马克维茨资产组合理论模型构建 两资产模型

A证券B证券

均值0.1630.044

各证券的标准差30.13%22.08%

组合1组合2组合3组合4组合5组合6组合7

00.10.20.30.40.50.6相关系数10.90.80.70.60.50.4 -1均值0.0440.05590.06780.07970.09160.10350.1154标准差22.08%16.86%11.64% 6.42% 1.20% 4.02%9.24% -0.3均值 4.40% 5.59% 6.78%7.97%9.16%10.35%11.54%标准差22.08%19.19%16.87%15.39%15.00%15.78%17.58%

0.3均值 4.40% 5.59% 6.78%7.97%9.16%10.35%11.54%

标准差22.08%20.98%20.30%20.11%20.41%21.18%22.37%

0.8均值 4.40% 5.59% 6.78%7.97%9.16%10.35%11.54%

标准差22.08%22.36%22.78%23.33%24.00%24.80%25.69% 1均值 4.40% 5.59% 6.78%7.97%9.16%10.35%11.54%

标准差22.08%22.89%23.69%24.50%25.30%26.10%26.91%

组合8组合9组合10组合11

0.70.80.91

0.30.20.10

0.12730.13920.15110.163

14.46%19.68%24.91%30.13%

12.73%13.92%15.11%16.30%

20.12%23.16%26.54%30.13%

12.73%13.92%15.11%16.30%

23.93%25.77%27.86%30.13%

12.73%13.92%15.11%16.30%

26.69%27.76%28.91%30.13%

12.73%13.92%15.11%16.30%

27.71%28.52%29.32%30.13%