投资组合前沿.xls

Sheet3 Sheet2 Sheet1 2008-01 股票代码 000968 600271 600323 表6 市场回报率 交易月份 市场回报率 2008-02 2008-03 2008-04 2008-05 2008-06 2008-07 2008-08 2008-09 2008-10 2008-11 2008-12 2009-01 2009-02 2009-03 2009-04 2009-05 2009-06 2009-07 2009-08 2009-09 2009-10 2009-11 2009-12 表1 方差协方差矩阵 表2 期望收益率 随机数 随机权重 组合期望收益率 组合标准差 模拟运算表 组合权重 000968 600271 600323 -.19 .20 .77 .20 .10 .20 .81 -.12 .31 1.00 .05 .02 .01 000968 600271 600323 .16 .02 .01 8.19E-03 -.27 1.12 .15 .19 .01 8.19E-03 .01 .06 .11 .04 -.47 .61 .86 .10 .18 .09 .08 .06 .11 .05 .01 -.37 .55 .82 .10 1.00 .15 .17 .06 .01 -.26 .49 .77 .09 2.00 .15 .17 .07 .01 -.15 .43 .73 .09 968.00 600271.00 600323.00 3.00 .10 .11 .08 .01 -.04 .36 .68 .10 -.16 -.15 -.03 -.09 4.00 .11 .12 .10 .02 .17 .24 .59 .11 2.98E-03 .15 .08 .08 5.00 .06 .11 .12 .02 .38 .12 .49 .13 -.20 -.28 -.24 -.12 6.00 .13 .15 .14 .02 .60 -1.56E-03 .40 .16 .05 .25 .16 .02 7.00 .08 .10 .16 .02 .81 -.12 .31 .19 -.07 .19 -.03 -.03 8.00 .08 .10 -.21 -.12 -.08 -.19 9.00 .13 .15 .02 -.07 .02 .09 10.00 .12 .13 -.15 -.33 -.21 -.08 11.00 .11 .13 -.05 -.17 -.03 .05 12.00 .10 .11 -.25 -.39 9.61E-03 -.17 13.00 .09 .11 .10 .05 .20 .13 14.00 .12 .13 -.02 .20 -3.56E-03 -.01 15.00 .10 .11 .10 .29 7.14E-03 .01 16.00 .19 .23 .05 -.06 -.11 .06 17.00 .08 .11 .00 .23 .13 .14 18.00 .16 .19 .05 .07 -.05 -6.09E-03 19.00 .17 .20 .06 .12 -.02 9.19E-03 20.00 .16 .19 .13 .07 7.61E-03 -.04 21.00 .04 .13 .16 .45 .20 .08 22.00 .10 .11 -.21 -.34 -.20 -.17 23.00 .10 .12 .05 .01 .02 9.50E-03 24.00 .13 .14 .09 .19 .11 .19 25.00 .13 .16 .08 .11 .07 .13 26.00 .11 .12 .02 -.07 .10 .06 27.00 .06 .13 28.00 .13 .15 29.00 .12 .14 30.00 .12 .13 31.00 .12 .13 32.00 .11 .13 33.00 .09 .12 34.00 .03 .16 35.00 .06 .09 36.00 .14 .17 37.00 .14 .16 38.00 .13 .14 39.00 .10 .11 40.00 .12 .14 41.00 .10 .12 42.00 .15 .18 43.00 -.02 .17 44.00 .10 .11 45.00 .12 .13 46.00 .11 .13 47.00 .13 .14 48.00 .14 .16 49.00 .09 .11 50.00 .06 .09 51.00 .10 .12 52.00 .06 .10 53.00 .12 .14 54.00 .05 .10 55.00 .13 .15 56.00 .07 .15 57.00 .13 .15 5