Transcription of FTSEシニアアドバイザー 加藤康之 ボラティリティと資産運 …
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FTSEシニアアドバイザー 加藤康之 ボラティリティと資産運 …
2 FTSE . 2013 8 23 .. FTSE .. Page 2 2 FTSE .. Page 3 2 FTSE .. E (rM ) rf . M.. E rp .. E (rM ) .. rf .. M p . Page 4 2 FTSE .. Fama&French 1992 .. Schwartz(2000) & 1992 .. Fama, Eugene F., Kenneth R. French(1992), The Cross-Section of Expected Returns, Journal of Finance, Vol. 47 , pp. 427-465. Schwartz T., 2000, How to beat the S&P 500 with portfolio optimization, working paper, DePaul University 1992 TOPIX Page 5 2 FTSE .. Fama&French 1993 . Charhart(1997) . Haugen&Baker(1996) .. - Fama, E. F., French, K. R., risk factors in the returns on stocks and of - Financial Economics 33, 3 56. - Carhart, M.
Page 2 第2回FTSEインデックスアカデミー 本日の内容 •投資理論の進展とスマートベータ •ボラティリティをめぐる最近の研究から •低ボラティリティインデックスの比較
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