第08章-投资组合优化多资产(德意志银行Excel金融工程建模)

投资组合优化多资产输入预期收益率标准差1+E（r）百分百无风险利率（r）4.0%0.0%104.0%风险资产18.0%20.0%108.0%100.0%风险资产29.0%20.0%109.0%100.0%风险资产310.0%20.0%110.0%100.0%风险资产411.0%20.0%111.0%100.0%风险资产512.0%20.0%112.0%100.0%相关系数1234511.00.00.00.00.020.01.00.00.00.030.00.01.00.00.040.00.00.01.00.050.00.00.00.01.0标准差1234520.0%20.0%20.0%20.0%20.0%方差与协方差1234514.00%0.00%0.00%0.00%0.00%20.00%4.00%0.00%0.00%0.00%30.00%0.00%4.00%0.00%0.00%40.00%0.00%0.00%4.00%0.00%50.00%0.00%0.00%0.00%4.00%输出A125B137.5C.151.275Delta3.125Gamma0.1333333最小方差有效集直线单个资产边界预期预期预期切点处组合指数标准差收益率收益率收益率的最优权重风险资产120.0%8.0%风险资产220.0%9.0%0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0%16.0%18.0%0.0%5.0%10.0%预期收益率最小方差组合边界和有效集直线0.0%5.0%10.0%15.0%20.0%25.0%30.0%12组合权重最优风险组合的权重风险资产320.0%10.0%风险资产420.0%11.0%风险资产520.0%12.0%最小方差组合边界025.00%6.3%最小方差组合边界122.84%6.7%最小方差组合边界220.71%7.0%最小方差组合边界318.63%7.4%最小方差组合边界416.62%7.8%最小方差组合边界514.71%8.2%最小方差组合边界612.93%8.5%最小方差组合边界711.36%8.9%最小方差组合边界810.09%9.3%最小方差组合边界99.24%9.6%最小方差组合边界108.94%10.0%最小方差组合边界119.24%10.4%最小方差组合边界1210.09%10.7%最小方差组合边界1311.36%11.1%最小方差组合边界1412.93%11.5%最小方差组合边界1514.71%11.8%最小方差组合边界1616.62%12.2%最小方差组合边界1718.63%12.6%最小方差组合边界1820.71%13.0%最小方差组合边界1922.84%13.3%最小方差组合边界2025.00%13.7%最优风险组合9.2%10.3%有效集直线0.0%0.0%4.0%有效集直线100.0%9.2%10.3%有效集直线200.0%18.4%16.7%切点处组合的最优权重13.3%16.7%10.0%15.0%20.0%25.0%30.0%标准差最小方差组合边界和有效集直线2345风险资产最优风险组合的权重20.0%23.3%26.7%