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方差-协方差矩阵的计算

方差-协方差矩阵的计算

年份股票A股票B股票C股票D股票E股票F市场指数1994-0.3505-0.1154-0.4246-0.2107-0.07580.2331-0.2647 19950.70830.24720.37190.22270.02130.35690.3720 19960.73290.36650.25500.58150.12760.07810.2384 1997-0.2034-0.4271-0.0490-0.09380.0712-0.2721-0.0718 19980.1663-0.0452-0.05730.27510.1372-0.13460.0656 1999-0.26590.01580.08980.07930.02150.22540.1844 20000.01240.47510.3350-0.18940.20020.36570.3242 2001-0.0264-0.2042-0.0275-0.74270.09130.0479-0.0491 2002 1.0642-0.14930.6968-0.26150.22430.04560.2141 20030.19420.36800.3110 1.86820.20660.26400.2251

β 1.482038 1.083976 1.310673 1.2991120.2622460.493903

市场指数的方差

0.035948

股票A股票B股票C股票D股票E股票F

1.482038 1.083976 1.310673 1.2991120.2622460.493903股票A 1.4820380.0789580.0577510.0698280.0692120.0139720.026313股票B 1.0839760.0577510.0422390.0510730.0506230.0102190.019246股票C 1.3106730.0698280.0510730.0617540.0612090.0123560.023271股票D 1.2991120.0692120.0506230.0612090.060670.0122470.023066股票E0.2622460.0139720.0102190.0123560.0122470.0024720.004656股票F0.4939030.0263130.0192460.0232710.0230660.0046560.008769

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