本科風險管理課件 01-方差協(xié)方差資料及演示

日期,GE,MSFT,JNJ,K,BA,IBM,

3/Jan/93,2.36,2.68,6.78,20.37,2.34,11.79,

3/Jan/94,4.15,2.64,7.20,18.47,4.21,14.62,

7/Feb/00,4.98,3.68,10.91,19.90,4.20,15.53,

3/Jan/96,8.80,5.73,19.43,29.03,8.09,20.41,

3/Jan/97,13.51,12.64,24.44,27.59,13.93,30.78,

3/Jan/98,21.64,18.49,29.15,38.01,20.19,31.60,

3/Jan/99,30.57,43.37,38.04,34.14,23.47,30.94,

3/Jan/00,40.51,48.51,39.36,20.93,36.27,39.24,

3/Jan/01,42.42,30.26,43.80,23.52,48.13,48.78,

3/Jan/02,34.82,31.58,55.19,28.70,41.39,51.05,

3/Jan/03,22.25,23.52,52.15,32.00,32.81,59.63,

3/Jan/04,31.86,28.16,51.49,37.36,48.86,81.95,

收益數(shù)據(jù),,,,,,,

3/Jan/94,56.44%,-1.50%,6.01%,-9.79%,58.73%,21.51%,

7/Feb/00,18.23%,33.21%,41.56%,7.46%,-0.24%,6.04%,

3/Jan/96,56.93%,44.28%,57.71%,37.76%,65.55%,27.33%,

3/Jan/97,42.87%,79.12%,22.94%,-5.09%,54.34%,41.08%,

3/Jan/98,47.11%,38.04%,17.62%,32.04%,37.11%,2.63%,

3/Jan/99,34.55%,85.25%,26.62%,-10.74%,15.05%,-2.11%,

3/Jan/00,28.15%,11.20%,3.41%,-48.93%,43.53%,23.76%,

3/Jan/01,4.61%,-47.19%,10.69%,11.67%,28.29%,21.76%,

3/Jan/02,-19.74%,4.27%,23.11%,19.90%,-15.09%,4.55%,

3/Jan/03,-44.78%,-29.47%,-5.67%,10.88%,-23.23%,15.54%,

3/Jan/04,35.90%,18.01%,-1.27%,15.49%,39.82%,31.80%,

,,,,,,,,

均值,23.66%,21.38%,18.43%,5.51%,27.63%,17.63%,

方差,10.35%,16.57%,3.60%,5.70%,8.96%,1.84%,

標準差,32.17%,40.71%,18.97%,23.86%,29.93%,13.56%,

,,,,,,,,

超額收益,32.78%,-22.89%,-12.42%,-15.31%,31.11%,3.89%,

,-5.43%,11.83%,23.13%,1.94%,-27.86%,-11.59%,

,33.27%,22.90%,39.28%,32.25%,37.93%,9.70%,

,19.21%,57.73%,4.51%,-10.60%,26.72%,23.46%,

,23.45%,16.65%,-0.81%,26.53%,9.49%,-15.00%,

,10.89%,63.87%,8.19%,-16.25%,-12.57%,-19.74%,

,4.49%,-10.18%,-15.02%,-54.44%,15.90%,6.14%,

,-19.05%,-68.58%,-7.74%,6.15%,0.67%,4.14%,

,-43.40%,-17.11%,4.68%,14.39%,-42.71%,-13.08%,

,-68.45%,-50.85%,-24.10%,5.37%,-50.86%,-2.09%,

,12.24%,-3.38%,-19.70%,9.97%,12.20%,14.17%,

,GE,MSFT,JNJ,K,BA,IBM,

GE,0.1035,0.0758,0.0222,-0.0043,0.0857,0.0123,方差協(xié)方差矩陣

MSFT,0.0758,0.1657,0.0412,-0.0052,0.0379,-0.0022,

JNJ,0.0222,0.0412,0.0360,0.0181,0.0101,-0.0039,

K,-0.0043,-0.0052,0.0181,0.0570,-0.0076,-0.0046,

BA,0.0857,0.0379,0.0101,-0.0076,0.0896,0.0248,

IBM,0.0123,-0.0022,-0.0039,-0.0046,0.0248,0.0184,

,GE,MSFT,JNJ,K,BA,IBM,

GE,,,,,,,

MSFT,,,,,,,

JNJ,,,,,,,

K,0.0100,,,,,,

BA,0.2000,,,,,,

IBM,,此地運用模擬運算表,,,路徑:數(shù)據(jù)--假設分析--數(shù)據(jù)表--2007EXCEL,,

0.0020,0.3217,0.4071,0.1897,0.2386,0.2993,0.1356,兩變量標準差乘積

0.3217,0.1035,0.1310,0.0610,0.0768,0.0963,0.0436,

0.4071,0.1310,0.1657,0.0772,0.0972,0.1218,0.0552,

0.1897,0.0610,0.0772,0.0360,0.0453,0.0568,0.0257,

0.2386,0.0768,0.0972,0.0453,0.0570,0.0714,0.0324,

0.2993,0.0963,0.1218,0.0568,0.0714,0.0896,0.0406,

0.1356,0.0436,0.0552,0.0257,0.0324,0.0406,0.0184,

#N/A,,,,,,,

,GE,MSFT,JNJ,K,BA,IBM,

GE,1,0.5791,0.3632,-0.0560,0.8905,0.2819,相關系數(shù)矩陣

MSFT,0.5791,1,0.5340,-0.0532,0.3113,-0.0406,

JNJ,0.3632,0.5340,1.0000,0.4002,0.1780,-0.1529,

K,-0.0560,-0.0532,0.4002,1.0000,-0.1067,-0.1427,

BA,0.8905,0.3113,0.1780,-0.1067,1.0000,0.6116,

IBM,0.2819,-0.0406,-0.1529,-0.1427,0.6116,1,

#N/A,1,,,,,,

#N/A,1,,,,,,

2007EXCEL數(shù)據(jù)分析直接計算,,,,路徑:數(shù)據(jù)--數(shù)據(jù)分析--相關系數(shù),,,

,GE,MSFT,JNJ,K,BA,IBM,

GE,1.0000,,,,,,

MSFT,0.5791,1.0000,,,,,

JN