资产定价模型.xls

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1、资资产产最最优优话话模模型型动动态态图图输输入入期望回报率标准差无风险利率1.2%60.0%风险资产 19.4%4733.4%167风险资产 29.0%4520.0%100风险资产 310.0%5020.0%100风险资产 411.0%5520.0%100风险资产 512.0%6020.0%100相关系数123451100.0%0.0%0.0%0.0%0.0%20.0%100.0%0.0%0.0%0.0%30.0%0.0%100.0%0.0%0.0%40.0%0.0%0.0%100.0%0.0%50.0%0.0%0.0%0.0%100.0%210310104101010510101010Eff

2、.Trade-Off Line&Eff.Frontier Curve25%20%15%10%5%0%0%2%4%6%8%10%12%14%16%标标准准差差 (s)(s)期期望望回回报报率率最最优优资资产产（正正切切）组组合合权权重重.123450%10%20%30%40%资资产产数数目目组组合合权权重重标准差1234533.4%20.0%20.0%20.0%20.0%1+期望方差与协方差回报率112345101.2%111.16%0.00%0.00%0.00%0.00%1109.4%100.0%20.00%4.00%0.00%0.00%0.00%2109.0%100.0%30.00%0.00

3、%4.00%0.00%0.00%3110.0%100.0%40.00%0.00%0.00%4.00%0.00%4111.0%100.0%50.00%0.00%0.00%0.00%4.00%5112.0%100.0%OutputsA108.964B120.307C.132.844效率前有效的单个Delta1.5E+00缘曲线风险资产Gamma0.09965收益线风险资产期望期望期望的最优组合索引标准差回报率回报率回报率（正切组合）风险资产 133.4%9.4%17.32%风险资产 220.0%9.0%219.43%风险资产 320.0%10.0%321.92%风险资产 420.0%11.0%42

4、4.41%风险资产 520.0%12.0%526.91%风险收益曲线025.00%7.73%风险收益曲线122.88%8.00%风险收益曲线220.81%8.26%Eff.Trade-Off Line&Eff.Frontier Curve25%20%15%10%5%0%0%2%4%6%8%10%12%14%16%标标准准差差 (s)(s)期期望望回回报报率率风险收益曲线318.79%8.53%风险收益曲线416.84%8.80%风险收益曲线515.00%9.07%风险收益曲线613.31%9.34%风险收益曲线711.82%9.60%风险收益曲线810.63%9.87%风险收益曲线99.85%

5、10.14%风险收益曲线109.58%10.41%风险收益曲线119.85%10.68%风险收益曲线1210.63%10.95%风险收益曲线1311.82%11.21%风险收益曲线1413.31%11.48%风险收益曲线1515.00%11.75%风险收益曲线1616.84%12.02%风险收益曲线1718.79%12.29%风险收益曲线1820.81%12.56%风险收益曲线1922.88%12.82%风险收益曲线2025.00%13.09%最优组合9.6%10.5%有效的风险收益线0.0%0.0%1.2%有效的风险收益线100.0%9.6%10.5%有效的风险收益线200.0%19.3%19.9%Eff.Trade-Off Line&Eff.Frontier Curve25%20%15%10%5%0%0%2%4%6%8%10%12%14%16%标标准准差差 (s)(s)期期望望回回报报率率最最优优资资产产（正正切切）组组合合权权重重.123450%10%20%30%40%资资产产数数目目组组合合权权重重Eff.Trade-Off Line&Eff.Frontier Curve25%20%15%10%5%0%0%2%4%6%8%10%12%14%16%标标准准差差 (s)(s)期期望望回回报报率率