Asset Pricing
Asset Pricing
_+T
Putct *q e
-Tff"a-
Yeak<
+ &Lc-P-r;.sitrr^:
# F*uA
[n a. rt/^*s
Z ?ao* s
L<fA4<E A s'T^+lDJ)
@ Wu *t.- r.isk $ck {eaarda-d,.
ll-
A+593t
E(?.',.\ - f,+y
$.tk-t {t
6{
./.?"/kt . I t.-rry'1.
6 Akb/ q"-a &.-l d ag-g xz ?
LPt? H
E(f 4s 1/s, d
{?/ ,l^a-,
S'rsTE t4*T la Rt<x I eJl,-a,*a,a . 8 La- uunAt-y
$ to, ooo
8*
(a)
4 is*Er-At-t >*Ttonv
O Por,ae,- &-,fi aC") ? f' o1d< t
@9+tF'l Zoz:ceiYe- ?
Gx !- r(=6
c_
il(c) = #
t-t'
A
*{
tl.rcc) = c-
v(C)= ELUJ
tn a* = L{-t^} ha L (c:a') t trL\') Fl-i L C": E
* tr^e. f, + tr" b .l Or,?rr".d | ,L
=L L^ 4-b = t. Lqr, Y>-
=Y c* =(sb)Y-
fitaa EC") =
p*;,k *er*;ur, = eCc)-C*
&.x e a<d<l
ft fi^d c* u Ccj ) = ELv-1
L !t-5
(ox; t-x o<v<l
=
t-Y
As{ = u(o) Przv Lr-*") * u(D wuc=,
2- 1&) +*cDJ & [_o'-a "'"''J
9r
.L c*
Lt* Or-r/* g-v l (
J.s htl- <.n\ Ct ,tt tg L'
la1n b= { torooo k r* Y
k'+ {oooo ?a L= ggb'=4aozf:
loo
o<P<
Ll+s = LL(c'): c^
eg,a5 = efq = ,"t-tl-) Pvoa (c-o) +vAL) &ou Lc--u.
= a- fr-P)+ bP
E(c') = c- Anru (c=a) + bfl-r.(c*t) -- a fi-P)* bP
+ p(.,) = Ee) -- Lk
D
ft ,sn PeEwt u,.-l -- ECc) -c' = O <.T Iuu
+ Ln'= ^k\l
Wl.a^ P**a.(r,li = E Cc*) - c" -
o<{<l
= V(vJ
c*
('v)
=l L* r+F K.t-f -r 7
l-t. r K-t
= a,Cr-P)+bP
F a-+ F(1""$
.t-o S-<c) -- a.- ' E (u)= uCo)
P* L2
€ C*) : \- L"(c) + t'{ b)J
P= 1
te.Le) * b
uro
uP
?+y
Uta
e. C Bcc) b
Fro
l\i,* vtc*) =- E(u
+ r.r fe" ) = tt(") (r - o) + *Lu) ' o
* r-t(a_) (F: <f." 1
r-o) * t, to
o E.( L-} *c
e la * b =' o
R{ *k- 9raoi.r,,. -
h. Po Di.v,t
P^ rt-
Q"ttr) fu+ ai
gr)
.ne4utr.v .fu
= tr- Lrt
\r = :ti. (r +R.u)
=lfr+fzr--"+fr
. -'. Le+ f Co;f) = Kr*t+i-Peznod roE reJ.-rrr- ove.n .LoiI] = nr+rz+- -'+1f1 = L'rt
re
Nor,n, ff : &;L fr<- L{-er<<f t.,\F
Bt = Broa v^.t^t at t=I -- Bodf
B:= Band vnlrc-^t t'-L = s'#= (uod*)oa =Bofl
- *^.-, ; t""u- r*"r" +xns .|+. T) fi'a yee.Tg Dotzl I
- =t^(g;lg0= htP:""a)=zr*
o., F+r t=:T , tot*l reltrrn, ( ,.e. .r ,.2(o.vn) = T" q
+ Nozr .fru, tLw+ya,U pryub = h*, art (T.rq |. :f"o I x<o O1.t"- X= lf,r-Trf
€)<cr-gs re,Pu-rp i,a slo& [,ta rre*rrrx ore*Q a.,I,rr're. .+'l,..c Trq4( be*o)"lrLa.k
7 - 4,7 =(p-Tr)'r
v(x) : vC5-rt-T,<r4): v 1rr)+V(frvr)a -ZLat (Zr.,f.yf)
Tx T,1 is <errrSla,a{ =) V S,r+)= Cov !.rp,Trf
=) VCx = str
lk \24- / Kfi-, N lr-r+)Trs*T
S-a 6 xcoto =Pr-,a x -G-q)r $'r+
-
'A-t/4-Q- 6sa ) sA-
i+ (,rEa) 9e- + - qse < - sQ :) -6<'tzfr ( -se..I-r
+ NCas€\rr) ( N(-5nv-r)
lleae-a , Shrrfl-fet! qpucJo!.u\ ,;$u ac lazoaru rL c"Sc S sh<Dc-harh^<, ba-ntl^r+-4^-Q.
= t14 (o.s
6.1o
ib v.J'^s-s ;^ P,PrS
o,2a
= N\ (- {g -'33 I \
" N (-tt')
&r1e-v- , *{f) , QUr- (Ze
9( e?t 4t |ca 4 Fe-s P = N - fl C qsft,tG)
f"- e o(e(t ,bfi Bco 9FRs?. N(-
u€
w
4> *,b
+o
?Ag? *>o a.a T+a L ru t+(-r)) *+ c.r (-*) + o ]
g@
R^4 Tx ,tLa^., tres P is rr\^X
* ltox tt(-t(r))
'"c.y.E T-
=> nqn {-(r) H.Y.t T
-f 'cr) =/P"_ t t ;i * lrvru \ r_
7lz
f ?o + *.=-L+, 1
)T*= 0'e t o*Q
1"6€ Y(e
Tx = -
d;n
tse- Lr,,gr,r +r"rt- F.,rau I Z 3 1y Dra)*- u-q Z I =q
ri r'co) fe
+ }Tn =QF)* *. _T AT
t{-'Co)
Ve) I