"1187928"^^ . . . . "W teorii zarz\u0105dzania portfelem wska\u017Anik Jensena (lub ex-post alfa) jest u\u017Cywany do mierzenia odchylenia o przewidywanej warto\u015Bci zwrotu z portfela obliczonej na podstawie historycznych warto\u015Bci korelacji mi\u0119dzy portfelem rynkowym a badanym portfelem. Teoretyczny zwrot jest przewidywany przez model rynkowy, najcz\u0119\u015Bciej model wyceny aktyw\u00F3w kapita\u0142owych (CAPM). Do wyznaczenia oczekiwanego zwrotu potrzebny jest wsp\u00F3\u0142czynnik beta tego portfela."@pl . . . . . . "In finance, Jensen's alpha (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. It is a version of the standard alpha based on a theoretical performance instead of a market index."@en . . . . . . . . . . . . . . . . . . . . . . . . "1097035474"^^ . . . . "In finance, Jensen's alpha (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. It is a version of the standard alpha based on a theoretical performance instead of a market index. The security could be any asset, such as stocks, bonds, or derivatives. The theoretical return is predicted by a market model, most commonly the capital asset pricing model (CAPM). The market model uses statistical methods to predict the appropriate risk-adjusted return of an asset. The CAPM for instance uses beta as a multiplier."@en . "\u8A79\u68EE\u03B1"@zh . . . "Miernik Jensena"@pl . . "W teorii zarz\u0105dzania portfelem wska\u017Anik Jensena (lub ex-post alfa) jest u\u017Cywany do mierzenia odchylenia o przewidywanej warto\u015Bci zwrotu z portfela obliczonej na podstawie historycznych warto\u015Bci korelacji mi\u0119dzy portfelem rynkowym a badanym portfelem. Teoretyczny zwrot jest przewidywany przez model rynkowy, najcz\u0119\u015Bciej model wyceny aktyw\u00F3w kapita\u0142owych (CAPM). Do wyznaczenia oczekiwanego zwrotu potrzebny jest wsp\u00F3\u0142czynnik beta tego portfela."@pl . "Jensen's alpha"@en . . . . "\u8A79\u68EE\u03B1\uFF08\u82F1\u8A9E\uFF1AJensen's alpha\uFF09\uFF0C\u53C8\u8B6F\u4F5C\u7C21\u68EE\u03B1\uFF0C\u4E5F\u88AB\u7A31\u4F5C\u8A79\u68EE\u6307\u6578\uFF0C\u5728\u91D1\u878D\u9818\u57DF\u88AB\u7528\u6765\u786E\u5B9A\u6765\u81EA\u67D0\u4E00\u8BC1\u5238\u6216\u6295\u8D44\u7EC4\u5408\u8D85\u8FC7\u7406\u8BBA\u9884\u671F\u6536\u76CA\u7684\u8D85\u984D\u5831\u916C\u3002 \u4E0A\u8FF0\u7684\u8BC1\u5238\u53EF\u4EE5\u662F\u4EFB\u4F55\u8D44\u4EA7\uFF0C\u4F8B\u5982\u503A\u5238\uFF0C\u80A1\u7968\u6216\u884D\u751F\u54C1\u3002\u7406\u8BBA\u6536\u76CA\u901A\u5E38\u7531\u5E02\u573A\u6A21\u578B\u786E\u5B9A\uFF0C\u6700\u5E38\u7528\u7684\u662F\u8D44\u672C\u8D44\u4EA7\u5B9A\u4EF7\u6A21\u578B\u3002\u5E02\u573A\u6A21\u578B\u5229\u7528\u7EDF\u8BA1\u5B66\u65B9\u6CD5\u6765\u9884\u8BA1\u67D0\u4E00\u8D44\u4EA7\u7684\u6070\u5F53\u7684\u98CE\u9669\u8C03\u6574\u540E\u6536\u76CA\uFF0C\u4F8B\u5982CAPM\u5229\u7528\u03B2\u7CFB\u6570\u8FDB\u884C\u98CE\u9669\u8C03\u6574\u3002 \u8A79\u68EE\u963F\u5C14\u6CD5\u6700\u521D\u4E8E1968\u5E74\u88AB\u8FC8\u514B\u5C14\u00B7\u8A79\u68EE\u7528\u4E8E\u8BC4\u4F30\u5171\u540C\u57FA\u91D1\u7ECF\u7406\u8868\u73B0\u3002\u7531CAPM\u5F97\u5230\u7684\u7406\u8BBA\u9884\u671F\u6536\u76CA\u88AB\u5047\u5B9A\u4E3A\u201C\u5DF2\u7ECF\u8FC7\u98CE\u9669\u8C03\u6574\u201D\u3002\u8D44\u4EA7\u7684\u7406\u8BBA\u9884\u671F\u6536\u76CA\u7387\u4E0E\u8861\u91CF\u8BE5\u8D44\u4EA7\u98CE\u9669\u7684\u03B2\u503C\u4E4B\u95F4\u5B58\u5728\u6B63\u76F8\u5173\u5173\u7CFB\uFF0C\u800C\u98CE\u9669\u8F83\u9AD8\u7684\u8D44\u4EA7\u76F8\u8F83\u98CE\u9669\u8F83\u4F4E\u7684\u8D44\u4EA7\u6709\u66F4\u9AD8\u7684\u7406\u8BBA\u9884\u671F\u6536\u76CA\u7387\u3002\u5982\u679C\u4E00\u4E2A\u8D44\u4EA7\u7684\u5B9E\u9645\u6536\u76CA\u7387\u9AD8\u4E8E\u98CE\u9669\u8C03\u6574\u540E\u7684\u7406\u8BBA\u9884\u671F\u6536\u76CA\u7387\uFF0C\u8FD9\u6837\u7684\u8D44\u4EA7\u5C31\u88AB\u79F0\u4E3A\u6709\u201C\u6B63\u7684\u03B1\u201D\u6216\u8005\u201C\u8D85\u989D\u6536\u76CA\u201D\u3002\u6295\u8D44\u8005\u65F6\u523B\u5728\u5BFB\u627E\u7740\u6709\u8F83\u9AD8\u963F\u5C14\u6CD5\u503C\u7684\u6295\u8D44\u54C1\u79CD\u3002 \u6309\u7167CAPM\u6A21\u578B\uFF0C\u8BA1\u7B97\u8A79\u68EE\u963F\u5C14\u6CD5\u503C\u9700\u8981\u4EE5\u4E0B\u6570\u636E\u3002 \n* \u6295\u8D44\u7EC4\u5408\u7684\u5B9E\u9645\u56DE\u62A5 \n* \u5E02\u573A\u6295\u8D44\u7EC4\u5408\u5E73\u5747\u6536\u76CA \n* \u5E02\u573A\u65E0\u98CE\u9669\u6536\u76CA \n* \u6295\u8D44\u7EC4\u5408\u7684\u03B2\u503C \u8A79\u68EE\u963F\u5C14\u6CD5\uFF1D\u6295\u8D44\u7EC4\u5408\u7684\u5B9E\u9645\u56DE\u62A5\uFF0D[\u5E02\u573A\u65E0\u98CE\u9669\u6536\u76CA\uFE62\u6295\u8D44\u7EC4\u5408\u7684\u03B2\u503C\u00D7(\u5E02\u573A\u5E73\u5747\u6536\u76CA\uFF0D\u5E02\u573A\u65E0\u98CE\u9669\u6536\u76CA)] \u4EE5\u5C24\u91D1\u00B7\u6CD5\u9A6C\uFF08\u6709\u6548\u5E02\u573A\u5047\u8BF4\u63D0\u51FA\u8005\uFF09\u4E3A\u9996\uFF0C\u8BB8\u591A\u5B66\u8005\u63D0\u51FA\u5F02\u8BAE\uFF0C\u8BA4\u4E3A\u5E02\u573A\u8FC7\u4E8E\u201C\u6709\u6548\u201D\uFF0C\u6295\u8D44\u8005\u9664\u975E\u78B0\u5DE7\uFF0C\u5426\u5219\u65E0\u6CD5\u91CD\u590D\u5730\u8D5A\u5F97\u8D85\u989D\u6536\u76CA\u3002\u53E6\u4E00\u65B9\u9762\uFF0C\u7531Russ Wermers\u9886\u8854\u7684\u5BF9\u5171\u540C\u57FA\u91D1\u7684\u5B9E\u8BC1\u7814\u7A76\u5F97\u5230\u7684\u7ED3\u8BBA\u8BA4\u4E3A\uFF0C\u57FA\u91D1\u7ECF\u7406\u5BFB\u627E\u3001\u6311\u9009\u6709\u6B63\u03B1\u503C\u7684\u8BC1\u5238\u662F\u6709\u4EF7\u503C\u7684\u3002\u7136\u800C\u8FD9\u4E00\u7814\u7A76\u7ED3\u8BBA\u906D\u5230\u975E\u8BAE\uFF0C\u6279\u8BC4\u8005\u8BA4\u4E3ARuss\u7684\u7ED3\u8BBA\u53D7\u5230\u201C\u5E78\u5B58\u8005\u504F\u5DEE\u201D\u7684\u5F71\u54CD\u3002 \u867D\u7136\u53D7\u5230\u4E89\u8BAE\uFF0C\u8A79\u68EE\u963F\u5C14\u6CD5\u4ECD\u7136\u88AB\u5E7F\u6CDB\u7684\u7528\u4E8E\u8BC4\u4EF7\u57FA\u91D1\u7ECF\u7406\u8868\u73B0\u3002\u6B64\u5916\uFF0C\u8A79\u68EE\u963F\u5C14\u6CD5\u5F80\u5F80\u4E0E\u590F\u666E\u6BD4\u7387\u548C\u540C\u65F6\u4F7F\u7528\u3002"@zh . . "5284"^^ . . . . . . "\u8A79\u68EE\u03B1\uFF08\u82F1\u8A9E\uFF1AJensen's alpha\uFF09\uFF0C\u53C8\u8B6F\u4F5C\u7C21\u68EE\u03B1\uFF0C\u4E5F\u88AB\u7A31\u4F5C\u8A79\u68EE\u6307\u6578\uFF0C\u5728\u91D1\u878D\u9818\u57DF\u88AB\u7528\u6765\u786E\u5B9A\u6765\u81EA\u67D0\u4E00\u8BC1\u5238\u6216\u6295\u8D44\u7EC4\u5408\u8D85\u8FC7\u7406\u8BBA\u9884\u671F\u6536\u76CA\u7684\u8D85\u984D\u5831\u916C\u3002 \u4E0A\u8FF0\u7684\u8BC1\u5238\u53EF\u4EE5\u662F\u4EFB\u4F55\u8D44\u4EA7\uFF0C\u4F8B\u5982\u503A\u5238\uFF0C\u80A1\u7968\u6216\u884D\u751F\u54C1\u3002\u7406\u8BBA\u6536\u76CA\u901A\u5E38\u7531\u5E02\u573A\u6A21\u578B\u786E\u5B9A\uFF0C\u6700\u5E38\u7528\u7684\u662F\u8D44\u672C\u8D44\u4EA7\u5B9A\u4EF7\u6A21\u578B\u3002\u5E02\u573A\u6A21\u578B\u5229\u7528\u7EDF\u8BA1\u5B66\u65B9\u6CD5\u6765\u9884\u8BA1\u67D0\u4E00\u8D44\u4EA7\u7684\u6070\u5F53\u7684\u98CE\u9669\u8C03\u6574\u540E\u6536\u76CA\uFF0C\u4F8B\u5982CAPM\u5229\u7528\u03B2\u7CFB\u6570\u8FDB\u884C\u98CE\u9669\u8C03\u6574\u3002 \u8A79\u68EE\u963F\u5C14\u6CD5\u6700\u521D\u4E8E1968\u5E74\u88AB\u8FC8\u514B\u5C14\u00B7\u8A79\u68EE\u7528\u4E8E\u8BC4\u4F30\u5171\u540C\u57FA\u91D1\u7ECF\u7406\u8868\u73B0\u3002\u7531CAPM\u5F97\u5230\u7684\u7406\u8BBA\u9884\u671F\u6536\u76CA\u88AB\u5047\u5B9A\u4E3A\u201C\u5DF2\u7ECF\u8FC7\u98CE\u9669\u8C03\u6574\u201D\u3002\u8D44\u4EA7\u7684\u7406\u8BBA\u9884\u671F\u6536\u76CA\u7387\u4E0E\u8861\u91CF\u8BE5\u8D44\u4EA7\u98CE\u9669\u7684\u03B2\u503C\u4E4B\u95F4\u5B58\u5728\u6B63\u76F8\u5173\u5173\u7CFB\uFF0C\u800C\u98CE\u9669\u8F83\u9AD8\u7684\u8D44\u4EA7\u76F8\u8F83\u98CE\u9669\u8F83\u4F4E\u7684\u8D44\u4EA7\u6709\u66F4\u9AD8\u7684\u7406\u8BBA\u9884\u671F\u6536\u76CA\u7387\u3002\u5982\u679C\u4E00\u4E2A\u8D44\u4EA7\u7684\u5B9E\u9645\u6536\u76CA\u7387\u9AD8\u4E8E\u98CE\u9669\u8C03\u6574\u540E\u7684\u7406\u8BBA\u9884\u671F\u6536\u76CA\u7387\uFF0C\u8FD9\u6837\u7684\u8D44\u4EA7\u5C31\u88AB\u79F0\u4E3A\u6709\u201C\u6B63\u7684\u03B1\u201D\u6216\u8005\u201C\u8D85\u989D\u6536\u76CA\u201D\u3002\u6295\u8D44\u8005\u65F6\u523B\u5728\u5BFB\u627E\u7740\u6709\u8F83\u9AD8\u963F\u5C14\u6CD5\u503C\u7684\u6295\u8D44\u54C1\u79CD\u3002 \u6309\u7167CAPM\u6A21\u578B\uFF0C\u8BA1\u7B97\u8A79\u68EE\u963F\u5C14\u6CD5\u503C\u9700\u8981\u4EE5\u4E0B\u6570\u636E\u3002 \n* \u6295\u8D44\u7EC4\u5408\u7684\u5B9E\u9645\u56DE\u62A5 \n* \u5E02\u573A\u6295\u8D44\u7EC4\u5408\u5E73\u5747\u6536\u76CA \n* \u5E02\u573A\u65E0\u98CE\u9669\u6536\u76CA \n* \u6295\u8D44\u7EC4\u5408\u7684\u03B2\u503C \u8A79\u68EE\u963F\u5C14\u6CD5\uFF1D\u6295\u8D44\u7EC4\u5408\u7684\u5B9E\u9645\u56DE\u62A5\uFF0D[\u5E02\u573A\u65E0\u98CE\u9669\u6536\u76CA\uFE62\u6295\u8D44\u7EC4\u5408\u7684\u03B2\u503C\u00D7(\u5E02\u573A\u5E73\u5747\u6536\u76CA\uFF0D\u5E02\u573A\u65E0\u98CE\u9669\u6536\u76CA)] \u867D\u7136\u53D7\u5230\u4E89\u8BAE\uFF0C\u8A79\u68EE\u963F\u5C14\u6CD5\u4ECD\u7136\u88AB\u5E7F\u6CDB\u7684\u7528\u4E8E\u8BC4\u4EF7\u57FA\u91D1\u7ECF\u7406\u8868\u73B0\u3002\u6B64\u5916\uFF0C\u8A79\u68EE\u963F\u5C14\u6CD5\u5F80\u5F80\u4E0E\u590F\u666E\u6BD4\u7387\u548C\u540C\u65F6\u4F7F\u7528\u3002"@zh . . . . . .