模型下组合的期望收益率与风险 Ri=a+B,Rm 期望值 一一一一一一学一一一一一一一一 =El(a,+B,R +e,)-(a;+B,Rm) =ELB,(R -Rm)+e 方差 -B2E(R-Rm)2+2B,[e,(R-Rm)]+E(e2) =B2E(Rn-Rm)）P+Ee2) -B2om +a O,=(R-R)R-R)] 协方差 =(B,(Rm-Rm）+e)(B(Rm-Rm)+e〗 B.B E(R -Rm)2+B,Ele,(R -R)]+B,Ele (R -Rm)]+E(e,e) = BB.Ri   i   i R m 2 2 2 2 2 2 2 2 2 2 2 2 ( ) ( ) ( ) 2 [ ( )] ( ) [ ( ) ] [( ) ( )] i m ei i m m i i m m i i m m i i m m i i i i m i i i m E R R E e E R R e R R E e E R R e E R e R                               2 2 ( ) [ ( )] [ ( )] ( ) [( ( ) )( ( ) )] [( )( )] i j m i j m m j i m m i j m m i j i m m i j m m j j j j ij i E R R E e R R E e R R E e e E R R e R R e E R R R R                           期望值 方差 协方差