第08章 投資組合優(yōu)化動態(tài)圖(德意志銀行Excel金融工程建模)

1、投投資資組組合合優(yōu)優(yōu)化化動動態(tài)態(tài)圖圖輸輸入入預期收益率標準差無風險利率5.0%250.0%風險資產(chǎn)18.0%4020.0%100風險資產(chǎn)29.0%4520.0%100風險資產(chǎn)310.0%5020.0%100風險資產(chǎn)411.0%5520.0%100風險資產(chǎn)512.0%6020.0%100相關(guān)系數(shù)123451100.0%-40.0%-20.0%-20.0%-20.0%2-40.0%100.0%20.0%-20.0%30.0%3-20.0%20.0%100.0%-30.0%-30.0%4-20.0%-20.0%-30.0%100.0%-10.0%5-20.0%30.0%-30.0%-10.0%100

2、.0%2638124887581379有有效效集集直直線線和和最最小小方方差差邊邊界界曲曲線線25%20%15%10%5%0%0%2%4%6%8%10%12%14%16%標標準準差差( (s s) )預預期期收收益益率率最最優(yōu)優(yōu)風風險險（切切點點處處）組組合合的的組組合合權(quán)權(quán)重重123450%10%20%30%40%風風險險資資產(chǎn)產(chǎn)組組合合權(quán)權(quán)重重標準差1234520.0%20.0%20.0%20.0%20.0%方差和協(xié)方差1 + E(r)100%12345105.0%14.00%-1.60%-0.80%-0.80%-0.80%1108.0%100.0%2-1.60%4.00%0.80%-0.

3、80%1.20%2109.0%100.0%3-0.80%0.80%4.00%-1.20%-1.20%3110.0%100.0%4-0.80%-0.80%-1.20%4.00%-0.40%4111.0%100.0%5-0.80%1.20%-1.20%-0.40%4.00%5112.0%100.0%輸輸出出A339.427B373.2515C.410.4804Delta1.1E+01Gamma 0.059336最小方差有效集單個資產(chǎn)邊界預期預期預期切點處組合指數(shù)標準差收益率收益率收益率的最優(yōu)權(quán)重風險資產(chǎn)120.0%8.0%121.72%風險資產(chǎn)220.0%9.0%28.10%風險資產(chǎn)320.0%1

4、0.0%324.00%風險資產(chǎn)420.0%11.0%424.26%風險資產(chǎn)520.0%12.0%521.92%最小方差邊界025.00%5.48%最小方差邊界122.62%5.93%最小方差邊界220.26%6.38%最小方差邊界317.92%6.83%最小方差邊界415.62%7.27%最小方差邊界513.35%7.72%最小方差邊界611.17%8.17%最小方差邊界79.11%8.62%最小方差邊界87.30%9.07%最小方差邊界95.95%9.52%最小方差邊界105.43%9.97%最小方差邊界115.95%10.41%最小方差邊界127.30%10.86%最小方差邊界139.11%11.31%最小方差邊界1411.17%11.76%最小方差邊界1513.35%12.21%最小方差邊界1615.62%12.66%最小方差邊界1717.92%13.10%最小方差邊界1820.26%13.55%最小方差邊界1922.62%14.00%最小方差邊界2025.00%14.45%切點