. 37. R -
  38. 38. R -
  39. 39. R -
  40. 40. . 1 2 2 3 . .
  41. 41. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  42. 42. R Tokyo.R#10
  43. 43. AGENDA . 1 . 2 3 . 4 . 5 CAPM 6 R . 7
  44. 44. I II ( ) ( ) R

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