• Tidak ada hasil yang ditemukan

SHULPHQWn

Dalam dokumen Disclaimer 저작자표시 (Halaman 91-102)

)LJXUH6KRUWFLUFXLWFXUUHQW6&&PHDVXUHPHQWWRLGHQWLI\WKHGHYLFHWRGHYLFHDQGH[SHULPHQW WRH[SHULPHQWYDULDWLRQ$IWHUWKHFRQFHQWUDWLRQJUDGLHQWRIVRGLXPFKORULGH±P0LVJHQHUDWHG WKH6&&VDUHPHDVXUHGWKUHHWLPHVZLWKDPXOWLSOHRUEVLQJOH6L2EDVHG6$30LQWHJUDWHGGHYLFH VKRZLQJFRPSDUDEOHDYHUDJHDQGVWDQGDUGGHYLDWLRQVLQWKH6&&VLH“DQG“S$

XVLQJPXOWLSOHDQGVLQJOH6$30LQWHJUDWHGGHYLFHVUHVSHFWLYHO\

7DEOH0HDVXUHPHQWUHVXOWRI]HWDSRWHQWLDOVLQGLIIHUHQWFRQFHQWUDWLRQRIHOHFWURO\WHV

(OHFWURO\WHFRQFHQWUDWLRQ ND

=HWDSRWHQWLDO]P9 6L2

QP

$X#6L2 QP

$J#6L2 QP

1D&OP0 “ “ “

1D&OP0 “ “ “

1D&OP0 “ “ “

1D&OP0 “ “ “

1D&OP0 “ “ “

1D&OP0 “ “ “

.$FP0 “ “ “

.$FP0 “ “ “

.$FP0 “ “ “

.$FP0 “ “ “

.$FP0 “ “ “

.$FP0 “ “ “

0RGLILHG]E\FRQVLGHULQJUHWDUGDWLRQHIIHFWRQQDQRSDUWLFOH 5HWDUGDWLRQHIIHFWLVQHJOLJLEOHZKHQND

6&&S$

'HYLFHn

6&&S$

(OHFWULFVLJQDOPHDVXUHPHQW7KHRSHQFLUFXLWYROWDJH2&9DQGVKRUWFLUFXLWFXUUHQW6&&

ZHUHGHWHUPLQHGE\HPSOR\LQJDSRWHQWLRVWDWLFPHWKRGWRDQDO\]HWKHLRQWUDQVSRUWWKURXJKWKH6$30V HTXLYDOHQW FLUFXLW RI WKH H[SHULPHQWDO VHWXS LQ )LJXUH )RU WKH PHDVXUHPHQWV 6&& ZDV GHWHUPLQHGE\VHWWLQJWKHDSSOLHGSRWHQWLDOEVRXUFHRIWKHVRXUFHPHWHUWR]HURIRUILYHPLQXWHV2&9 ZDVFDOFXODWHGE\VXEWUDFWLQJWKHUHGR[SRWHQWLDORIWKH$J$J&OHOHFWURGHE$J$J&OWRWKHPHDVXUHG HOHFWULFSRWHQWLDOREWDLQHGE\LQFUHDVLQJRUGHFUHDVLQJWKHLQSXWSRWHQWLDOXQWLOWKHHOHFWULFFXUUHQWLQ WKHFLUFXLWEHFDPH]HUR7KHFDOFXODWHG2&9ZDVDOVRXVHGIRUFDOFXODWLQJWKHWUDQVIHUHQFHQXPEHUt ZKLFKLQGLFDWHVWKHLRQVHOHFWLYLW\RIWUDQVSRUWWKURXJKWKHPHPEUDQHXVLQJWKHIROORZLQJHTXDWLRQ

OQ CH H

L L

RT C

OCV t

zF C

J

J

ZKHUHRTzDQGFDUHWKHXQLYHUVDOJDVFRQVWDQWDEVROXWHWHPSHUDWXUHYDOHQF\RILRQVDQG)DUDGD\

FRQVWDQW UHVSHFWLYHO\J& LV WKH PHDQ DFWLYLW\ FRHIILFLHQW DQGC+DQGC/ DUH WKH KLJK DQG ORZ FRQFHQWUDWLRQVRIWKHHOHFWURO\WHVUHVSHFWLYHO\,QDGGLWLRQWKHSRZHUJHQHUDWHGZDVFDOFXODWHGZKLFK LVGHVFULEHGXVLQJWKHIROORZLQJHTXDWLRQV

P Egen˜ISAPM

gen SAPM

OCV E OCV

P R

˜

7KHUHIRUHSRZHUJHQHUDWLRQLVPD[LPL]HGLH2&92/(RSAPMZKHQWKHRXWSXWYROWDJHLVKDOIRI WKHPD[LPXPYROWDJHLH2&9JHQHUDWHGE\WKHPHPEUDQHEgen. ȡ 2&9

)LJXUHD6FKHPDWLFRIWKHH[SHULPHQWDOVHWXSE(TXLYDOHQWFLUFXLWRIWKHH[SHULPHQWDOVHWXS ZKHUHEJHQ DQGR6$30 GHQRWH WKH HOHFWULF SRWHQWLDO JHQHUDWHG DQG UHVLVWDQFH RI WKH PHPEUDQH UHVSHFWLYHO\E$J$J&O GHQRWHV WKH UHGR[ SRWHQWLDO RI $J$J&O HOHFWURGHRVRXUFH DQGEVRXUFH DUH WKH UHVLVWDQFHDQGDSSOLHGHOHFWULFSRWHQWLDORIWKHVRXUFHPHWHUUHVSHFWLYHO\

1XPHULFDOVLPXODWLRQ:HFRQGXFWHGDQXPHULFDOVLPXODWLRQWRYLVXDOL]HD'2:HFDOFXODWHG WKUHHJRYHUQLQJHTXDWLRQV1DYLHU6WRNHVFRQWLQXLW\DQG1HUQVW3ODQNZKLFKDUHGHVFULEHGDVEHORZ

Uwwut U

u˜’

u ˜ ’ ª¬ p,P

’u ’u T

º¼

U ’ u

c ZD

D c Fc V u c

t RT

§ ·

˜ ¨ © ¸ ¹ ˜’

w ’ ’ ’

w

ZKHUHu, p,P , c, Z, R, F, DQG VDUHYHORFLW\SUHVVXUHYLVFRVLW\RIIOXLGFRQFHQWUDWLRQLRQLFYDODQFH JDV FRQVWDQW IDUDGD\ FRQVWDQW DQG HOHFWULF SRWHQWLDO UHVSHFWLYHO\ :H GHVLJQHG D FRPSXWDWLRQDO GRPDLQZKLFKEHORQJVPLFURFKDQQHODQG6$30UHJLRQ$WWKHZDOORI6$30UHJLRQWKH(TLV DGDSWHGDVERXQGDU\FRQGLWLRQIRUJHQHUDWLQJIOXLGPRWLRQ'2DQG6$30GRPDLQLVDVVXPHGSRURXV GRPDLQZLWKSRURVLW\RI$QGFRQFHQWUDWLRQRIWZRHOHFWURO\WHV1DDQG&ODQG$WWRDUH FDOFXODWHGDVPROHFXOH+HUHGLIIXVLRQFRHIILFLHQWRIPROHFXOHVDUHPV[PVDQG [PVUHVSHFWLYHO\,QLWLDOO\DWOHIWVLGHGRPDLQORDGHGKLJKFDWLRQDQGDQLRQFRQFHQWUDWLRQ P0DQGULJKWVLGHGRPDLQKDVORZFRQFHQWUDWLRQP0%XW$WWRLVVHWXSDVP0DWWKH HQWLUH GRPDLQ :H FDOFXODWHG HTXDWLRQV IRU PLQ WR FRQVLGHU ERWK WUDQVLHQW DQG VWHDG\VWDWH YLVXDOL]DWLRQUHVXOWV$QG ZHDOVRFDOFXODWHGGLIIXVLRQSRWHQWLDODQGFXUUHQWRIVRGLXPFKORULGHDQG SRWDVVLXPDFHWDWH (OHFWULFSRWHQWLDOLVJHQHUDWHGE\GLIIXVLRQFRHIILFLHQWGLIIHUHQFH DQGFXUUHQWLV FDOFXODWHGE\(TZKLFKLVGHVFULEHGDVEHORZ

c i i i i i

i

J F Z D c Z Fc D V RT

§ ·

¨ ¸

© ¹

¦ ’ ’

5HVXOWVDQGGLVFXVVLRQ

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

RFFXUULQJ WRZDUG D KLJK FRQFHQWUDWLRQ ,W LV PRUH VWUDLJKWIRUZDUG WR XQGHUVWDQG '2 LQ D VLQJOH QDQRFKDQQHOWKDQWKDWLQPXOWLSOHQDQRFKDQQHOV+RZHYHUIRUDVLQJOHQDQRFKDQQHOWKHIOX[RI'2LV YHU\ZHDNWRPHDVXUHTXDQWLWDWLYHO\,QFRQWUDVWIRU'2LQVLGHPXOWLSOHQDQRFKDQQHOVLHQDQRSRUHV WKHIOX[RI'2FDQEHVLJQLILFDQWO\DPSOLILHGPDNLQJLWFRQYHQLHQWWRDFFXUDWHO\DQGTXDQWLWDWLYHO\

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aPPDQGLWVWHPSHUDWXUHLV YDULHGIURPURRPWHPSHUDWXUHRIq&WRq&LQDUDSLGUHDOWLPHDQGG\QDPLFPDQQHUZLWKD KHDWLQJUDWHRIq&VDQGFRROLQJUDWHRIq&V+RZHYHUWKHWHPSHUDWXUHVRI8QLWDQG8QLW DUHIL[HGDWLGHQWLFDOURRPWHPSHUDWXUHYDOXHVWRPLQLPL]HWKHV\VWHPDWLFHUURUVVXFKDVVROYHQW HYDSRUDWLRQLRQDGVRUSWLRQRQ3'06DQGHUURUVRULJLQDWLQJIURPHOHFWURGHVDWDKLJKWHPSHUDWXUH

7KHSKRWRJUDSKVDFTXLUHGE\WKHWKHUPDOFDPHUDVKRZWKDWWKHWHPSHUDWXUHRI8QLWXQGHUQHDWKWKH 6$30FDQEHFRQWUROOHGLQDSURJUDPPHGPDQQHULH±±±q&HYHU\VHF

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

$X#6L2DQGVLOLFDFRDWHGVLOYHU$J#6L27KHVFDOHEDULVPPG7KHFRQFHQWUDWLRQJUDGLHQW RIWKHHOHFWURO\WHVLVJHQHUDWHGDFURVVWKH6$30DQGWKHQWKHHOHFWULFVLJQDOVDUHPHDVXUHGZKLOHWKH 7&'RSHUDWHV8QLWVDQGPDLQWDLQWKHWHPSHUDWXUHDWDURRPWHPSHUDWXUHRIGq&ZKLOH8QLW DWWKHPLGGOHLVKHDWHGXSWRDQGGq&DQGWKHQFRROHGLQDSURJUDPPDEOHPDQQHU

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׏CK§ILYHKRXUVDIWHUJHQHUDWLQJDFRQFHQWUDWLRQJUDGLHQWRI1D&OZLWK׏C

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

GRHVQRWVKRZDQ\GLIIHUHQFHEHWZHHQWKHPLFURFKDQQHOVZLWKC+DQGC/RYHUWLPH7KLVLVEHFDXVHWKH DQLRQLFG\HVDUHH[SHOOHGE\WKHQHJDWLYHO\FKDUJHGZDOOVXUIDFHVUHVLGLQJRXWVLGHWKH('/ZKHUH'2 LVJHQHUDWHG7KHIOXRUHVFHQFHVLJQDOVIRUC+DQGC/VKRZVLPLODUGHFD\LQJWHQGHQFLHVRYHUWLPHZKLFK DUHDWWULEXWHGWRWKHSKRWREOHDFKLQJRIWKH),7&G\HE\H[SRVXUHWR89OLJKW)LJXUHG

)LJXUHFVKRZVWKHTXDQWLILHGIOXRUHVFHQFHVLJQDOVWKDWDUHREWDLQHGIURP)LJXUHEDQGWKHQ QRUPDOL]HGWRWKHLQLWLDOYDOXHVt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

IURPWKH),7&G\HJUDGXDOO\DQGFRQWLQXRXVO\GHFUHDVHRYHUWLPHDQGQRGLVWLQFWGLIIHUHQFHLVREVHUYHG EHWZHHQWKHWZRPLFURFKDQQHOV$GGLWLRQDOO\WKHIOXRUHVFHQFHVLJQDOVLQWKHFRQWUROH[SHULPHQWVVKRZ VLPLODUGHFD\LQJEHKDYLRUVDVWKRVHRIWKHH[SHULPHQWVFRQILUPLQJWKDWDGHFUHDVHLQWKHIOXRUHVFHQFH VLJQDOVLVFDXVHGE\SKRWREOHDFKLQJDQGQRWE\WKHWUDQVSRUWRI),7&PROHFXOHVDFURVVWKH6$30

7RIXUWKHUYDOLGDWHWKHH[SHULPHQWDOUHVXOWVQXPHULFDOVLPXODWLRQVZHUHSHUIRUPHGDQGWKHUHVXOWV DUHVKRZQLQ)LJXUHJDQGK,QVWHDGRIVLPXODWLQJWKHQDQRVFRSLFLRQWUDQVSRUWLQWKH('/'2ZDV JHQHUDWHGLQWKHEXONPRGHXVLQJWKH'2PRELOLW\WKDWLVWKH'2YHORFLW\u'2LQVLGHWKH6$30ZDV HVWLPDWHGWREHu'2 *'2u’OQC,QWKHSUHVHQFHRI'2WZRGLIIHUHQWQXPHULFDOVLPXODWLRQVZHUH SHUIRUPHGIRUFRPSDULVRQE\FRQVLGHULQJWKHGLIIXVLRQHIIHFWRI$WWRDVZHOODVH[FOXGLQJLW$V VKRZQLQ)LJXUHJWKHFRQFHQWUDWLRQRI$WWRJUDGXDOO\LQFUHDVHVLQWKHORZFRQFHQWUDWLRQVLGH ULJKWVLGHDQGGHFUHDVHVLQWKHKLJKFRQFHQWUDWLRQVLGHOHIWVLGHVKRZLQJJRRGDJUHHPHQWZLWKWKH H[SHULPHQWDO GDWD LQ )LJXUH F ,QWHUHVWLQJO\ ZKHQ GLIIXVLRQ LV FRQVLGHUHG LQ WKH VLPXODWLRQ WKH FRQFHQWUDWLRQVLQERWKWKHOHIWDQGULJKWVLGHOHYHORIILQDSSUR[LPDWHO\PLQ,QFRQWUDVWZKHQ GLIIXVLRQLVQRWFRQVLGHUHGWKHFRQFHQWUDWLRQVLQERWKVLGHVNHHSLQFUHDVLQJDQGGHFUHDVLQJ7KLVLV EHFDXVH$WWRPROHFXOHVPLJUDWHE\'2DQGQRUHYHUVHWUDQVSRUWE\GLIIXVLRQLVDOORZHG7KHUHIRUH LWLVWKHRUHWLFDOO\FRQILUPHGWKDWWKH'2GULYHQWUDQVSRUWFDQEHEDODQFHGE\GLIIXVLRQGULYHQWUDQVSRUW DFURVVWKH6$30ZLWKWKHSDVVDJHRIWLPH)LJXUHKVKRZVWKHFRQFHQWUDWLRQJUDGLHQWRI$WWR DORQJ WKH 6$30 :KHQ WKH GLIIXVLRQ RI $WWR LV DOORZHG ZJ' WKH FRQFHQWUDWLRQ RI $WWR JUDGXDOO\LQFUHDVHVDORQJWKH6$30LHIURPP0DWWKHOHIWVLGHWRP0DWWKHULJKWVLGH,Q FRQWUDVWDVDFRQWUROZKHQWKHGLIIXVLRQRI$WWRLVQRWDOORZHGZRJ'WKHFRQFHQWUDWLRQLVQHDUO\

FRQVWDQWDORQJWKH6$30DWP0EXWLWGUDPDWLFDOO\LQFUHDVHVXSWRP0DWWKHHQGRIWKH6$30 LPSO\LQJ WKDW WKH GLIIXVLRQGULYHQ WUDQVSRUW RI $WWR DIIHFWV WKH QHW WUDQVSRUW E\ '2 DFURVV WKH 6$30 7KHUHIRUH WKH FKDUJHG QDQRFKDQQHOVQDQRSRUHV JHQHUDWH '2 ZKLFK LQ WXUQ LQGXFHV LRQ VHOHFWLYH WUDQVSRUW DFURVV WKHP DV FRQILUPHG H[SHULPHQWDOO\ DQG WKHRUHWLFDOO\ '2LQGXFHG FKDUJH VHOHFWLYHLRQWUDQVSRUWZDVIXUWKHUFKDUDFWHUL]HGDVGLVFXVVHGLQWKHIROORZLQJVHFWLRQV

)LJXUH9LVXDOL]DWLRQDQGDQDO\VLVRI'2HIIHFWLYHLRQWUDQVSRUWWKURXJKWKH6$30D$FDWLRQLF IOXRUHVFHQFHG\HUHG$WWRUHSUHVHQWLQJ1DLVLQMHFWHGLQWRWKHPDLQIDFLQJFKDQQHOVDWDIL[HG FRQFHQWUDWLRQaP0EXWZLWKGLIIHUHQW1D&OFRQFHQWUDWLRQVRI±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

)LJXUH)OXRUHVFHQFHVLJQDOVRI$WWRDQG),7&G\HV

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

7KHRU\'2GULYHQLRQWUDQVSRUWWKURXJKWKH6$30VZDVIXUWKHUDQDO\]HGE\PHDVXULQJWKHHOHFWULF VLJQDOVVXFKDV2&9VDQG6&&VXVLQJWKHSRWHQWLRVWDWLFPHWKRG)LJXUHFVKRZVWKH6&&VIRU WKUHHGLIIHUHQW]HWDSRWHQWLDOVZLWKWKHVDPH1D&OVROXWLRQDWWKUHHGLIIHUHQWWHPSHUDWXUHVDQG q&7KH6&&YDOXHVDUHVLPLODUDWUHODWLYHO\ORZWHPSHUDWXUHVEXWLQFUHDVHDWq&%HFDXVHWKH GLUHFWLRQRI'2LVWKHVDPHDVWKDWRIGLIIXVLRQLHIURPC+WRC/WKHKLJKHUWKH*'2WKURXJKWKH 6$30WKHKLJKHUDUHWKHPHDVXUHG6&&YDOXHV$WWKHVDPHWHPSHUDWXUHWKH6&&YDOXHVDUHVOLJKWO\

GLIIHUHQWZKLFKDUHDOVRGHWHUPLQHGE\WKH*'2YDOXHVLH*'2YDOXHVDUHVLJQLILFDQWO\DIIHFWHGE\WKH ]HWDSRWHQWLDOVRIWKH6$30V,QWHUHVWLQJO\WKHPDJQLWXGHRI*'2KDVDQRQOLQHDUUHODWLRQVKLSZLWK WHPSHUDWXUHZLWKWKH6&&VKRZLQJDQRQOLQHDUEHKDYLRUZLWKDQLQFUHDVHLQWHPSHUDWXUHWKLVFDQEH DWWULEXWHGWRWKHUHODWLRQVKLSEHWZHHQ*'2DQGWHPSHUDWXUHDVVKRZQLQ)LJXUHD7KHGLIIHUHQFH RIWKH6&&VEHWZHHQWKH6$30VEHFRPHVODUJHUZLWKDQLQFUHDVHLQWHPSHUDWXUH$VDUHVXOWDWq&

WKHKLJKHVWPHDVXUHG6&&LVaS$IRUWKH6L2EDVHG6$30ZKLFKKDVWKHKLJKHVWYDOXHVIRU] P9DQG*'2 PPV7KH2&9YDOXHVZHUHDOVRPHDVXUHG)LJXUHGDQGWKHWUDQVIHU

QXPEHUtZDVWKHQFDOFXODWHG)LJXUHH3RVLWLYH2&9YDOXHVDUHREWDLQHGIRUWKHWKUHH6$30V ZKLFKJUDGXDOO\LQFUHDVHZLWKDQLQFUHDVHLQWHPSHUDWXUH7KH2&9RIWKH6L2EDVHG6$30LVKLJKHU WKDQWKRVHRIWKHRWKHU6$30VEHFDXVHLWDOORZVWKHWUDQVIHURIPRUHFDWLRQVWKDQWKRVHLQWKHRWKHU 6$30V6XFKYDULDWLRQLQWKH2&9VDJUHHVZHOOZLWKWKH6&&DQG*'2UHVXOWV7KHH[SHULPHQWDOUHVXOWV DUHWKHRUHWLFDOO\VXSSRUWHGE\WKHUHVXOWVRIWKHQXPHULFDOVLPXODWLRQVRIWKH2&9DQGtYDOXHVLQWKH DEVHQFHRI'2RQO\WKHGLIIXVLRQPRGHOLVFRQVLGHUHGDQGHPSOR\HGRYHUWLPHXVLQJWKHVDPHLQLWLDO DQG ERXQGDU\ FRQGLWLRQV 1XPHULFDO VLPXODWLRQ VHFWLRQ LQ 6XSSRUWLQJ ,QIRUPDWLRQ %HFDXVH WKHE YDOXH LV QRW D IXQFWLRQ RI WHPSHUDWXUH )LJXUH E WKH WKHRUHWLFDO 2&9 YDOXHV UHPDLQ DOPRVW FRQVWDQWZLWKDQLQFUHDVHLQWHPSHUDWXUH)LJXUH)LJXUHHVKRZVWKDWDOO6$30VH[KLELWFDWLRQ VHOHFWLYLW\t!EHFDXVHWKH'2GULYHQLRQWUDQVSRUWFDUULHVPRUHFDWLRQVWKDQDQLRQV+RZHYHU WKHVLPXODWLRQUHVXOWIRUWKHFRQGLWLRQH[FOXGLQJ'2VKRZVDQLRQVHOHFWLYLW\tEHFDXVHRIWKH QHJDWLYHEYDOXH

.$FVROXWLRQZLWKDSRVLWLYHEYDOXHLVDOVRXVHGDQG'2LVJHQHUDWHGLQWKHRSSRVLWHGLUHFWLRQWR WKDWRI1D&ODVVKRZQLQ)LJXUHE$VDUHVXOW'2GULYHQFDWLRQWUDQVSRUWRFFXUVLQWKHUHYHUVH GLUHFWLRQWKHUHE\FDXVLQJDQHJDWLYHHIIHFWRQWKH6&&VLHWKHKLJKHULVWKH'2JHQHUDWHGORZHULV WKHPHDVXUHG6&&)LJXUHIVKRZVWKDWWKH6&&VIRUWKH.$FVROXWLRQLQFUHDVHLQWKHVLPLODUPDQQHU ZLWKDQLQFUHDVHLQWHPSHUDWXUH7KHYDULDWLRQLQWKH6&&VFDQEHH[SODLQHGE\WKH*'2YDOXHVRIWKH 6$30VDVVKRZQLQ)LJXUHV6FDQG6G7KH*'2YDOXHVRIWKH6$30VDUHDOPRVWVLPLODUDWq&

DQGLQFUHDVHGLIIHUHQWO\DVWKHWHPSHUDWXUHLVLQFUHDVHGXSWRq&)RUH[DPSOHWKH*'2YDOXHRIWKH

$J#6L2EDVHG6$30LVKLJKHUWKDQWKRVHRIWKHRWKHU6$30VVXFKWKDWWKHPHDVXUHG6&&LVWKH ORZHVW)LJXUHJVKRZVWKHQHJDWLYHYDOXHVRIWKH2&9VXQOLNHWKRVHRI1D&OVKRZQLQ)LJXUHG WKHKLJKHVWPDJQLWXGHRI2&9LVREWDLQHGIRUWKH$J#6L2EDVHG6$30WKDWDIIRUGVWKHORZHVW6&&

7KH*'2YDOXHRIWKH$J#6L2EDVHG6$30LVKLJKHUWKDQWKRVHRIWKHRWKHU6$30VWKHKLJKHVW2&9 PDJQLWXGHVDUHDQGP9DWDQGq&UHVSHFWLYHO\7KHtYDOXHVDUHDOVRLQFOXGHGLQ)LJXUH K)RUWKH6L2DQG$X#6L2EDVHG6$30VWKHtYDOXHVDUHDOPRVWFRQVWDQWQHDULPSO\LQJ WKDWDOPRVWVDPHQXPEHURIFDWLRQVDQGDQLRQVDUHWUDQVIHUUHGZLWKDVLPLODUFRPSRVLWLRQUDWLRLHORZ LRQVHOHFWLYLW\,QFRQWUDVWWKHtYDOXHIRUWKH$J#6L2EDVHG6$30LVWKHKLJKHVWLQGLFDWLQJWKH KLJKHVWLRQVHOHFWLYLW\7KHtYDOXHVRI.$FVROXWLRQJHQHUDOO\DIIRUGDORZHULRQVHOHFWLYLW\_t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

IOX[DQGDFWLYHO\PRGXODWHVWKH]HWDSRWHQWLDORIWKHQDQRSRUHVQDQRFKDQQHOVDQGWHPSHUDWXUHRIWKH HOHFWURO\WHV

)LJXUH (IIHFW RI WHPSHUDWXUH RQ '2GULYHQ LRQ WUDQVSRUWD±E 6FKHPDWLF LOOXVWUDWLRQ RI '2 GULYHQLRQWUDQVSRUWLQDQHJDWLYHO\FKDUJHGQDQRFKDQQHO'2LVJHQHUDWHGLQVLGHWKHHOHFWULFGRXEOH OD\HUGDVKHGOLQHFRPSULVLQJFKHPLRVPRVLV&2 DQGHOHFWURRVPRVLV(2LQWKHSUHVHQFHRIWKH FRQFHQWUDWLRQJUDGLHQWRIHOHFWURO\WHVHJ1D&O7KHGLUHFWLRQRI&2LVIL[HGIURPC+WRC/ZKLOH WKDWRI(2LVJRYHUQHGE\WKHGLIIXVLYLW\GLIIHUHQFHERIWKHHOHFWURO\WHDIRU1D&OVROXWLRQIURP C+WRC/JUHHQDQGEIRU.$FIURPC/WRC+\HOORZ$VDUHVXOW'2LVJHQHUDWHGIURPC+WRC/ IRU1D&ODQGLQWKHRSSRVLWHGLUHFWLRQLHIURPC/WRC+IRU.$FF±K6KRUWFLUFXLWFXUUHQW6&&

RSHQFLUFXLWYROWDJH2&9DQGWUDQVIHUHQFHQXPEHUtRIF±H1D&ODQGI±K.$FLQWKHSUHVHQFH RIWKHFRQFHQWUDWLRQJUDGLHQWLQZKLFKC/ DQGC+ P0LHC0 P0$Wq&WKH6&&V DUHVLPLODUO\PHDVXUHGEXWYDU\VLJQLILFDQWO\ZLWKDQLQFUHDVHLQWHPSHUDWXUHIRUERWK1D&OFDQG.$F I2&9VGDQGJDQGtHDQGKYDOXHVVKRZFRQWUDVWLQJEHKDYLRUVIRUWKHWZRVROXWLRQV6LPXODWLRQ UHVXOWVLQWKHDEVHQFHRI'2DUHFDOFXODWHGDQGSUHVHQWHGLQWKHJUDSKWRFRPSDUHZLWKWKHH[SHULPHQWDO UHVXOWV

'2 '2

6L2

$X#6L2

$J#6L2

6&&S$

7HPSHUDWXUHq&

I

7KHRU\ZR'2

t

7HPSHUDWXUHq&

K J

2&9P9

7HPSHUDWXUHq&

7KHRU\ZR'2

7KHRU\ZR'2

t

7HPSHUDWXUHq&

H G

2&9P9

7HPSHUDWXUHq&

7KHRU\ZR'2

6L2 $X#6L2

$J#6L2

6&&S$

7HPSHUDWXUHq&

F D

C+ C/ C.$F C+ C/ C1D&O

E

&2

(2

&2(2

)LJXUH7KHRUHWLFDOHVWLPDWLRQRIDQGWKHUPDOUHDFWLYLW\RI*'2ZLWKGLIIHUHQWPDWHULDORI6$30 DQGWHPSHUDWXUHIRUP0RI1D&ODEDQG.$FFGHOHFWURO\WHVUHVSHFWLYHO\

6L2

$X#6L2

$J#6L2

*'2PP V

Dalam dokumen Disclaimer 저작자표시 (Halaman 91-102)