多个风险资产投资组合的有效边界模型——投资组合法.xls

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1、已知数据命令按钮输入证券数量证券数量4计算参数设置组合系数下限B1-2组合系数上限B25计算间隔0.1输入各个证券的预期收益率证券1证券2证券3证券4预期收益率8%12%6%18%标准差32%26%45%36%输入各个证券间的协方差矩阵证券1证券2证券3证券4证券10.10240.03280.0655-0.0067证券20.03280.0676-0.00580.0184证券30.0655-0.00580.20250.0823证券4-0.00670.01840.08230.1296输入任意两个投资组合证券1证券2证券3证券4投资组合 X 20%50%10%20%投资组合 Y 25%30%40%5

2、%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 0.118 0.207945 0.044425投资组合 Y 0.089 0.255954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%-0.8

3、06.58%33.47%-0.706.87%32.37%-0.607.16%31.30%-0.507.45%30.26%-0.407.74%29.25%70%60%50%40%30%20%10%0%0%5%10%15%20%25%标准差预期收益率-0.308.03%28.28%-0.208.32%27.34%-0.108.61%26.44%0.008.90%25.60%0.109.19%24.80%0.209.48%24.06%0.309.77%23.38%0.4010.06%22.77%0.5010.35%22.23%0.6010.64%21.77%0.7010.93%21.39%0.801

4、1.22%21.10%0.9011.51%20.90%1.0011.80%20.79%1.1012.09%20.79%1.2012.38%20.87%1.3012.67%21.05%1.4012.96%21.33%1.5013.25%21.69%1.6013.54%22.13%1.7013.83%22.66%1.8014.12%23.26%1.9014.41%23.92%2.0014.70%24.65%2.1014.99%25.44%2.2015.28%26.28%2.3015.57%27.17%2.4015.86%28.10%2.5016.15%29.06%2.6016.44%30.07%2

5、.7016.73%31.10%2.8017.02%32.17%2.9017.31%33.26%3.0017.60%34.37%3.1017.89%35.50%3.2018.18%36.66%3.3018.47%37.83%3.4018.76%39.01%3.5019.05%40.21%3.6019.34%41.43%3.7019.63%42.65%3.8019.92%43.89%3.9020.21%45.14%4.0020.50%46.40%4.1020.79%47.66%4.2021.08%48.94%4.3021.37%50.22%4.4021.66%51.50%4.5021.95%52.80%4.6022.24%54.10%4.7022.53%55.40%4.8022.82%56.71%4.9023.11%58.03%5.0023.40%59.35%70%60%50%40%30%20%10%0%0%5%10%15%20%25%标准差预期收益率