七种股票组合的卖空和限制卖空可行集比较.xls

《七种股票组合的卖空和限制卖空可行集比较.xls》由会员分享，可在线阅读，更多相关《七种股票组合的卖空和限制卖空可行集比较.xls（9页珍藏版）》请在淘文阁 - 分享文档赚钱的网站上搜索。

1、2005-2006年七种股票的表现A.股票的年标准差、平均收益率与相关系数标准差平均收益率%股票121.115.7股票22521.7股票323.518.3股票426.617.3股票527.614.8股票623.410.5股票726.617.2相关矩阵股票1股票2股票3股票4股票5股票6股票110.370.530.260.430.73股票20.3710.470.360.290.36股票30.530.4710.430.50.54股票40.260.360.4310.260.29股票50.430.290.50.2610.56股票60.730.360.540.290.561股票70.440.630.51

2、0.420.340.39B.斜方差矩阵：结果股票1股票2股票3股票4股票5股票6股票1445.21195.175 262.8005 145.9276250.4148360.4302股票2195.175625276.125239.4200.1210.6股票3262.8005276.125552.25268.793324.3296.946股票4145.9276239.4268.793707.56190.8816180.5076股票5250.4148200.1324.3 190.8816761.76361.6704股票6360.4302210.6296.946 180.5076361.6704547

3、.56股票7246.9544418.95318.801 297.1752249.6144242.7516C.等权重资产组合的加斜边方差矩阵与资产组合方差：结果 股票1股票2股票3股票4股票5股票6权重0.793139640.7261785 0.3665050.19286 0.16866756-1.000636840.79313964 280.068472 112.413179 76.39341 22.32185 33.4997216-286.0535330.726178496 112.413179 329.584505 73.49015 33.52823 24.5087986-153.0305

4、850.366505123 76.3934094 73.4901549 74.18154 18.99945 20.0474227-108.9015390.192860428 22.3218519 33.5282323 18.9994526.3178 6.20924423-34.83494310.168667555 33.4997216 24.5087986 20.04742 6.209244 21.6711153-61.0409106-1.00063684-286.05353-153.03059-108.902-34.8349-61.040911 548.2576376-0.2467144-4

5、8.323783-75.058535-28.8267-14.14-10.387133 59.928456591 190.319317 345.435749 125.3838 58.40161 34.5082589-35.675417资产组合方差644.633391资产组合SD25.39资产组合均值26.0000001D均值为16.5%的有效率边界资产组合的加边协方差矩阵(与等权重资产组合有相同的均值-权重由Solver改变）问问题题,限限制制卖卖空空和和允允许许卖卖空空，得得到到两两条条可可行行集集的的关关系系如如何何？两两者者关关系系说说明明什什么么？给定资产组合均值允许卖空风险限制卖空风险

6、910.51112141517.51818.5212226给定风险求收益最大值与有效集完全重合说明 为什么是有效集，风险定收益最大，有效给定风险求收益最小，在有效及以下的正好为有效集舍弃的部分完成对接2、不限制卖空下给定收益，风险最小924.2410.523.422.131122.321.481220.6420.291418.418.411517.7717.7717.517.2217.221817.4117.318.517.7917.442122.5219.042225.3520.032625.3980133.381.210.80.60.40.2000.20.40.60.811.2系列1160

7、1401201008060402000102030405060708090限制不限制1601401201008060402000102030405060708090限制不限制股票70.440.630.510.420.340.391股票7246.9544418.95318.801297.1752249.6144242.7516707.56股票7-0.246714403-48.32378332-75.05853492-28.82665357-14.140025548.1624.282)20*9.012*1.0()(22222112121222221212wwwwwwp-10.3871329259.9284565943.06775971-73.73991397问问题题,限限制制卖卖空空和和允允许许卖卖空空，得得到到两两条条可可行行集集的的关关系系如如何何？两两者者关关系系说说明明什什么么？8.1624.282)20*9.012*1.0()(22222112121222221212wwwwwwp