多个风险资产投资组合的有效边界模型——投资组合法

证券数量4组合系数下限B1

-2组合系数上限B2

5计算间隔0.1

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%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%

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

组合系数预期收益率标准差

-2.00 3.10%47.90%

-1.90 3.39%46.64%

-1.80 3.68%45.38%

-1.70 3.97%44.13%

-1.60 4.26%42.89%

-1.50 4.55%41.66%

-1.40 4.84%40.44%

-1.30 5.13%39.24%

-1.20 5.42%38.05%

-1.10 5.71%36.88%

-1.00 6.00%35.72%

-0.90 6.29%34.58%

-0.80 6.58%33.47%

-0.70 6.87%32.37%

-0.607.16%31.30%

-0.507.45%30.26%

-0.407.74%29.25%

-0.308.03%28.28%投资组合 X 和 Y 的计算结果

绘图数据

命令按钮已知数据

输入证券数量

输入各个证券的预期收益率

输入各个证券间的协方差矩阵

输入任意两个投资组合

计算过程

计算参数设置

-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% 0.8011.22%21.10%

0.9011.51%20.90%

1.0011.80%20.79% 1.101

2.09%20.79% 1.2012.38%20.87% 1.3012.67%21.05% 1.4012.96%21.33% 1.501

3.25%21.69% 1.6013.54%22.13% 1.7013.83%22.66% 1.801

4.12%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% 2.7016.73%31.10% 2.8017.02%32.17%

2.9017.31%3

3.26%

3.0017.60%3

4.37% 3.1017.89%3

5.50% 3.2018.18%3

6.66% 3.3018.47%3

7.83% 3.401

8.76%3

9.01% 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%5

5.40% 4.8022.82%5

6.71%

5.0023.40%59.35%