4-1组合优化模型A.xls

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1、数数据据数据（每月股市已调整收盘价）浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔1Sep-0919.6525.0154.2533.1843.0312.272Aug-0917.8424.550.0328.5139.2911.5361Sep-048.246.646.5920.4311.345.85股票回报浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔1Sep-0910.15%2.08%8.43%16.38%9.52%6.42%2Aug-09-34.34%-35.58%-21.04%-14.36%-18.84%-23.44%60Oct-04-12.74%0.90%-4.40%-7.68%-31.3

2、9%-8.21%统统计计量量风险和回报（年度）浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔期望回报0.3010.4940.7250.3670.4460.340标准差0.5000.6850.8040.7060.5990.656相关系数矩阵123456浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔1 浦发银行10.5190.2750.4350.6160.3792 中信证券0.51910.5950.4910.4790.6093 中金黄金0.2750.59510.1970.3910.4344 三一重工0.4350.4910.19710.5620.3535 海螺水泥0.6160.4790.3910.5

3、6210.5256 雅戈尔0.3790.6090.4340.3530.5251协方差矩阵浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔浦发银行0.2500.1780.1100.1530.1850.124中信证券0.1780.4690.3270.2370.1970.273中金黄金0.1100.3270.6460.1120.1880.229三一重工0.1530.2370.1120.4980.2380.163海螺水泥0.1850.1970.1880.2380.3590.207雅戈尔0.1240.2730.2290.1630.2070.430 杜亚斌 2010计计算算给给定定风风险险条条件件下下有有最

4、最大大预预期期回回报报的的组组合合输输入入年风险和回报期望回报标准差浦发银行0.3010.500中信证券0.4940.685中金黄金0.7250.804三一重工0.3670.706海螺水泥0.4460.599雅戈尔0.3400.656协方差矩阵浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔浦发银行0.2503710.1780467 0.11042640.1534147 0.1848898 0.12426657中信证券0.1780470.4694602 0.32742160.23731623 0.1969197 0.27335825中金黄金0.1104260.3274216 0.64609340

5、.11154993 0.1881907 0.22862906三一重工0.1534150.2373162 0.11154990.49791812 0.23767770.1633677海螺水泥0.184890.1969197 0.18819070.23767767 0.3593995 0.20654121雅戈尔0.1242670.2733583 0.22862910.1633677 0.2065412 0.42985427中中间间计计算算无风险利率组合C的资产权重组合A0.05组合A0.7组合B0.20组合B0.3z和有效组合组合A组合B组合CE(ri)-rfzwE(ri)-rfzww0.2510

6、.1730.1080.1014-0.291-0.348-0.0290.4440.1040.0650.29400.2080.2500.1200.6750.8570.5330.52520.7300.8750.6360.3170.1620.1010.16670.0310.0370.0810.3960.5190.3230.24580.5340.6410.4180.290-0.207-0.1290.1403-0.379-0.454-0.226输输出出有效组合组合A组合B组合C无风险利率预期回报0.5880.7980.6510.0520标准差0.5790.8470.651组组合合投投资资的的风风险险与与回

7、回报报1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 0.0 0.2 0.4 0.6 0.8 1.0 1.2 组组合合风风险险（标标准准差差）组组合合期期望望回回报报0.108 0.065 0.533 0.101 0.323-0.129 最最优优组组合合资资产产权权重重浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔-0.2 0.0 0.2 0.4 0.6 A组合权重标准差组合均值单资产资本市场线0.050.65110.65091-0.9651.14651.00002-0.91681.13100.98993-0.86861.11560.97984-0.82051.10020.96

8、975-0.77231.08490.95966-0.72411.06960.94957-0.67591.05440.93948-0.62771.03920.92939-0.57961.02400.919210-0.53141.00890.909111-0.48320.99390.899012-0.43500.97890.888913-0.38680.96400.878814-0.33870.94910.868715-0.29050.93430.858616-0.24230.91950.848517-0.19410.90490.838418-0.14590.89030.828319-0.0978

9、0.87580.818220-0.04960.86130.808121-0.00140.84700.7980220.04680.83270.7879230.09500.81850.7778240.14310.80450.7677250.19130.79050.7576260.23950.77660.7475270.28770.76290.7374280.33590.74930.7273290.38400.73580.7172300.43220.72240.7071310.48040.70920.6970320.52860.69620.6869330.57680.68330.6768340.62

10、490.67060.6667350.67310.65800.6566360.72130.64570.6465370.76950.63350.6364380.81770.62160.6263390.86580.60990.6162400.91400.59840.6061410.96220.58720.5960421.01040.57630.5858431.05860.56560.5757441.10670.55530.5656451.15490.54520.5555461.20310.53550.5454471.25130.52620.5353481.29950.51720.5252491.34

11、760.50860.5151501.39580.50050.5050511.44400.49270.4949521.49220.48550.4848531.54040.47870.4747541.58850.47240.4646551.63670.46660.4545561.68490.46130.4444571.73310.45660.4343581.78130.45250.4242591.82940.44900.4141601.87760.44600.4040611.92580.44370.3939621.97400.44200.3838632.02220.44100.3737642.07

12、030.44050.3636652.11850.44070.3535662.16670.44160.3434672.21490.44300.3333682.26310.44510.3232692.31120.44790.3131702.35940.45120.3030712.40760.45510.2929722.45580.45960.2828732.50400.46460.2727742.55210.47020.2626752.60030.47640.2525762.64850.48300.2424772.69670.49010.2323782.74490.49770.2222792.79

13、300.50570.2121802.84120.51410.2020812.88940.52300.1919822.93760.53220.1818832.98580.54170.1717843.03390.55170.1616853.08210.56190.1515863.13030.57250.1414873.17850.58330.1313883.22670.59440.1212893.27480.60580.1111903.32300.61740.1010913.37120.62930.0909923.41940.64130.0808933.46760.65360.0707943.51

14、570.66610.0606953.56390.67880.0505963.61210.69160.0404973.66030.70460.0303983.70850.71770.0202993.75660.73100.01011003.80480.74450.0000组合A0.580.59浦发银行0.500.30中信证券0.690.49中金黄金0.800.73三一重工0.710.37海螺水泥0.600.45雅戈尔0.660.3400.00000.0550%0.28930.31901277200%1.15721.12605108 杜亚斌 20100.108 0.065 0.533 0.101

15、0.323-0.129 最最优优组组合合资资产产权权重重浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔-0.2 0.0 0.2 0.4 0.6 计计算算给给定定期期望望回回报报条条件件下下风风险险最最小小的的组组合合输输入入期望回报风险单位向量浦发银行0.300.501中信证券0.490.691中金黄金0.730.801三一重工0.370.711海螺水泥0.450.601雅戈尔0.340.661无风险债券0.0500.00协方差矩阵浦发银行 中信证券中金黄金三一重工海螺水泥雅戈尔浦发银行0.250.180.110.150.180.12中信证券0.180.470.330.240.200.27中金

16、黄金0.110.330.650.110.190.23三一重工0.150.240.110.500.240.16海螺水泥0.180.200.190.240.360.21雅戈尔0.120.270.230.160.210.43中中间间计计算算A1.86B1.04C5.15D1.87gh组合C最优组合1.39-2.171.390.11-0.450.88-0.450.06-0.431.63-0.430.530.28-0.300.280.10-0.571.52-0.570.320.78-1.550.78-0.131011输输出出最优组合组合C设定值无风险利率期望回报0.5880.0000.0525标准差0.

17、5790.7445风险期望回报单资产资本市场线0.010.744500.7444770.000.010.7311720.010.108 0.065 0.533 0.101 0.323-0.129 最最优优组组合合权权重重浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔-0.2-0.1 0.0 0.1 0.2 0.3 0.4 0.5 0.6 有有效效前前沿沿1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 0.0 0.2 0.4 0.6 0.8 1.0 1.2 风风险险期期望望回回报报0.020.7180030.020.030.7049780.030.040.6921060.040.

18、050.6793950.050.060.6668540.060.070.6544930.070.080.6423230.080.090.6303540.090.10.6185990.100.110.6070690.110.120.5957770.120.130.5847380.130.140.5739670.140.150.5634770.150.160.5532870.160.170.5434110.170.180.5338680.180.190.5246760.190.20.5158540.200.210.5074210.210.220.4993960.220.230.49180.230.

19、240.4846530.240.250.4779750.250.260.4717850.260.270.4661040.270.280.460950.280.290.4563410.290.30.4522940.300.310.4488230.310.320.4459430.320.330.4436650.330.340.4419980.340.350.4409480.350.360.4405220.360.370.4407190.370.380.441540.380.390.4429810.390.40.4450360.400.410.4476970.410.420.4509520.420.

20、430.4547890.430.440.4591930.440.450.4641490.450.460.4696390.460.470.4756440.470.480.4821450.480.490.4891220.490.50.4965560.500.510.5044250.510.520.5127110.520.530.5213930.530.540.5304510.540.550.5398670.550.560.5496230.560.570.55970.570.580.5700810.580.590.5807510.590.60.5916940.600.610.6028940.610.

21、620.6143380.620.630.6260120.630.640.6379040.640.650.6500010.650.660.6622930.660.670.6747690.670.680.6874190.680.690.7002330.690.70.7132030.700.710.726320.710.720.7395760.720.730.7529640.730.740.7664770.740.750.7801090.750.760.7938530.760.770.8077050.770.780.8216570.780.790.8357060.790.80.8498460.800

22、.810.8640730.810.820.8783830.820.830.8927720.830.840.9072360.840.850.9217710.850.860.9363740.860.870.9510430.870.880.9657740.880.890.9805630.890.90.995410.900.911.0103110.910.921.0252630.920.931.0402650.930.941.0553150.940.951.0704090.950.961.0855480.960.971.1007280.970.981.1159480.980.991.1312070.9

23、911.1465021.00浦发银行0.500.30中信证券0.690.49中金黄金0.800.73三一重工0.710.37海螺水泥0.600.45雅戈尔0.660.34最优组合0.57860.59资本市场线0.000.000.051.000.580.592.001.161.13 杜亚斌 20100.108 0.065 0.533 0.101 0.323-0.129 最最优优组组合合权权重重浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔-0.2-0.1 0.0 0.1 0.2 0.3 0.4 0.5 0.6 Date浦发银行中信证券中金黄金三一重工海螺水泥雅戈尔2009/9/119.6525.

24、0154.2533.1843.0312.272009/8/317.8424.550.0328.5139.2911.532009/7/127.1738.0363.3633.2948.4115.062009/6/123.0228.2665.8828.7742.1413.792009/5/425.6525.4376.7325.2241.5311.242009/4/123.1724.2559.9925.9644.3711.372009/3/221.9225.4759.3223.3535.0810.182009/2/217.7821.3749.9620.3631.538.712009/1/516.692

25、1.7736.3519.4628.798.542008/12/113.2517.9737.2413.9325.937.212008/11/311.9919.5629.9916.2126.577.672008/10/611.7417.8425.0611.1316.967.472008/9/115.6224.7633.716.1526.2310.822008/8/121.9720.1131.415.2530.069.732008/7/122.7122.646.620.7336.9210.92008/6/22223.9249.4127.639.9910.242008/5/528.1234.2464.

26、8337.7457.5314.092008/4/132.439.6459.0837.9160.0317.062008/3/335.452.578.4538.5253.515.472008/2/142.1362.86105.0254.7566.621.012008/1/14668.12105.3952.4668.120.912007/12/352.889.27113.256.6172.8223.72007/11/151.8983.8984.0743.6164.7821.142007/10/158.79105.93124.8463.4281.9528.442007/9/352.596.71139.

27、3450.6683.5227.032007/8/15588.99106.5151.8165.6829.942007/7/240.2565.6367.145.2351.9428.992007/6/136.5952.9746.4143.8958.9625.712007/5/133.7654.0841.435.2254.8530.592007/4/226.958.8645.3630.740.3326.572007/3/126.7242.8831.7340.1432.8814.912007/2/122.3236.9832.6734.0528.9413.272007/1/124.9934.8420.13

28、35.5532.3810.382006/12/121.3127.2918.6231.7929.898.442006/11/116.8318.6320.5420.9625.916.22006/10/213.9814.6715.7118.8318.045.592006/9/110.6214.9217.2116.0815.445.432006/8/19.8313.8319.3912.514.335.442006/7/38.813.3419.7311.4312.765.232006/6/19.9115.6818.614.1913.746.042006/5/19.9715.0828.3210.8214.

29、126.012006/4/310.7211.6821.288.4611.153.682006/3/110.727.5314.567.119.963.682006/2/112.036.3211.015.9710.113.692006/1/211.126.9211.66.368.733.632005/12/19.625.117.416.558.323.142005/11/18.74.96.465.97.232.972005/10/38.414.436.565.646.743.032005/9/18.195.257.136.26.363.332005/8/18.374.896.846.86.283.

30、492005/7/18.236.196.227.435.973.342005/6/17.555.816.427.595.763.392005/5/26.614.895.9418.655.423.182005/4/16.815.246.6916.515.343.72005/3/16.714.26.0115.145.664.972005/2/17.515.486.6617.827.535.742005/1/37.154.895.6215.346.894.992004/12/16.795.86.8316.756.964.662004/11/17.026.697.2618.247.875.232004

31、/10/17.196.76.318.867.785.372004/9/18.246.646.5920.4311.345.852004/8/28.486.335.7318.349.635.472004/7/18.845.897.118.69.625.82004/6/18.536.836.9922.2810.145.322004/5/39.17.537.9325.0210.895.772004/4/19.227.447.8926.8210.965.782004/3/110.4199.5627.8712.7710.332004/2/210.49.459.3326.9412.7810.472004/1

32、/110.7989.2926.3612.078.72003/12/110.17.559.6623.669.657.742003/11/38.946.867.8122.18.837.492003/10/196.517.8623.188.067.292003/9/19.146.998.0522.926.897.812003/8/19.927.498.1723.127.348.342003/7/110.637.0523.397.518.822003/6/211.197.346.568.662003/5/112.748.186.849.012003/4/112.37.936.38.642003/3/310.66.476.38.32003/2/39.346.635.878.212003/1/19.86.675.888.11