相关系数 比例与投资组合的收益率和标准差

收益率 月份 价格 收益率 0 25 连续型 离散型 1 24.12 -3.58% -3.52% 2 23.37 -3.16% -3.11% 3 24.75 5.74% 5.91% 4 26.62 7.28% 7.56% 5 26.5 -0.45% -0.45% 6 28 5.51% 5.66% 7 28.88 3.09% 3.14% 8 29.75 2.97% 3.01% 9 31.38 5.33% 5.48% 10 36.25 14.43% 15.52% 11 37.13 2.40% 2.43% 12 36.88 -0.68% -0.67% 月均 3.24% 3.41% 月方差(总） 0.23% 0.25% 月方差(样） 0.25% 0.28% 月 标准 excel标准偏差excel标准偏差函数exl标准差函数国标检验抽样标准表免费下载红头文件格式标准下载 差(总） 4.78% 5.02% 月标准差(样） 5.00% 5.25% 5.00%期望值－标准差 变量值 离差 1500 1200 200 -100 -800 -1100 平均 300 0 合计 概率 收益率 期望值 概率 政府债券 公司债 股票X 股票Y 0.2 -7% -1.4% 0.2 8% 12% -6% -7% 0.5 15% 7.5% 0.5 8% 9% 12% 15% 0.3 30% 9.0% 0.3 8% 7% 25% 30% 合计 1 15.1% 期望值 8.0% 9.0% 12.3% 15.1% 方差 3.92% 0.0% 0.0% 0.0% 0.0% 标准差 19.81% A B 组合 目标 收益率 30% 10% 25% 权数 75% 25% 25.0%完全正相关 收益率的平均值和标准差 方案 气瓶 现场处置方案 .pdf气瓶 现场处置方案 .doc见习基地管理方案.doc关于群访事件的化解方案建筑工地扬尘治理专项方案下载 A B 组合PA+B 投资额 50 50 100 年度 收益额 收益率 收益额 收益率 收益额 收益率 比重 收益率 年度 RA RB RP WA WB RP xi－X yi－Y （xi－X）×（yi－Y） （xi－X）2 （yi－Y）2 200×1 20 40% 20 40% 40 40% 50% 50% 40% 25% 25% 6.2500% 0.0625 0.0625 200×2 -5 -10% -5 -10% -10 -10% 50% 50% -10% -25% -25% 6.2500% 0.0625 0.0625 200×3 17.5 35% 17.5 35% 35 35% 50% 50% 35% 20% 20% 4.0000% 0.04 0.04 200×4 -2.5 -5% -2.5 -5% -5 -5% 50% 50% -5% -20% -20% 4.0000% 0.04 0.04 200×5 7.5 15% 7.5 15% 15 15% 50% 50% 15% 0% 0% 0.0000% 0 0 平均数 15% 15% 50% 50% 15% 求和 20.5000% 20.5000% 20.5000% 标准差 22.64% 22.64% 22.64% 22.64% 求算术平方根 0.4527692569 0.4527692569 协方差 4.10% 4.10% 相关系数 1 1完全负相关 收益率的平均值和标准差 方案 C D 组合PC+D 投资额 50 50 100 年度 收益额 收益率 收益额 收益率 收益额 收益率 比重 收益率 年度 RA RB WA WB RP xi－X yi－Y （xi－X）×（yi－Y） （xi－X）2 （yi－Y）2 200×1 20 40% -5 -10% 50% 50% 15% 25% -25% -6.2500% 0.0625 0.0625 200×2 -5 -10% 20 40% 50% 50% 15% -25% 25% -6.2500% 0.0625 0.0625 200×3 17.5 35% -2.5 -5% 50% 50% 15% 20% -20% -4.0000% 0.04 0.04 200×4 -2.5 -5% 17.5 35% 50% 50% 15% -20% 20% -4.0000% 0.04 0.04 200×5 7.5 15% 7.5 15% 50% 50% 15% 0% 0% 0.0000% 0 0 平均数 15% 15% 50% 50% 15% 求和 -20.5000% 20.5000% 20.5000% 标准差 22.64% 22.64% 0.00% 0% 求算术平方根 0.4527692569 0.4527692569 协方差 -4.10% -4.10% 相关系数 -1 -1两项资产组合1 X和Yi股票的相关资料 股票 期望收益率 标准差 与股票X的相关系数 X 10% 12% 1 Y1 14% 18% -1 Y2 14% 18% -0.25 Y3 14% 18% 0.25 Y4 14% 18% 1 X和Yi股票组成的投资组合 投资比重 不同相关系数下投资组合的标准差 期望收益率 Wyi WX δP（rXY1=-1) δP（rXY2=-0.25） δP（rXY3=0.25） δP（rXY4=1） RP 0% 0.18 -1 -0.25 0.25 1 1 100% 0% 0.180 0.180 0.180 0.180 14.00% 2 90% 10% 0.150 0.159 0.165 0.174 13.60% 3 80% 20% 0.120 0.140 0.152 0.168 13.20% 4 70% 30% 0.090 0.122 0.139 0.162 12.80% 5 60% 40% 0.060 0.107 0.129 0.156 12.40% 6 50% 50% 0.030 0.095 0.120 0.150 12.00% 7 40% 60% 0.000 0.088 0.114 0.144 11.60% 8 30% 70% 0.030 0.088 0.111 0.138 11.20% 9 20% 80% 0.060 0.094 0.111 0.132 10.80% 10 10% 90% 0.090 0.105 0.114 0.126 10.40% 11 0% 100% 0.120 0.120 0.120 0.120 10.00% 最小方差组合 34% 66% 0.017 0.087 0.112 0.141 优于组合1的组合两项资产组合1 r=-1r=-0.25r=0.25r=1风险（标准差）期望收益率X和Yi股票组成的投资组合机会集两项资产组合2 KA 10% σA 12% KB 15% σB 20% rA,B -0.5 -0.5 -0.5 -0.5 -0.5 -0.5 1 组合 WA WB KP σP σP 3 σP σP σP σP 1 100% 0% 10.00% 12.00% 12.00% 12.00% 12.00% 12.00% 12.00% 12.00% 2 80% 20% 11.00% 8.35% 8.35% 8.35% 8.35% 8.35% 8.35% 13.60% 3 60% 40% 12.00% 7.63% 7.63% 7.63% 7.63% 7.63% 7.63% 15.20% 4 50% 50% 12.50% 8.72% 8.72% 8.72% 8.72% 8.72% 8.72% 16.00% 5 40% 60% 13.00% 10.46% 10.46% 10.46% 10.46% 10.46% 10.46% 16.80% 6 20% 80% 14.00% 14.95% 14.95% 14.95% 14.95% 14.95% 14.95% 18.40% 7 0% 100% 15.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 8 45% 0.55 12.75% 9.53% 0.0952680429 0.0952680429 0.0952680429 0.0952680429 0.0952680429 0.164 最小方差组合 79% 21% 11.07% 8.18% 8.18% 8.18% 8.18% 8.18% 8.18% 13.71% 优于组合1的组合两项资产组合2 r=-1r=-0.5r=-0.2r=0r=0.2r=0.5r=1A、B间连线风险（标准差）收益率机会集三项资产组合 三项资产的风险资产组合 E(rA)= 10.00% σA= 20.00% covAB= -0.03 ρAB= -0.5000 rF= 5.00% E(rB)= 25.00% σB= 30.00% covBC= 0.01 ρBC= 0.0667 E(rC)= 40.00% σC= 50.00% covAC= -0.02 ρAC= -0.2000 最小方差组合： ωMVA 59% ωMVB 32% ωMVC 9% E(rMV)= 17.50% σMV= 11.09% 市场组合： ωMA 48% ωMB 36% ωMC 16% E(rM)= 20.20% σM= 12.24% RP 15.20% SHARPE 1.2414 任意组合： ωA 30% ωB 30% ωC 40% covPM= 2.10% beta= 1.4034 E(rP)= 26.33% E(rP)= 26.50% 可能组合： ωA ωB ωC E(r) σ 100% 0% 0% 10.00% 20.00% 90% 10% 0% 11.50% 16.70% 80% 20% 0% 13.00% 14.00% 70% 30% 0% 14.50% 12.29% 60% 40% 0% 16.00% 12.00% 50% 50% 0% 17.50% 13.23% 40% 60% 0% 19.00% 15.62% 30% 70% 0% 20.50% 18.73% 20% 80% 0% 22.00% 22.27% 10% 90% 0% 23.50% 26.06% 0% 100% 0% 25.00% 30.00% 90% 0% 10% 13.00% 17.69% 80% 10% 10% 14.50% 14.56% 70% 20% 10% 16.00% 12.21% 60% 30% 10% 17.50% 11.14% 50% 40% 10% 19.00% 11.70% 40% 50% 10% 20.50% 13.71% 30% 60% 10% 22.00% 16.64% 20% 70% 10% 23.50% 20.10% 10% 80% 10% 25.00% 23.85% 0% 90% 10% 26.50% 27.78% 80% 0% 20% 16.00% 17.09% 70% 10% 20% 17.50% 14.53% 60% 20% 20% 19.00% 12.96% 50% 30% 20% 20.50% 12.77% 40% 40% 20% 22.00% 14.00% 30% 50% 20% 23.50% 16.34% 20% 60% 20% 25.00% 19.39% 10% 70% 20% 26.50% 22.87% 0% 80% 20% 28.00% 26.61% 70% 0% 30% 19.00% 18.36% 60% 10% 30% 20.50% 16.61% 50% 20% 30% 22.00% 15.91% 40% 30% 30% 23.50% 16.37% 30% 40% 30% 25.00% 17.92% 20% 50% 30% 26.50% 20.30% 10% 60% 30% 28.00% 23.26% 0% 70% 30% 29.50% 26.61% 60% 0% 40% 22.00% 21.17% 50% 10% 40% 23.50% 20.17% 40% 20% 40% 25.00% 20.10% 30% 30% 40% 26.50% 20.95% 20% 40% 40% 28.00% 22.63% 10% 50% 40% 29.50% 24.96% 0% 60% 40% 31.00% 27.78% 50% 0% 50% 25.00% 25.00% 40% 10% 50% 26.50% 24.58% 30% 20% 50% 28.00% 24.92% 20% 30% 50% 29.50% 26.00% 10% 40% 50% 31.00% 27.73% 0% 50% 50% 32.50% 30.00% 40% 0% 60% 28.00% 29.46% 30% 10% 60% 29.50% 29.44% 20% 20% 60% 31.00% 30.07% 10% 30% 60% 32.50% 31.29% 0% 40% 60% 34.00% 33.05% 30% 0% 70% 31.00% 34.31% 20% 10% 70% 32.50% 34.58% 10% 20% 70% 34.00% 35.40% 0% 30% 70% 35.50% 36.72% 20% 0% 80% 34.00% 39.40% 10% 10% 80% 35.50% 39.89% 0% 20% 80% 37.00% 40.84% 10% 0% 90% 37.00% 44.64% 0% 10% 90% 38.50% 45.30% 0% 0% 100% 40.00% 50.00%三项资产组合 0 0 0 0 0 0 0 0 0 0 0E(rP)βE(rP)证券市场线SML项数与风险的关系 0.1 0.115 0.13 0.145 0.16 0.175 0.19 0.205 0.22 0.235 0.25 0.13 0.145 0.16 0.175 0.19 0.205 0.22 0.235 0.25 0.265 0.16 0.175 0.19 0.205 0.22 0.235 0.25 0.265 0.28 0.19 0.205 0.22 0.235 0.25 0.265 0.28 0.295 0.22 0.235 0.25 0.265 0.28 0.295 0.31 0.25 0.265 0.28 0.295 0.31 0.325 0.28 0.295 0.31 0.325 0.34 0.31 0.325 0.34 0.355 0.34 0.355 0.37 0.37 0.385 0.4贝他 资产平均收益的方差 50% 两资产的平均协方差 10% 资产个数 组合的标准差 1 71% 2 55% 3 48% 4 45% 5 42% 6 41% 7 40% 8 39% 9 38% 10 37% 11 37% 12 37% 13 36% 14 36% 15 36% 16 35% 17 35% 18 35% 19 35% 20 35% 21 35% 22 34% 23 34% 24 34% 25 34% 100 32%贝他 资产项数风险（标准差）投资组合中资产项数与风险的关系 年份 市场组合 个股 SUMMARYOUTPUT 1998 17.69% 29.96% 1999 -15.62% -1.36% 回归统计 2000 -25.12% -32.71% MultipleR 0.8427328791 2001 38.45% 17.10% RSquare 0.7101987054 2002 26.35% 39.44% AdjustedRSquare 0.6377483818 2003 -5.21% 0.55% 标准误差 0.1557866085 观测值 6 方差分析 df SS MS F SignificanceF 回归分析 1 0.2379029305 0.2379029305 9.8025608416 0.0351545812 残差 4 0.0970778695 0.0242694674 总计 5 0.3349808 Coefficients 标准误差 tStat P-value Lower95% Upper95% 下限95.0% 上限95.0% Intercept 0.0355027336 0.0657972715 0.5395775966 0.6181226467 -0.1471797787 0.2181852459 -0.1471797787 0.2181852459 XVariable1 0.866950187 0.2769009026 3.1309041572 0.0351545812 0.0981500315 1.6357503426 0.0981500315 1.6357503426 年份 X y SUMMARYOUTPUT 1 1.50% 1.80% 2 1.00% -0.50% 回归统计 3 0.00% 2.00% MultipleR 0.8927500396 4 -2.00% -2.00% RSquare 0.7970026331 5 4.00% 5.00% AdjustedRSquare 0.7462532914 6 3.00% 5.00% 标准误差 0.0142847697 观测值 6 方差分析 df SS MS F SignificanceF 回归分析 1 0.0032046148 0.0032046148 15.70468909 0.0166370068 残差 4 0.0008162186 0.0002040546 总计 5 0.0040208333 Coefficients 标准误差 tStat P-value Lower95% Upper95% 下限95.0% 上限95.0% Intercept 0.0040382514 0.0069243965 0.5831918193 0.5910625442 -0.0151869553 0.023263458 -0.0151869553 0.023263458 XVariable1 1.1836065574 0.298670749 3.9629142168 0.0166370068 0.3543636183 2.0128494965 0.3543636183 2.0128494965 y=0.867x+0.0355R2=0.7102 y=1.1836x+0.004R2=0.797