第6回ストックリーグ入賞レポート 敢闘賞・大学 (PDF)

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1 ID

2 - 2 -

3 1-3 -

4 1 (1) (2) (3) (4) (1) 2 (2) (3) - 4 -

5 (4) (1) (2) CAPM r r = α + β ( r r ) + ε t ft Mt ft t r t r Mt r ft ε t β β σ σ M = M σ M σ M - 5 -

6 r t r r Mt ft ft r α Jensen Jensen s ndex CAPM α = 0 α 0 CAPM α 20 r = α + β r + ε t Mt t TOPIX Yahoo! 1 2 ˆR - 6 -

7 t ****** 1%5%10% - 7 -

8 2 60% 80% 90% 100% 75% 20% % 45% 100% 30% % 70% HDDFDB LSI 80% - 8 -

9 DG 30% % 80% NEOMAX 60% 40%Nd-Fe-B 55% 35% 90% 50,000 ISO9001ISO Markowtz - 9 -

10 subject to { } n n 2 p = j j = 1 j= 1 mn σ ωωσ ω r p n = ωr n = 1 = 1 ω = 1 ω 0.02 σ 2 p r p ω % ω = %

11 STOCK

12 nvestment bankng !!

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