1.1??????????????41
1.1.1????????????綨41
??1?????????????綨41
??2????????????????綨42
1.1.2??????????????????42
??1???????????????42
??2????????????????43
??3????????????????43
1.1.3??????????????????44
??1?????????????44
??2?????????????44
1.2??????????????????44
1.2.1?????????????44
1.2.2????????????45
??1???????????45
??2????????45
1.2.3???????????????46
1.2.4????????????????47
1.3?????????????Ч??????????48
1.3.1????????????????Ч?48
1.3.2???????????Χ????Ч?49
??1????????Χ????49
??2???????Χ????50
??3????????Χ????50
1.3.3??????????Э?Ч?50
1.3.4????????????????Ч?51
1.3.5??????????Ч?????52
??1??￠?????52
??2???????????????52
??3???????????53
1.4????????????????????????53
1.4.1??????????????????53
1.4.2?沢???????????????55
1.4.3???????????????????55
??????й??????????????????????58
2.1??????????????????????58
2.1.1????????????????????58
??1????????????58
??2????????????58
??3??????澭?59
2.1.2????????????γ??????????60
??1?????????????γ?????????60
??2????????????????????61
2.1.3????????????????????63
??1?????????????????????63
??2???????????????????γ?64
??3??????????????????????????64
??4???????????????????64
??5?????????????????????????64
??6????????????????????65
2.2????????????????????????65
2.2.1?齨????????????????????65
2.2.2?????????????????????????65
2.2.3???з???????????????????66
2.2.4???????????????????????????66
2.3???????????????????66
2.3.1????????????????????66
??1????????????66
??2?????????????72
2.3.2??????????????????74
??1?????????????????74
??2???????????????????74
??3??????????????75
??4?????????????????????75
?????1????????????????????76
3.1??????????????????????76
3.1.1???????????????????????76
3.1.2???????????????????78
3.1.3?????????????????????79
3.1.4??????????????????????????????????80
??1??????????????80
??2??????????????80
??3???????????Χ????83
??4??????????????????83
??5?????????????????84
??6?????????????????84
??7????????????Ч????88
3.1.5?????????????????????88
3.2??????????????????90
3.2.1???????????????????90
3.2.2???????????????91
3.2.3????????????????91
3.2.4???????????????????????????????????м???92
??1??????????м?????????92
??2??????????м?????????92
??3??????????м??????Χ????93
??4??????????м?????????????94
??5??????????м????????????94
??6??????????м????????????95
??7??????????м???????Ч????96
3.2.5?????????????????97
3.3?????????????????????98
3.3.1??????????????????????98
3.3.2??????????????????98
3.3.3????????????????????99
3.3.4?????????????????????????????????????99
??1?????????????99
??2?????????????99
??3??????????Χ????102
??4?????????????????102
??5????????????????105
??6????????????????107
??7???????????Ч????109
3.3.5????????????????????110
3.4?????????????????????111
3.4.1??????????????????????111
3.4.2??????????????????112
3.4.3????????????????????112
3.4.4?????????????????????????????????????113
??1????????????????????113
??2???????????????????113
??3????????????????Χ????116
??4???????????????????????117
??5??????????????????????118
??6???????????????????????121
??7??????????????????Ч????127
3.4.5????????????????????128
3.5??????????????????130
3.5.1???????????????????130
3.5.2???????????????131
3.5.3?????????????????131
3.5.4??????????????????????????????????133
??1????????????????????133
??2???????????????????133
??3????????????????Χ????135
??4???????????????????????135
??5??????????????????????136
??6???????????????????????136
??7??????????????????Ч????138
3.5.5?????????????????139
3.6????????/???????????????????142
3.6.1???????м????????????142
3.6.2????μ????????????????????145
???????й?????????????????Ч148
4.1?й???????????????????148
4.1.1?й??????????????148
4.1.2?й???????????????150
4.1.3?й???????????????150
4.1.4?й???????????????????????151
4.2?й??????????????Ч????152
4.2.1?о?????????????152
4.2.2?????????????Ч??????154
??1?????????????????????154
??2??????????154
??3???????????????????154
??4????????????155
4.2.3?????????????Ч???????156
4.2.4?????????????????Ч157
??1??????????????????157
??2???????????????159
4.3?й??????????????????????160
4.3.1?????????????160
??1?????????????????????160
??2???????????????????????161
??3????????????????????????????162
??4???????????????????????????164
??5????????й????????????????165
4.3.2?????н???????????????167
??1???????н??????????????167
??2???????н???????????????????????167
??3???????н???????????????????????168
??4???????н??????????????????Ч??168
??5???????н???????齨??????????????168
??6???????н???????????????????????170
4.3.3????????????172
??1?????????????????????172
??2????????????????????173
??3?????????????????Ч??174
??4?????????????????????175
??5???????????????????175
??6?????????????????????177
??7????????????????????177
4.3.4?????????181
4.4???????????????????????????182
4.4.1????????????????????182
4.4.2?????????????????????????182
4.4.3?????????????????????????????182
4.4.4?????????????????????187
??1?????????????????187
??2?????????????????189
4.4.5?????????????????????192
??1???????????192
??2?????????????193
??3??????????????????195
??4??????????????????196
??5?????????????197
???????й????????????????????齨????199
5.1??????????????????????????199
5.1.1???????????????199
5.1.2???????????????????199
5.1.3????????????????????200
5.1.4????????????????????201
5.2???????????????????203
5.2.1???????????????????????????203
??1?????????????/???203
??2??????????λ????203
??3???????齨??????203
??4?????????????????204
??5????????????????205
??6??????????????213
??7??????????Ч????213
5.2.2?????????????????????213
??1?????????????/???213
??2??????????λ????214
??3???????齨??????214
??4?????????????????215
??5????????????????216
??6??????????????216
??7??????????Ч????218
5.2.3?????幘??????????????????????218
??1?????????????/???218
??2??????????λ????218
??3???????齨??????219
??4?????????????????219
??5????????????????219
??6??????????????219
??7??????????Ч????221
5.2.4?????????????????????222
??1?????????????/???222
??2??????????λ????223
??3???????齨??????223
??4?????????????????223
??5????????????????224
??6??????????????224
??7??????????Ч????227
5.2.5??????????????????228
??1???????????????228
??2???????????????229
5.2.6?????????????????230
5.3???????齨?????????????????232
5.3.1????齨?????????????????232
??1????????????????????232
??2?????????????????????232
??3???????????????????236
??4??????齨?????????????????236
5.3.2?????齨?????????????????237
??1????????????????????237
??2?????????????????????238
??3???????????????????239
??4???????齨?????????????????243
5.3.3???齨?????????????????243
??1???????????????????243
??2????????????????????244
??3??????????????????244
??4?????齨?????????????????252
5.3.4???齨?????????????????253
??1???????????????????253
??2????????????????????253
??3??????????????????254
??4?????齨?????????????????256
5.3.5?????齨?????????????????256
??1????????????????????256
??2?????????????????????256
??3???????????????????257
??4???????齨?????????????????263
5.3.6?????齨?????????????????264
??1?????????????????????264
??2??????????????????????264
??3????????????????????265
??4???????齨?????????????????266
5.3.7?????齨?????????????????266
??1????????????????????266
??2?????????????????????268
??3???????????????????268
??4???????齨?????????????????275
5.3.8?????齨?????????????????277
??1????????????????????277
??2?????????????????????278
??3???????????????????281
??4???????齨?????????????????282
5.3.9?????齨?????????????????284
??1????????????????????284
??2?????????????????????285
??3???????????????????286
??4???????齨?????????????????288
5.3.10?????齨?????????????????289
??1?????????????????????289
??2??????????????????????289
??3????????????????????290
??4???????齨?????????????????290
???????й??????????????????????Э?????293
6.1???????????????????293
6.1.1??????????????????293
6.1.2????????????????????????294
??1????????????????????????????294
??2???????????????????????????295
??3???????????????????????????????296
6.1.3????????????????????????297
??1????????????????????????297
??2????????????????????????299
??3????????????????????????300
??4????????????????????????301
6.2??????????????Э?????302
6.2.1???????????Э?Ч?302
6.2.2??????Э?Ч?303
??1???????????????г??????????303
??2??????????????С??????????303
6.2.3??????Э?Ч?304
??1????????????304
??2?????????????304
??3??????????μ????304
6.3??????????????Э????????308
6.3.1???????????????308
??1???????????308
??2????????????313
6.3.2?????????????????321
??1?????????321
??2??????????????????323
??3?????????324
6.3.3???????????Э?????325
??1??????????г????????325
??2???????????????????????????325
??3????????????????????????327
??4???????????????????????????327
6.4???????????Э??????????328
6.4.1???????????Э?????????328
6.4.2???????????Э????·???329
6.4.3???????????Э?????329
????????????????????????????331
7.1??????????????????331
7.1.1????????????????331
7.1.2?????????????????333
??1?????????????????????333
??2????????????334
??3??￠?????337
7.1.3??????????????????338
7.2???????????????????????338
7.2.1??????????????????????338
7.2.2??????????????????341
7.3????????????????????342
7.3.1??????????????????342
7.3.2?????????????????????344
7.3.3?????????????????????349
7.3.4??????????????????????353
7.3.5?????????????355
??1???????????????355
??2??VaR??????????357
7.3.6???????????????????????358
7.4????????????????????360
7.4.1??????????????????360
??1?????????????360
??2????????????????362
7.4.2????????????????????366
??1??????????366
??2??ɡ????368
??3????????????????370
7.4.3??????????????????????372
??1???????????????????????372
??2??????????????????????373
7.4.4???ν??????????????373
??1????????????????????373
??2?????????????????374
??????й?????????????????376
8.1??????????????376
8.1.1????????????????376
8.1.2????????????????376
8.1.3???????????????????379
??1???????????????????λ379
??2?????380
??3????????????????380
??4??????????????381
??5???????????????????382
??6??????????????????383
8.2???????????????????383
8.2.1?????????383
8.2.2?????????????385
??1????????????λ??????387
??2???????????????387
??3????????????????????388
8.2.3????????????388
??1?????????????389
??2?????????390
8.2.4?????????????391
??1???????????391
??2?????μ??????????392
??3?????????????392
8.2.5????????????????393
8.3???????????????????394
8.3.1??????????????394
8.3.2???????????395
??1?????????????????395
??2????????????????????395
??3????????????????????395
??4?????????覴?????????396
8.3.3??????Ч?????????396
??1?????????????????淶396
??2???????????397
??3?????????????397
??4?????????н???????????398
8.3.4????????????399
??1???淶???????399
??2????????????400
??3??????????????????400
??4??Э??????????μ???400
8.3.5????????????????401
8.3.6??????????????????????????????????403
??????й?????????????????о?????405
9.1????????????????????????405
9.1.1?й??????????????405
??1???????????405
??2????????????????405
??3??????????????405
??4???????????????406
??5??????????Ч????406
??6?????????????滮412
??7??????????????????413
9.1.2????????????????417
??1???????????417
??2????????????????417
??3??????????????417
??4??????????Ч????417
??5?????????????滮423
??6??????????????????423
9.1.3????????????????424
??1???????????424
??2????????????????424
??3??????????????424
??4??????????Ч????424
??5?????????????滮430
??7??????????????????430
9.1.4???????????????????????431
??1???????????431
??2????????????????431
??3???????????????432
??4??????????Ч????432
??5?????????????滮438
??6??????????????????439
9.2?????н???????????????????????439
9.2.1???????439
??1???????????439
??2????????????????440
??3???????????????440
??4??????????????441
??5??????????Ч????442
??6?????????????滮447
??7??????????????????447
9.2.2???????448
??1???????????448
??2????????????????448
??3???????????????449
??4??????????????451
??5???????????????451
??6??????????Ч????454
??7?????????????滮460
??8??????????????????462
9.2.3?й??????????462
??1???????????462
??2????????????????462
??3??????????????463
??4??????????Ч????463
??5?????????????滮469
??6??????????????????469
9.2.4?й?????????????????ι??470
??1???????????470
??2????????????????470
??3???????????????471
??4??????????????471
??5???????????????471
??6?????????????滮472
??7??????????????????472
9.3??????????????????????473
9.3.1???????473
??1???????????473
??2????????????????473
??3??????????????473
??4??????????з????479
??5??????????Ч????480
??6?????????????滮485
??7??????????????????486
9.3.2??????????????????486
??1???????????486
??2????????????????487
??3??????????Ч????487
??4?????????????滮493
??5??????????????????494
9.3.3???????????????494
??1???????????494
??2????????????????495
??3???????????????496
??4??????????????496
??5??????????Ч????498
??6?????????????滮504
??7??????????????????504
9.3.4?й????繒????505
??1???????????505
??2????????????????506
??3???????????????507
??4??????????????509
??5??????????Ч????509
??6?????????????滮515
??7??????????????????515
9.3.5????????516
??1???????????516
??2????????????????516
??3??????????????516
??5??????????Ч????518
??6?????????????滮523
??8??????????????????526
9.3.6???????527
??1???????????527
??2????????????????527
??3???????????????528
??4??????????Ч????528
??5?????????????滮534
??6??????????????????534
9.4????????????????????535 ?????????????


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