06546181 06546065

03540162 06546154
01

02

03

CONTENTS




1
2
3
4
5


1.
2.

[1 + 1 0 d + 1 ]

0 d



1.

2.

3.

$
S1 ( $ )
$ [1 + 1 0 d + 1 ]
0 ( $ )

NT$ NT$
S1 ( ):/ S0 ( ):/
$ $

0 d


S1 /S0 =S+1 S

1.S < [1 + 1 0 d + 1 ] -[1 + 1 0 d + 1 ]

2. S > [1 + 1 0 d + 1 ] -[1 + 1 0 d + 1 ]

1. d + d + +
d + d + +

2.d + d + +


d =5% =6% 0 = =15%
d =3% = 9%0 =30% = 15%
S0 = NT$25 S1 =NT$24.5


sharpe
Sharpe
Sharpe

Rf
Sharpem =

Rf
Sharpe SI =
I


R f

I

Sharpe
Rf Rf
S = S I m = - >0
I


123
S 12 + 2
S 13 + 3

2 :
3 :
S12 /
S13 :/

= 1 1 + 2 S12 + 2 + 3 S13 + 3

1 : 1 2 3


1. Var(S 12)Var(S 13
2. Cov S12 S13
3.
1.

2.

Solnik1974


1.

2.

(0160707)


1n

[1 + 1 0 + 1 ]

1n

S
[1 + 1 0 + 1 ]
0

= = 0 =

= S =n
1

1 + 1 0 + 1 > (1 + )[1 + 1 0 + 1 ]

[1 + 1 0 + 1 ] [1 + 1 0 + 1 ]
<
1 + [1 + 1 0 + 1 ]
< [1 + 1 0 + 1 ] [1 + 1 0 + 1 ]

1 0 + 1 < 1 0 + 1 +


()

()

()

P = + 1 1 + 2 2 + 3 3 +

P =t
1 =t
2 =t
3 =t
1.

2.
3.
4.
:
2

H=
1 2

2

=
2
=
2 =



(Segmented)

1. ()


(BH)
 2.

(Purchasing Power ParityPPP)

 (Intergrated)
(PPP)
()

= , + , ,

=
, =
, =


(Not Fully Segmented)
(Not Fully Intergrated)


Meric (1989)

()



JacquillatSolmik (1978) 9






1.

2.2000


 :
1.
2.
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