证券投资 EXCEL工具 第12章 有无卖空限制下的有效边界
习题答案
股票代码年预期收益率年标准差
6006010.20970.7047
6006020.09180.6313
6006030.23330.6479
6006040.20440.7634
6006510.35390.6450
6006520.34550.6604
6006530.26920.6646
6006540.08790.7213
相关系数矩阵
600601600602600603600604600651 600601 1.000.560.620.430.66 6006020.56 1.000.620.600.62 6006030.620.62 1.000.700.71 6006040.430.600.70 1.000.52 6006510.660.620.710.52 1.00 6006520.610.590.650.480.75 6006530.580.600.680.560.69 6006540.640.590.600.470.68
协方差矩阵
600601600602600603600604600651 6006010.500.250.280.230.30 6006020.250.400.250.290.25 6006030.280.250.420.350.30 6006040.230.290.350.580.26 6006510.300.250.300.260.42 6006520.290.250.280.240.32 6006530.270.250.290.290.29 6006540.320.270.280.260.32
等权重组合的协方差矩阵
600601600602600603600604600651
权重0.12500.12500.12500.12500.1250
0.12500.00780.00390.00440.00360.0047
0.12500.00390.00620.00400.00450.0039
0.12500.00440.00400.00660.00540.0047
0.12500.00360.00450.00540.00910.0040
0.12500.00470.00390.00470.00400.0065
0.12500.00450.00390.00430.00380.0050
0.12500.00420.00390.00460.00450.0046
0.12500.00510.00420.00440.00410.0049
10.03810.03460.03830.03890.0383
组合的方差0.3040
组合的标准差0.5514
组合的均值0.2245
给定预期收益率的协方差矩阵
0.26920.00790.02890.00810.00560.0094
0.11910.00390.00810.00600.00290.0050
0.07100.00190.00560.00290.00290.0025
0.13960.00490.00940.00500.00250.0081
0.14720.00490.00980.00490.00250.0066
0.11360.00360.00770.00400.00230.0047
0.02270.00090.00170.00080.00040.0010
10.03500.07910.03550.02110.0422
组合的方差0.2981
组合的标准差0.5460
组合的均值0.2245
对于不同预期收益率水平各股票的最优权重
权重
600652600653600654
0.610.580.64
0.590.600.59
0.650.680.60
0.480.560.47
0.750.690.68
1.000.730.59
0.73 1.000.61
0.590.61 1.00
600652600653600654
0.290.270.32
0.250.250.27
0.280.290.28
0.240.290.26
0.320.290.32
0.440.320.28
0.320.440.29
0.280.290.52
600652600653600654 0.12500.12500.1250 0.00450.00420.0051 0.00390.00390.0042 0.00430.00460.0044 0.00380.00450.0041 0.00500.00460.0049 0.00680.00500.0044 0.00500.00690.0046
0.00440.00460.0081
0.03760.03830.0398
0.00980.00770.0017
0.00490.00400.0008
0.00250.00230.0004
0.00660.00470.0010
0.00950.00530.0009
0.00530.00570.0008
0.00090.00080.0003
0.04450.03400.0067股票的最优权重