投资组合优化动态模型.xlsVIP

Sheet3 Sheet2 Sheet1 A B C. Delta Gamma Mean Ones R. VarCov Expected Risky Asset 1 Risky Asset 2 Return Standard Deviation Outputs Efficient Trade-off Line Trade-off Curve Optimal Comb. Eff Trade-off Line Exp Ret Curve Risky Asset 3 Risky Asset 4 Risky Asset 5 Standard Deviations Variances and Covariances One plus [1 + E(r)] Ones Individual Asset Frontier of Risky Assets Optimal Combination Index (Tangent Portfolio) A B C. Delta Gamma 投资组合优化 动态模型 输入变量 无风险资产 风险资产1 风险资产 2 风险资产 3 风险资产 4 预期收益率 标准差 风险资产 5 相关系数 .05 26.00 .00 .08 39.00 .06 500.00 29.00 .09 45.00 .15 500.00 74.00 .10 52.00 .12 500.00 61.00 .13 63.00 .21 500.00 104.00 .16 82.00 .25 500.00 126.00 1.00 2.00 3.00 4.00 5.00 1.00 1.00 -.10 .40 .00 .60 2.00 -.10 10.00 1.00 1.00 .40 .70 -.10 3.00 .40 .40 1.00 .50 .70 4.00 .00 .70 .50 10.00 1.00 1.00 .70 5.00 .60 -.10 .70 10.00 1.00 .70 10.00 1.00 1.00 2.00 9.00 3.00 14.00 14.00 4.00 10.00 17.00 15.00 5.00 16.00 9.00 17.00 17.00 1.00 2.00 3.00 4.00 5.00 .06 .15 .12 .21 .25 1.00 2.00 3.00 4.00 5.00 1.05 1.00 3.36E-03 -8.58E-04 2.83E-03 .00 8.77E-03 1.00 1.08 1.00 2.00 -8.58E-04 .02 7.22E-03 .02 -3.73E-03 2.00 1.09 1.00 3.00 2.83E-03 7.22E-03 .01 .01 .02 3.00 1.10 1.00 4.00 .00 .02 .01 .04 .04 4.00 1.13 1.00 5.00 8.77E-03 -3.73E-03 .02 .04 .06 5.00 1.16 1.00 353.23 381.08 411.20 .11 1.00 .06 .08 1.00 .71