(完整版)投资组合收益率与方差计算模型

已知数据命令按钮

输入证券数量及次数

证券数量6

证券时间10

输入各个证券在某个时期的连续收益及投资比重

时间证券1证券2证券3证券4证券5证券6

165%10%40%25%3%40%

2-34%-9%-42%-19%-1%26%

321%-45%-5%-10%8%-27%

464%46%28%61%15%9%

526%-5%-7%26%17%-10%

6-5%2%10%9%3%23%

7-7%10%9%-18%23%38%

826%9%-18%-68%8%6%

917%3%23%8%27%7%

10-10%23%38%6%7%30%各证券的投资比重10%20%30%20%10%10%单位向量16.30% 4.40%7.60% 2.00%11.00%14.20%各证券的标准差30.13%22.08%24.74%32.51%8.71%20.32%

各证券的协方差

证券1证券2证券3证券4证券5证券6证券19.08% 2.08% 3.72% 4.70%0.43%-1.26%

证券2 2.08% 4.88% 2.88% 2.85%0.35% 2.41%

证券3 3.72% 2.88% 6.12% 4.79%0.57% 1.65%

证券4 4.70% 2.85% 4.79%10.57%0.48%0.13%

证券50.43%0.35%0.57%0.48%0.76%-0.33%

证券6-1.26% 2.41% 1.65%0.13%-0.33% 4.13%投资组合收益率7.71%

投资组合方差17.88%