第08章 有无卖空限制下的有效边界(德意志银行Excel金融工程建模)

习题答案

股票代码年预期收益率年标准差

6006010.20970.7047

6006020.09180.6313

6006030.23330.6479

6006040.20440.7634

6006510.35390.6450

6006520.34550.6604

6006530.26920.6646

6006540.08790.7213

相关系数矩阵

600601600602600603600604600651 600601 1.000.560.620.430.66 6006020.56 1.000.620.600.62 6006030.620.62 1.000.700.71 6006040.430.600.70 1.000.52 6006510.660.620.710.52 1.00 6006520.610.590.650.480.75 6006530.580.600.680.560.69 6006540.640.590.600.470.68

协方差矩阵

600601600602600603600604600651 6006010.500.250.280.230.30 6006020.250.400.250.290.25 6006030.280.250.420.350.30 6006040.230.290.350.580.26 6006510.300.250.300.260.42 6006520.290.250.280.240.32 6006530.270.250.290.290.29 6006540.320.270.280.260.32

等权重组合的协方差矩阵

600601600602600603600604600651

权重0.12500.12500.12500.12500.1250

0.12500.00780.00390.00440.00360.0047

0.12500.00390.00620.00400.00450.0039

0.12500.00440.00400.00660.00540.0047

0.12500.00360.00450.00540.00910.0040

0.12500.00470.00390.00470.00400.0065

0.12500.00450.00390.00430.00380.0050

0.12500.00420.00390.00460.00450.0046

0.12500.00510.00420.00440.00410.0049

10.03810.03460.03830.03890.0383

组合的方差0.3040

组合的标准差0.5514

组合的均值0.2245

给定预期收益率的协方差矩阵

0.26920.00790.02890.00810.00560.0094

0.11910.00390.00810.00600.00290.0050

0.07100.00190.00560.00290.00290.0025

0.13960.00490.00940.00500.00250.0081

0.14720.00490.00980.00490.00250.0066

0.11360.00360.00770.00400.00230.0047

0.02270.00090.00170.00080.00040.0010

10.03500.07910.03550.02110.0422

组合的方差0.2981

组合的标准差0.5460

组合的均值0.2245

对于不同预期收益率水平各股票的最优权重

权重

600652600653600654

0.610.580.64

0.590.600.59

0.650.680.60

0.480.560.47

0.750.690.68

1.000.730.59

0.73 1.000.61

0.590.61 1.00

600652600653600654

0.290.270.32

0.250.250.27

0.280.290.28

0.240.290.26

0.320.290.32

0.440.320.28

0.320.440.29

0.280.290.52

600652600653600654 0.12500.12500.1250 0.00450.00420.0051 0.00390.00390.0042 0.00430.00460.0044 0.00380.00450.0041 0.00500.00460.0049 0.00680.00500.0044 0.00500.00690.0046

0.00440.00460.0081

0.03760.03830.0398

0.00980.00770.0017

0.00490.00400.0008

0.00250.00230.0004

0.00660.00470.0010

0.00950.00530.0009

0.00530.00570.0008

0.00090.00080.0003

0.04450.03400.0067股票的最优权重