多品种现货资产的套期保值优化模型.xls

已知数据命令按钮计算结果资产数目3投资组合利润8.5272历史数据个数20投资组合方差0.1158期货期限(天)90 请输入各个资产的现货价格和期货价格的历史数据日期资产1资产2资产3现货价格 期货价格 现货价格期货价格现货价格 期货价格140.0042.0024.0024.8057.0060.50239.8242.0424.5424.9357.7060.77340.1742.1424.4725.0057.8160.61440.5942.3224.0225.0558.2960.53540.7742.4524.1625.2358.2460.76640.9942.3724.5525.4458.4561.45740.8042.3524.8425.4558.3261.84840.3042.5424.8925.2757.8961.46940.0342.6224.7225.2157.5361.361040.0142.4224.6325.2857.6861.881140.0742.2724.5625.2657.7861.991240.1942.3424.6025.6157.5462.121340.4842.2225.0325.7357.4261.791440.7442.3925.2626.0658.0361.531540.5242.4225.5526.1358.6361.871640.1342.3325.4225.9658.7162.051740.3542.2725.6726.1358.2261.921840.2742.2325.3225.9857.8961.261940.4642.3425.5125.7658.2361.892040.2342.4625.9825.8058.0562.16计算过程剩余时间对数计算回归方程斜率计算各资产套期保值后的利润计算资产1资产2资产3资产1资产2资产3资产1资产20.2472-0.0488-0.0328-0.05960.0492-0.35110.28490.2444-0.0543-0.0158-0.0518各资产直接套期保值的套头比计算-0.13960.66140.2417-0.0479-0.0214-0.04731.00960.93401.05700.31130.65680.2389-0.0417-0.0420-0.03770.91310.25350.2361-0.0404-0.0433-0.04241.22430.56160.2333-0.0331-0.0356-0.05011.36361.14780.2306-0.0373-0.0243-0.05861.15341.44710.2278-0.0541-0.0152-0.05980.84521.32900.2250-0.0627-0.0196-0.06450.65601.10290.2222-0.0585-0.0260-0.07030.43401.07830.2194-0.0534-0.0281-0.07030.34260.98960.2167-0.0521-0.0402-0.07660.53331.35650.2139-0.0421-0.0276-0.07330.70211.89860.2111-0.0397-0.0312-0.05861.13372.43680.2083-0.0458-0.0224-0.05380.94402.79220.2056-0.0534-0.0210-0.05530.46322.50340.2028-0.0465-0.0178-0.06160.62262.91220.2000-0.0475-0.0257-0.05660.50222.42210.1972-0.0454-0.0098-0.06100.80332.40660.1944-0.05390.0070-0.06840.69442.9140最优投资比例各资产套期保值后的利润协方差计算资产资产1资产2资产3合计资产1资产2最优投资比例 87.07%11.61%1.31%100.00%资产10.12780.0306资产20.03060.7213资产30.07120.4113资产30.98540.92631.32171.51482.45412.73631.90471.43902.13862.35492.25231.78352.11873.0780各资产套期保值后的利润计算3.34832.72091.69332.69922.8046资产30.07120.41130.4567各资产套期保值后的利润协方差计算