(Capital asset pricing model) p · 2016. 5. 24. · Oalbe U oOllecy Oalbe Ila UlloeclUU lUopurue ....
Transcript of (Capital asset pricing model) p · 2016. 5. 24. · Oalbe U oOllecy Oalbe Ila UlloeclUU lUopurue ....
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2 I -2 0 -22 I -065 0422 +143
3 0 +2 -02 +135 1822 +-027
4 +4 +1 +38 +035 0122 +133
5 +4 +2 +38 +135 1822 +513
6 +5 - I +48 -65 2722 +792
7 -4 +2 -42 +135 1822 -567
8 -7 +1 I
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B 025 100 015 100
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n 020 l30 040 110
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~6 = =(0IOxO70) + (0 15xI00) + (025xO70) + + (0 IOxO70) + (040xll0) = =0070 + 0150 + 0175 + + 0070 + 0440 =0905 091
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ce pewaBaaT np06JIeMIiTe Ha eKOHOMlfjaTa H Aa ce OnpeAeJIH AP)i(ltiBHaTa eKOHOMCKa nOJIHTHKa IloBeKeTo OA np06neMflTe co
KOH ce 3aHHMaBa ce nOBp3aHH co 3aeMHaTa 3aBHCHOCT Ha eKOHOMCKHTe OAHOCH Toj ro KOPllCTlI MeTOAoT Ha HCToBpeMeHCl
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n pOYLJYBalbe Ha TeopHjaTa Ha eKOHOMCKaTa eBOJIytlIja (1954) rH pa3pa6oTYBa MO)l(HHTe npHIHHlI 3a eKOHOMCKOTO 3aOCTashy
Hysatbe lIa HopBeiliKa BO cnopeA6a co APyrn 3eMjH H AaBa Ba)l(eH npH)loHec 80 TeoplIjaTa Ha eKOHOMCKHOT pa3BHToK RerOBashy
T8 KHlira ITpOYIYBalbe Ha reopHjaTa Ha HRBeCTHpalbeTO ~ (1960) npeTCTBByna cymTeCTDeH npHAOHec DO Teopl1j aTa Ha HHBecshy
THpaHgteTO H nOKOHKpeTRO ro pa3rJIeAYBa 11 ro aHaJIR31rpa Pll3BI11OKOT la HHBeCnu~IDITe BO 3eMjaTa XaBeJlMO paOOTI1 II BO
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XaoenMO e In eH H3 HopDeIllK3Ta aKaAeMMja Ha HaYKHTe R3 )JaHCKaTa aKaAeM8ja Ha HayKHTe nOIeCeH IJIeH H3
AMepmltaBCKaTa eKOHOMCK3 aCOLHjaLl1ja I npeTceA3Ten Ha EKOHOMe1pfftlKOTO 3APY)leHHe BO 1957 rOAlili3
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IToKpaj HaBeAeHaTa cpOpMYJIa 3a npeCMeshyTYBal-be Ha ~-6eTa KOecpHlHeHTOT Ha nOpTcpOJJHOTO ce CpeKaBaaT H APYrH CPOPMYJIH 3a npeCMeTYBal-be Ha ~-6eTa Ha ceKoja nOeAHHetma HHBeCTHlHja EAshyHa OA HajBa)f(HHTe paBeHKH 3a npeCMeTYBal-be Ha ~shy6eTa KOecpHlHeHTOT e CJIeAHaTa
COY (fA fm)
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00
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rA - pH3HK Ha HHBecTHuHjaTa rm - pH3HK Ha na3apOT 8m2
- OTCTanYBal-baTa OA npOCelHHTe ABH)f(el-ba Ha na3apOT nOAHrHaTO Ha KBaApaT yA - npeTcTaBYBa npOCeleH npHHoc Ha HHBeCTHuHshyjaTa A ym - npeTCTaBYBa npOCeleH npHHoc Ha na3apoT T - npeTcTaBYBa BpeMe yLA - npeTcTaBYBa npHHoc OA HHBecTHuHjaTa A BO BpeMeHcKH liHTepBaJI OA T =1 AO T =00
ytm - npeTCTaBYBa na3apeH npHHoc BO BpeMeHcKu HHTepBaJI OA T =1 AO T =00
Co npHMeHa Ha OBaa cpopMYJIa co nOAaTOshyuHTe WTO ce AaAeHH BO Ta6eJIaTa Ke ro npeCMeTaMe ~-6eTa KoecpuuHeHTOT Ha eAHa HHBecTHuHja A BO OAHOC Ha rraJapoT
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aT BpeAHOCT OA 05-2 BpeAHocTHTe OA 05-2 HHTepshyBaJJ co n03HTHBHH ~ - 6eTa KoecpHuHeHTH 03HalYshyBaaT HCT npaBeu Ha ABH)f(el-be Ha na3apHHoT 6eTa KoecpHuHeHT Co Toa WTO aKO ~ 6eTa KoecpHuHeHshyTOT A06He BpeAHoCT 2 Toa 3HalH AeKa oAroBapa Ha ceKoja npoMeHa Ha na3apHHoT 6eTa KoecpHuHeHT 3a 1 6eTa KoecpHuHeHToT Ha nopTcpOJIHOTO ce MeshyHYBa 3a 2 BpeAHoCTa 3a ~=1 360pYBa 3a eAHaKBO pearHpal-be KaKO H BpeAHocTHTe WTO rH A06HBa nashy3apHHOT ~ KoecpHuHeHT IloAeKa BpeAHOCTa 05 Ha ~ KoecpHuHeHToT Ha nopTcpOJIHOTO ynaTYBa Ha KOHshyCTaTauHja AeKa caMO 3a nOJIOBHHa OA oCTBapeHHTe npoMeHH BO BpeAHOCTHTe Ha na3apHHoT ~ KoecpHshyuHeHT ce BpeAHocTH KOH fH A06HBa TOT Ha nopTcpOJIHOTO
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t AeHOBii yA ym yta-ya Ytm-ym ltYtA-yA)2 (YtAYA) (ytm-ym)
I +1 +15 08 +085 0722 +068
2 I -2 0 -22 I -065 0422 +143
3 0 +2 -02 +135 1822 +-027
4 +4 +1 +38 +035 0122 +133
5 +4 +2 +38 +135 1822 +513
6 +5 - I +48 -65 2722 +792
7 -4 +2 -42 +135 1822 -567
8 -7 +1 I
-72 +035 0122 -252
9 +1 -2 +08 -265 70n -212
10 0 0 -22 -065 0422 +143
+02 +065 -20 0 1702 I +734
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Kj =Rf + lBi x (Km - RO]
Kj = 6apaHiioT npHHOC 3a HMOTOT (XB HnH ]Ipy I1MOT) Rf = 6e3pH3HIHa CTanKa Ha npHHOC eAHOCTaBHlJ MepeHH no npHHOCOT Ha KpaTKOpOlJHH ]Ip)l(aBHH 06Bp3HH1H Bi =6eTa KoeltpH1HeHT HnH HH]IeKC Ha He]lHBep3HshyltpH1HpaH pH3HK 3a HMOTOT (aKTHBaTa) Km =na3apeH nplllioc O]lROCHO npHHOC 0]1 na3apshyHOTO nopTltpom-JO
011 paBeHKaTa npoH3neryBa nHHeapeH 011shy
HOC OAHOCHO ltPYHK1Hja 011 Koja npOH3nerYBa ]IeKa 6apaHJiOT npUHOC 01 HMOTOT Kj e paCTelJKa ltPYHKshy1Hja 011 Bl 6eTa KoeltpHlUIeHT CO KOj ce MepH He]lHshyBep31UlJliIJKpaHHOT pH3HK
I1MOT nop$mm A yqeCTBo
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A 015 155 010 070
B 025 100 015 100
I
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070
r 020 115 010 070
n 020 l30 040 110
BKYI1HO 100 100
~A = =(015x 155) + (025x 100) + (020x 120) + + (020x 115) + (020x 130) = =0232 + 0250 + 0240 + + 0230 + 0260 =1212 120
~6 = =(0IOxO70) + (0 15xI00) + (025xO70) + + (0 IOxO70) + (040xll0) = =0070 + 0150 + 0175 + + 0070 + 0440 =0905 091
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KaKO ABOjHO HerOBO npHABH)I(YBalbe BO OAHOC Ha npOMeHHTe Ha PH3HKOT H Ha na3apHHTe ABH)I(elba HO CO CnpOTHBHa HaCOKa
Bo BpCKa CO ~ - 6eTa KOeltp1HlUeHTOT H peshy
na1HHTe Mery ~ - 6eTa KOeltpH1HeHTOT Ha nOpTltpOshynHOTO H OHOj WTO OArOBapa Ha na3apHHOT ~ - 6eTa KOeltpH1HeHT MO)l(e Aa ce HCTaKHe AeKa AOKOnKY nOpTltpOJIHOTO COAP)l(H BO nOrOneM Aen Ha HMOT (XB) CO HHCKH ~ - 6eTa KOeltpH1HeHTH 6eTa KOeltpH-
1HeHTOT Ha nOpTltpOnHOTO Ke 6HAe HH30K H 06paTshy
HO TIpHMep Ke 3eMeMe ABe nopTltponHja A H
E KOH ce COCTaBeHH 011 no neT HMOTH (aKTHBHH) OAHOCHO XB CO npeCMeTaHlI I1HAHBllAyamm p -6eTa
KoeltpH1HeHTH
~ - 6eTa Koecpli1HeHTOT Ha nopTcpomwTo A HMa
BpeAHoCT 120 a HCTHOT KoeltpH1HeHT 3a nopTcposhynHOTO E HMa BpeAHocT 011 09l KOMeHTHpajKI1 fH
A06HeHHTe Bpe]lHOCTH Ha HaBe]leHHTe nopTltponHja jacHo npoH3nerYBa ]IeKa nOpTltPOnHOTO A H HerOBHshy
Te npHHocH ce nOlJYBCTBHTenHH Ha npoMeHHTe Ha na3apHHTe npHHocH H nOpa]lH Toa nOPH3HlJHO e 011 nopTltponHoTO E
06jacHYBalbeTo AeltpHHHpalbeTo H HHTepshynpeTHpalbeTo Ha ~ - 6eTa KoeltpH1HeHTOT KaKO MepshyKa co Koja ce MepH He]lHBep3HltpH1HpaHHOT pH3HK npaKTHlJHO KaKO KnYlJeH napaMeTap BO nOCTaByBashylbeTO Ha paBeHKaTa CAPM HH OB03MO)l(YBa ]Ia ja nOCTaBHMe H npeTcTaBHMe ltp0pMynaTa Koja ce KOshypHCTIi
Kj =Rf + lBi x (Km - RO]
Kj = 6apaHiioT npHHOC 3a HMOTOT (XB HnH ]Ipy I1MOT) Rf = 6e3pH3HIHa CTanKa Ha npHHOC eAHOCTaBHlJ MepeHH no npHHOCOT Ha KpaTKOpOlJHH ]Ip)l(aBHH 06Bp3HH1H Bi =6eTa KoeltpH1HeHT HnH HH]IeKC Ha He]lHBep3HshyltpH1HpaH pH3HK 3a HMOTOT (aKTHBaTa) Km =na3apeH nplllioc O]lROCHO npHHOC 0]1 na3apshyHOTO nopTltpom-JO
011 paBeHKaTa npoH3neryBa nHHeapeH 011shy
HOC OAHOCHO ltPYHK1Hja 011 Koja npOH3nerYBa ]IeKa 6apaHJiOT npUHOC 01 HMOTOT Kj e paCTelJKa ltPYHKshy1Hja 011 Bl 6eTa KoeltpHlUIeHT CO KOj ce MepH He]lHshyBep31UlJliIJKpaHHOT pH3HK
I1MOT nop$mm A yqeCTBo
BeTa KoeqHn~eHT
nOp$nHO B lecrBo
BeTa KoeqlHuHeHT
A 015 155 010 070
B 025 100 015 100
I
B 020 120 025 I
070
r 020 115 010 070
n 020 l30 040 110
BKYI1HO 100 100
~A = =(015x 155) + (025x 100) + (020x 120) + + (020x 115) + (020x 130) = =0232 + 0250 + 0240 + + 0230 + 0260 =1212 120
~6 = =(0IOxO70) + (0 15xI00) + (025xO70) + + (0 IOxO70) + (040xll0) = =0070 + 0150 + 0175 + + 0070 + 0440 =0905 091
CPopMynaTa co Koja ce AeltpHHHpa CAPM 3a rrp01eHKa Ha 6Hno KOj HMOT (gCHOBHH Cpe]lCTBa
onpeMa 0~p3HH1a ~KQllj a H~BeCTH1Hja-HilH~pltshy~KT) MO)l(e Aa ce nOAenH Ha ]IBa ]lena H ceKojO]l HHB npeTCTaBYBa H3]1BOeHa 1enHHa H Toa
TIPBHOT ]len KOj ce HAeHTHltpHKYBa caMO co Rf WTO npeTCTaBYBa 6e3pH3HlHa npHHOCHa CTanKa ]IO]leKa BTOPHOT ]len CO ltpopMynaTa O]lHOCHO paBeHshyKaTa MO)l(e ]Ia ce npeTCTaBH co Bjx(Km-RI) - rrpeMHH
3a PH3HKOT O]lHOCHO rra3apHa rrpe~1Hja 3a PH3HKOT Toa 3HalH ]IeKa BpeAHocTa WTO ce A06HBa CO HaBeshy
10
AeHHOT H3pa3 npeTCTaBYBa npeMHja 3a HHBeCTHTOshy
pOT lllTO TPe6a Aa A06He 3a npe3eMeHHOT npOCeleH
H3HOC Ha plBHK lllTO ce COAP)l(H BO XOJIAHHroT Ha
HMOTH (CpeACTBa) lllTO COOABeTCTBYBaaT Ha na3apshy
HOTO nOpTltpOJIHO
ITpHMeHaTa Ha CAPM nOApa36Hpa nOlHshy
TYBalbe Ha HeKOJIKY OCHOBHH npeTnOCTaBKH
a) I1HBecTHTopHTe ce pa3JIHKYBaaT no
06eMOT Ha cpeACTBaTa CO KOH pacnOJIaraaT 3a HHshy
BeCTHpalbe H no OAHOC Ha HHBHaTa npHnaAHOCT OA
acneKT Ha HHBHHOT OAHOC KOH PH3HKOT
6) I1HBeCTHTopHTe ce jaBYBaaT KaKO KOHshy
cYMeHTH Ha leHH HO H TaKBH KOH BJIHjaaT Ha npaBeshy
be Ha BeHH (price takers H price makers)
B) CHTe HHBeCTlITOpH HMaaT HCT HHBeCTHshy
lHOHeH XOPH30HT
r) CHTe HHBeCTHTopH pacnOJIaraaT co HCshy
TH HHcjgtopMalHCKH H npHMeHYBaaT HCTH aHaJIH3H
A) ITPOcjgtHTOT He ce OAaHOlYBa H AeKa 6epshy
3aTa He HanJIaTYBa npoBH3Hja 3a H3BpllleHHTe TpaHshy
caKlHH
f) I1HBecTHTopHTe ce palHOHaJIHH H AeKa
npeTnOlHTYBaaT Aa rH onTHMH3HpaaT HHBeCTHlHHshy
Te H npocjgtHTHTe
e) BKynHHOT HHBeCTHlHOHeH yHHBep3YM e
HajMaJIKY pH3HIeH H npeTCTaBYBa OnTHMaJIHO ecjgtHshy
KaCHO nopTcjgtOJIHO lllTO e eAHaKBO Ha na3apHOTO
MHBECTHUHH
nopTcjgtOJIHO Koe ce CMeTa 3a OnTHMaJIHO ecjgtHKaCHO
nopTcjgtOJIHO
)I() ITpeTnoCTaBKa Ha XOMoreHH HCIeKYBashy
Iba lllTO COOABeTCTBYBa Ha ecjgtHKaceH na3ap CAPM -20
ITpHcjgtaKajKH H nOlHTYBajKH ro cjgtaKTOT
lllTO na3apHOTO nopTcjgtOJIHO e OHa OnTHMaJIHOTO o6jaCllY6a nopTcjgtOJIHO HY)I(HO ynaTYBa Ha cjgtaKTOT AeKa BO A
TaKBOTO nopTcjgtOJIHO e nOCTHrHaT OnTHMaJIeH OA_fJulleCY6ashyHOC Mefy npeMHjaTa H PH3HKOT lbelUO
ITpHcjgtaKajKH OApeAeHa CJI060Aa 3a HerOBO
CJIHIHO HJIH Haj6JIHCKO HerOBO npeCJIHKYBalbe CO lla AocerawHHTe MOAeJIH KOH Ii ce n03HaTH Ha COBpe-
MeHaTa cjgtHHaHCHCKa eKoHoMHja HeABoj6eHo e AeKa lIellUlUe CAPM e npeCJIHKaH OAHOCHO Haj6JIH30K My e MOAe- lla x 6 U JIOT Ha nopTcjgtOJIHO H360p H3pa6OTeH OA Harry Marshykowitz llU6110lUO
Bo OCHOBa OBOj MOAeJI (CAPM) H nOKpaj 6lujallue 3a6eJIelllKHTe lllTO My ce ynaTYBaaT 3a HeroBoTo
nOTnHpalbe Ha HCTOPHCKH nOAaTOlH Bp3 1Hja OC- 6p3 6KYUshyHOBa ce OleHYBa HCnOJIHYBalbeTO Ha 6apaHHOT npH- llUOlU HOC AaBa 06jaCHYBalbe 3a 0AHeCYBalbeTO Ha leHHTe
Ha xapTHHTe OA BpeAHOCT H 06e36eAYBa MexaHH3aM PU3UK U CO KOj HHBeCTHTopHTe MO)l(aT Aa ro npOleHaT BJIHshy
jaHHeTo Ha xapTHHTe OA BpeAHOCT oncjgtaTeHH BO UPUllOC HHBHHTe nopTcjgtOJIHja Bp3 BKynHHoT pH3HK H npH-
HOCOT [J
HOOeAObllu bull EkolloMuja
XABEJIMO Tplfrne (13 AeKeMBpH 1911 lllKeAcMo HopBelllKa) HopBelllKH eKOHOMlICT A0611THlIK Ha H06enoBaTa MeMOpHshy
janHa RarpaAa 3a eKOHOMCKH HayxH BO 1989 rOAHHa 3a TOJIK)BalbeTo Ha OCHOBlITe Ha TeoplIjaTa Ha BepojaTHOCTIITe BO
eKOHOMeTPlIjaTa 3a aHan1l3a Ha eAHoBpeMeHcKlITe eKOHOMCKH CTPYKTypH KaKO H 3a C03AaBalbe Ha onlllI KOHleDlIiCKU CBCshy
TeM 3a cjgtOpMYJIHpalbe 11 pelllaBalbe Ha eKoHoMe1pHIKlITe np06JIeMH
3aBplllHJI nOJIHTHIKa eKoHoMlIja Ha YHHBep3HTeTOT BO DCJIO (1933) H OA 1933 AO 1938 roAHHa Ha nOKaua OA PazlIap CPpuw e Ha3HaleH 3a aClICTeRT HCTpagtK)Bal BO HOBooTBopeHlIoT EKOHOMCKlI HHCTlITYT npll YHHBep311TeToT Bo nOleTOKOT
Ha BTopaTa CBeTCKa BojHa 3aMHHYBa BO CA)J KaAe mTO Ha XapBapAcKHoT YHlIBep3HTeT BO KeM6pllll MacalYceTC (1941) ja
6paRH AOKTOpCKaTa AlICepTallIja BepojaTeH npHTanBO eKoHoMeTpHjaTa Bo 1945 rOAHHa e TproBCKO aTallle Ha HopoewKa
BO BalllllHITOH no lllTO pa60TlI KaKO lICTpagtK)Bal BO KOMHcHjaTa 3a eKOHOMCKlI HCTpagtK)Balba KaYJIc (1 946-47) n OToa ce
BpaKa BO HopBelllKa 11 eARa rOAlIHa nOAOlHa e 1I36paH 3a npo cjgtecop no eKoHoMHja Ha YRHBep311TeTOT BO Dena - AO rreH3Bshy
oHHpalbeTo BO 1979 rOAlIHa
Bo AlICepTallIjaTa H BO HeKOM nOAOlHe)l(HI1 TPYAOBlI X aBellMO co ClIKJIYltJlITeJIHa CTaTIICTBllKa TeXHnt(a pa3BHB8
eKoHOMeTpHIKlI MOAeJIlI KOH MO)i(aT Aa 6HAaT HCKopllCTeHH3a 0leHKa H npoBepKa Ha eKOHOMCKHTe Teoprm H 3a rrporshy
H03Hpalbe Ha eKOHOMCKlIOT pa3BHToK Toj AOKa)I(YBaAeKa npeKYCTaTHcTlIIKaTa TeopHja Ha BepojaTHOCTa MO)i(8T co ycnex A8
ce pewaBaaT np06JIeMIiTe Ha eKOHOMlfjaTa H Aa ce OnpeAeJIH AP)i(ltiBHaTa eKOHOMCKa nOJIHTHKa IloBeKeTo OA np06neMflTe co
KOH ce 3aHHMaBa ce nOBp3aHH co 3aeMHaTa 3aBHCHOCT Ha eKOHOMCKHTe OAHOCH Toj ro KOPllCTlI MeTOAoT Ha HCToBpeMeHCl
OleHKa Ha 3aeMHO nOBp3aHlITe MOAeJIlI Haofa MeTOA 3a H3MepYBalbe Ha H30JIlIpaHH OleHKlI Ha lIHAHBHAyaJIHHTe OAHOCH BO
eAeH 3aeMHO nOBp3aH CHCTeM Co TlIe pa3pa60TKlI XaBeJIMO rH CTaBa OCRODHTe Ha BepojaTHOHaTa eKOHOMe1pHja Bo KIDlraT8
n pOYLJYBalbe Ha TeopHjaTa Ha eKOHOMCKaTa eBOJIytlIja (1954) rH pa3pa6oTYBa MO)l(HHTe npHIHHlI 3a eKOHOMCKOTO 3aOCTashy
Hysatbe lIa HopBeiliKa BO cnopeA6a co APyrn 3eMjH H AaBa Ba)l(eH npH)loHec 80 TeoplIjaTa Ha eKOHOMCKHOT pa3BHToK RerOBashy
T8 KHlira ITpOYIYBalbe Ha reopHjaTa Ha HRBeCTHpalbeTO ~ (1960) npeTCTBByna cymTeCTDeH npHAOHec DO Teopl1j aTa Ha HHBecshy
THpaHgteTO H nOKOHKpeTRO ro pa3rJIeAYBa 11 ro aHaJIR31rpa Pll3BI11OKOT la HHBeCnu~IDITe BO 3eMjaTa XaBeJlMO paOOTI1 II BO
APyrn OOn3CTlI H3 eKoHoMlIjaTa - aH8J1H3a Ha MaxpoeKOHOMCJUlTe cjgtJI)KTyalI1H cpHCKaJJHara nOmlTJlKCl TeOp~ljaTa H3 leHHTe
Ii lICTopujaTa H3 eKOHOMCK3Ta MHCJIa
XaoenMO e In eH H3 HopDeIllK3Ta aKaAeMMja Ha HaYKHTe R3 )JaHCKaTa aKaAeM8ja Ha HayKHTe nOIeCeH IJIeH H3
AMepmltaBCKaTa eKOHOMCK3 aCOLHjaLl1ja I npeTceA3Ten Ha EKOHOMe1pfftlKOTO 3APY)leHHe BO 1957 rOAlili3
JYHI1 1999 11
AeHHOT H3pa3 npeTCTaBYBa npeMHja 3a HHBeCTHTOshy
pOT lllTO TPe6a Aa A06He 3a npe3eMeHHOT npOCeleH
H3HOC Ha plBHK lllTO ce COAP)l(H BO XOJIAHHroT Ha
HMOTH (CpeACTBa) lllTO COOABeTCTBYBaaT Ha na3apshy
HOTO nOpTltpOJIHO
ITpHMeHaTa Ha CAPM nOApa36Hpa nOlHshy
TYBalbe Ha HeKOJIKY OCHOBHH npeTnOCTaBKH
a) I1HBecTHTopHTe ce pa3JIHKYBaaT no
06eMOT Ha cpeACTBaTa CO KOH pacnOJIaraaT 3a HHshy
BeCTHpalbe H no OAHOC Ha HHBHaTa npHnaAHOCT OA
acneKT Ha HHBHHOT OAHOC KOH PH3HKOT
6) I1HBeCTHTopHTe ce jaBYBaaT KaKO KOHshy
cYMeHTH Ha leHH HO H TaKBH KOH BJIHjaaT Ha npaBeshy
be Ha BeHH (price takers H price makers)
B) CHTe HHBeCTlITOpH HMaaT HCT HHBeCTHshy
lHOHeH XOPH30HT
r) CHTe HHBeCTHTopH pacnOJIaraaT co HCshy
TH HHcjgtopMalHCKH H npHMeHYBaaT HCTH aHaJIH3H
A) ITPOcjgtHTOT He ce OAaHOlYBa H AeKa 6epshy
3aTa He HanJIaTYBa npoBH3Hja 3a H3BpllleHHTe TpaHshy
caKlHH
f) I1HBecTHTopHTe ce palHOHaJIHH H AeKa
npeTnOlHTYBaaT Aa rH onTHMH3HpaaT HHBeCTHlHHshy
Te H npocjgtHTHTe
e) BKynHHOT HHBeCTHlHOHeH yHHBep3YM e
HajMaJIKY pH3HIeH H npeTCTaBYBa OnTHMaJIHO ecjgtHshy
KaCHO nopTcjgtOJIHO lllTO e eAHaKBO Ha na3apHOTO
MHBECTHUHH
nopTcjgtOJIHO Koe ce CMeTa 3a OnTHMaJIHO ecjgtHKaCHO
nopTcjgtOJIHO
)I() ITpeTnoCTaBKa Ha XOMoreHH HCIeKYBashy
Iba lllTO COOABeTCTBYBa Ha ecjgtHKaceH na3ap CAPM -20
ITpHcjgtaKajKH H nOlHTYBajKH ro cjgtaKTOT
lllTO na3apHOTO nopTcjgtOJIHO e OHa OnTHMaJIHOTO o6jaCllY6a nopTcjgtOJIHO HY)I(HO ynaTYBa Ha cjgtaKTOT AeKa BO A
TaKBOTO nopTcjgtOJIHO e nOCTHrHaT OnTHMaJIeH OA_fJulleCY6ashyHOC Mefy npeMHjaTa H PH3HKOT lbelUO
ITpHcjgtaKajKH OApeAeHa CJI060Aa 3a HerOBO
CJIHIHO HJIH Haj6JIHCKO HerOBO npeCJIHKYBalbe CO lla AocerawHHTe MOAeJIH KOH Ii ce n03HaTH Ha COBpe-
MeHaTa cjgtHHaHCHCKa eKoHoMHja HeABoj6eHo e AeKa lIellUlUe CAPM e npeCJIHKaH OAHOCHO Haj6JIH30K My e MOAe- lla x 6 U JIOT Ha nopTcjgtOJIHO H360p H3pa6OTeH OA Harry Marshykowitz llU6110lUO
Bo OCHOBa OBOj MOAeJI (CAPM) H nOKpaj 6lujallue 3a6eJIelllKHTe lllTO My ce ynaTYBaaT 3a HeroBoTo
nOTnHpalbe Ha HCTOPHCKH nOAaTOlH Bp3 1Hja OC- 6p3 6KYUshyHOBa ce OleHYBa HCnOJIHYBalbeTO Ha 6apaHHOT npH- llUOlU HOC AaBa 06jaCHYBalbe 3a 0AHeCYBalbeTO Ha leHHTe
Ha xapTHHTe OA BpeAHOCT H 06e36eAYBa MexaHH3aM PU3UK U CO KOj HHBeCTHTopHTe MO)l(aT Aa ro npOleHaT BJIHshy
jaHHeTo Ha xapTHHTe OA BpeAHOCT oncjgtaTeHH BO UPUllOC HHBHHTe nopTcjgtOJIHja Bp3 BKynHHoT pH3HK H npH-
HOCOT [J
HOOeAObllu bull EkolloMuja
XABEJIMO Tplfrne (13 AeKeMBpH 1911 lllKeAcMo HopBelllKa) HopBelllKH eKOHOMlICT A0611THlIK Ha H06enoBaTa MeMOpHshy
janHa RarpaAa 3a eKOHOMCKH HayxH BO 1989 rOAHHa 3a TOJIK)BalbeTo Ha OCHOBlITe Ha TeoplIjaTa Ha BepojaTHOCTIITe BO
eKOHOMeTPlIjaTa 3a aHan1l3a Ha eAHoBpeMeHcKlITe eKOHOMCKH CTPYKTypH KaKO H 3a C03AaBalbe Ha onlllI KOHleDlIiCKU CBCshy
TeM 3a cjgtOpMYJIHpalbe 11 pelllaBalbe Ha eKoHoMe1pHIKlITe np06JIeMH
3aBplllHJI nOJIHTHIKa eKoHoMlIja Ha YHHBep3HTeTOT BO DCJIO (1933) H OA 1933 AO 1938 roAHHa Ha nOKaua OA PazlIap CPpuw e Ha3HaleH 3a aClICTeRT HCTpagtK)Bal BO HOBooTBopeHlIoT EKOHOMCKlI HHCTlITYT npll YHHBep311TeToT Bo nOleTOKOT
Ha BTopaTa CBeTCKa BojHa 3aMHHYBa BO CA)J KaAe mTO Ha XapBapAcKHoT YHlIBep3HTeT BO KeM6pllll MacalYceTC (1941) ja
6paRH AOKTOpCKaTa AlICepTallIja BepojaTeH npHTanBO eKoHoMeTpHjaTa Bo 1945 rOAHHa e TproBCKO aTallle Ha HopoewKa
BO BalllllHITOH no lllTO pa60TlI KaKO lICTpagtK)Bal BO KOMHcHjaTa 3a eKOHOMCKlI HCTpagtK)Balba KaYJIc (1 946-47) n OToa ce
BpaKa BO HopBelllKa 11 eARa rOAlIHa nOAOlHa e 1I36paH 3a npo cjgtecop no eKoHoMHja Ha YRHBep311TeTOT BO Dena - AO rreH3Bshy
oHHpalbeTo BO 1979 rOAlIHa
Bo AlICepTallIjaTa H BO HeKOM nOAOlHe)l(HI1 TPYAOBlI X aBellMO co ClIKJIYltJlITeJIHa CTaTIICTBllKa TeXHnt(a pa3BHB8
eKoHOMeTpHIKlI MOAeJIlI KOH MO)i(aT Aa 6HAaT HCKopllCTeHH3a 0leHKa H npoBepKa Ha eKOHOMCKHTe Teoprm H 3a rrporshy
H03Hpalbe Ha eKOHOMCKlIOT pa3BHToK Toj AOKa)I(YBaAeKa npeKYCTaTHcTlIIKaTa TeopHja Ha BepojaTHOCTa MO)i(8T co ycnex A8
ce pewaBaaT np06JIeMIiTe Ha eKOHOMlfjaTa H Aa ce OnpeAeJIH AP)i(ltiBHaTa eKOHOMCKa nOJIHTHKa IloBeKeTo OA np06neMflTe co
KOH ce 3aHHMaBa ce nOBp3aHH co 3aeMHaTa 3aBHCHOCT Ha eKOHOMCKHTe OAHOCH Toj ro KOPllCTlI MeTOAoT Ha HCToBpeMeHCl
OleHKa Ha 3aeMHO nOBp3aHlITe MOAeJIlI Haofa MeTOA 3a H3MepYBalbe Ha H30JIlIpaHH OleHKlI Ha lIHAHBHAyaJIHHTe OAHOCH BO
eAeH 3aeMHO nOBp3aH CHCTeM Co TlIe pa3pa60TKlI XaBeJIMO rH CTaBa OCRODHTe Ha BepojaTHOHaTa eKOHOMe1pHja Bo KIDlraT8
n pOYLJYBalbe Ha TeopHjaTa Ha eKOHOMCKaTa eBOJIytlIja (1954) rH pa3pa6oTYBa MO)l(HHTe npHIHHlI 3a eKOHOMCKOTO 3aOCTashy
Hysatbe lIa HopBeiliKa BO cnopeA6a co APyrn 3eMjH H AaBa Ba)l(eH npH)loHec 80 TeoplIjaTa Ha eKOHOMCKHOT pa3BHToK RerOBashy
T8 KHlira ITpOYIYBalbe Ha reopHjaTa Ha HRBeCTHpalbeTO ~ (1960) npeTCTBByna cymTeCTDeH npHAOHec DO Teopl1j aTa Ha HHBecshy
THpaHgteTO H nOKOHKpeTRO ro pa3rJIeAYBa 11 ro aHaJIR31rpa Pll3BI11OKOT la HHBeCnu~IDITe BO 3eMjaTa XaBeJlMO paOOTI1 II BO
APyrn OOn3CTlI H3 eKoHoMlIjaTa - aH8J1H3a Ha MaxpoeKOHOMCJUlTe cjgtJI)KTyalI1H cpHCKaJJHara nOmlTJlKCl TeOp~ljaTa H3 leHHTe
Ii lICTopujaTa H3 eKOHOMCK3Ta MHCJIa
XaoenMO e In eH H3 HopDeIllK3Ta aKaAeMMja Ha HaYKHTe R3 )JaHCKaTa aKaAeM8ja Ha HayKHTe nOIeCeH IJIeH H3
AMepmltaBCKaTa eKOHOMCK3 aCOLHjaLl1ja I npeTceA3Ten Ha EKOHOMe1pfftlKOTO 3APY)leHHe BO 1957 rOAlili3
JYHI1 1999 11