多个风险资产投资组合的有效边界模型——投资组合法

计算参数设置组合系数下限B1组合系数上限B2计算间隔

命令按钮

4

-250.1

输入各个证券的预期收益率

证券1证券2证券3

预期收益率8%12%6%标准差32%26%45%

输入各个证券间的协方差矩阵

证券1证券2证券3证券10.10240.03280.0655证券20.03280.0676-0.0058证券30.0655-0.00580.2025证券4-0.00670.01840.0823输入任意两个投资组合

证券1证券2证券3

20%50%10%25%30%40%

证券4

18%36%证券4-0.00670.01840.08230.1296投资组合 X 投资组合 Y

证券4

20%5%

计算过程

投资组合 X 和 Y 的计算结果

预期收益率标准差组合间协方差

投资组合 X 0.1180.2079450.044425投资组合 Y 0.0890.255954绘图数据

组合系数预期收益率标准差

-2.003.10%47.90%-1.903.39%46.64%-1.803.68%45.38%-1.703.97%44.13%-1.604.26%42.89%-1.504.55%41.66%-1.404.84%40.44%-1.305.13%39.24%-1.205.42%38.05%-1.105.71%36.88%-1.006.00%35.72%-0.906.29%34.58%-0.806.58%33.47%-0.706.87%32.37%-0.607.16%31.30%-0.507.45%30.26%-0.407.74%29.25%-0.308.03%28.28%

25%20%预期收益率15%10%5%0%0%20%40%标准差60%-0.208.32%-0.108.61%0.008.90%0.109.19%0.209.48%0.309.77%0.4010.06%0.5010.35%0.6010.64%0.7010.93%0.8011.22%0.9011.51%1.0011.80%1.1012.09%1.2012.38%1.3012.67%1.4012.96%1.5013.25%1.6013.54%1.7013.83%1.8014.12%1.9014.41%2.0014.70%2.1014.99%2.2015.28%2.3015.57%2.4015.86%2.5016.15%2.6016.44%2.7016.73%2.8017.02%2.9017.31%3.0017.60%3.1017.89%3.2018.18%3.3018.47%3.4018.76%3.5019.05%3.6019.34%3.7019.63%3.8019.92%3.9020.21%4.0020.50%4.1020.79%4.2021.08%4.3021.37%4.4021.66%4.5021.95%4.6022.24%4.7022.53%4.8022.82%27.34%26.44%25.60%24.80%24.06%23.38%22.77%22.23%21.77%21.39%21.10%20.90%20.79%20.79%20.87%21.05%21.33%21.69%22.13%22.66%23.26%23.92%24.65%25.44%26.28%27.17%28.10%29.06%30.07%31.10%32.17%33.26%34.37%35.50%36.66%37.83%39.01%40.21%41.43%42.65%43.89%45.14%46.40%47.66%48.94%50.22%51.50%52.80%54.10%55.40%56.71%

4.905.0023.11%23.40%58.03%59.35%

80%