A B A B AB
2
B
2
B
2
A
2
A B AB A
2
B
2
B
2
A
2
A
2
p= + + 2 = + + 2
AB=− 1
A B A B
2
B
2
B
2
A
2
A B AB A
2
B
2
B
2
A
2
A
2
p= + + 2 = + − 2
( )
2
A A B B
2
p= −
( )
+
= − = − − = =
A B
B
p^0 A A B B^0 A A^1 A B^0 A
=
=
7
3
7
4
B
A
A B A B AB
2
B
2
B
2
A
2
A B AB A
2
B
2
B
2
A
2
A
2
p= + + 2 = + + 2
( ) A( A) A B AB
2
B
2
A
2
A
2
A
2
p= + 1 − + 2 1 −
A B AB
2
A A B AB A
2
B
2
A
2
A B
2
B
2
A
2
A
2
p= + − 2 + + 2 − 2
( ) ( )
2
A B AB B
2
A B
2
A B AB A
2
B
2
A
2
p= + − 2 − 2 − +
( ) ( )
( 2 ) ( ) 0
0 2 2 2 0
A B AB
2
A B AB B
2
B
2
A A
A B AB
2
A B AB B
2
B
2
A A
A
2
p
+ − − − =
= + − − − =
A B AB
2
B
2
A
A B AB
2
* B
A
2
+ −
−
= ; AB= 0 , 25 ;
=
=
0 , 316
0 , 684
B
A
0,000%
5,000%
10,000%
15,000%
20,000%
25,000%
0,00000 0,05000 0,10000 0,15000 0,20000 0,25000 0,30000
Ecart-type
Rendement
rho+1 rho-0,5 rho-1 rho-1 rho+0,5 rho0
