第08章-投资组合优化多资产(德意志银行Excel金融工程建模)

投资组合优化,,,多资产,,,,,

输入,,,,,,,,

,,预期收益率,标准差,1+E（r）,百分百,,,

无风险利率（r）,,4.0%,0.0%,104.0%,,,,

风险资产1,,8.0%,20.0%,108.0%,100.0%,,,

风险资产2,,9.0%,20.0%,109.0%,100.0%,,,

风险资产3,,10.0%,20.0%,110.0%,100.0%,,,

风险资产4,,11.0%,20.0%,111.0%,100.0%,,,

风险资产5,,12.0%,20.0%,112.0%,100.0%,,,

,,,,,,,,,

,,,相关系数,,,,,

,1,2,3,4,5,,,

1,1.0,0.0,0.0,0.0,0.0,,,

2,0.0,1.0,0.0,0.0,0.0,,,

3,0.0,0.0,1.0,0.0,0.0,,,

4,0.0,0.0,0.0,1.0,0.0,,,

5,0.0,0.0,0.0,0.0,1.0,,,

,,,,,,,,,

,,,标准差,,,,,

,1,2,3,4,5,,,

,20.0%,20.0%,20.0%,20.0%,20.0%,,,

,,,,,,,,,

,,,方差与协方差,,,,,

,1,2,3,4,5,,,

1,4.00%,0.00%,0.00%,0.00%,0.00%,,,

2,0.00%,4.00%,0.00%,0.00%,0.00%,,,

3,0.00%,0.00%,4.00%,0.00%,0.00%,,,

4,0.00%,0.00%,0.00%,4.00%,0.00%,,,

5,0.00%,0.00%,0.00%,0.00%,4.00%,,,

,,,,,,,,,

输出,,,,,,,,

,A,125,,,,,,

,B,137.5,,,,,,

,C.,151.275,,,,,,

,Delta,3.125,,,,,,

,Gamma,0.133333333,,最小方差,有效集直线单个资产,,,

,,,,边界预期,预期,预期,,切点处组合

,,指数,标准差,收益率,收益率,收益率,,的最优权重

风险资产1,,,20.0%,,,8.0%,,13.3%

风险资产2,,,20.0%,,,9.0%,,16.7%

风险资产3,,,20.0%,,,10.0%,,20.0%

风险资产4,,,20.0%,,,11.0%,,23.3%

风险资产5,,,20.0%,,,12.0%,,26.7%

最小方差组合边界,,0,25.00%,6.3%,,,,

最小方差组合边界,,1,22.84%,6.7%,,,,

最小方差组合边界,,2,20.71%,7.0%,,,,

最小方差组合边界,,3,18.63%,7.4%,,,,

最小方差组合边界,,4,16.62%,7.8%,,,,

最小方差组合边界,,5,14.71%,8.2%,,,,

最小方差组合边界,,6,12.93%,8.5%,,,,

最小方差组合边界,,7,11.36%,8.9%,,,,

最小方差组合边界,,8,10.09%,9.3%,,,,

最小方差组合边界,,9,9.24%,9.6%,,,,

最小方差组合边界,,10,8.94%,10.0%,,,,

最小方差组合边界,,11,9.24%,10.4%,,,,

最小方差组合边界,,12,10.09%,10.7%,,,,

最小方差组合边界,,13,11.36%,11.1%,,,,

最小方差组合边界,,14,12.93%,11.5%,,,,

最小方差组合边界,,15,14.71%,11.8%,,,,

最小方差组合边界,,16,16.62%,12.2%,,,,

最小方差组合边界,,17,18.63%,12.6%,,,,

最小方差组合边界,,18,20.71%,13.0%,,,,

最小方差组合边界,,19,22.84%,13.3%,,,,

最小方差组合边界,,20,25.00%,13.7%,,,,

最优风险组合,,,9.2%,,10.3%,,,

有效集直线,,0.0%,0.0%,,4.0%,,,

有效集直线,,100.0%,9.2%,,10.3%,,,

有效集直线,,200.0%,18.4%,,16.7%,,,

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