9.39% 50
国债
PA4
2.44% 50
13.74% 50
0.00% 0.00%
PA5
2.08% 50
9.09% 50
P4% 50
相关系数矩阵
PA1
PA2
PA3
PA4
PA5
PA6
PA1
100.0% 26.8%
7.8% 12.0% 23.6% 28.5%
PA2
26.8% 100.0%
组合优 化
多种 风险 资产
资产类型
A池
B池
C池
1 3.00%
风险厌恶系数
2.8 28
预期收益率
国债
0.30% 50
PA1
0.70% 50
1
标准差 0.00%
10.31% 50
平均收益率
2.50% 2.00% 1.50% 1.00%
PA2
1.17% 50
10.00% 50
0.50%
PA3
1.26% 50
100% 100% 100% 100% 100% 100% 100%
最优完全
组合权重
51.2%
512
-5.3%
7.1%
-2.6%
12.0%
28.9%
8.7%
0.30% 0.29% 0.36% 1.07%
PA6 101.6%
Merton Model A B C
Delta Gamma
261.3979949 264.9038101 268.4783787
5.7E+00 0.365846857
国债 PA1 PA2 PA3 PA4 PA5 组PA合6 优化的有 效边际曲线描
20.0% 20.2% 19.3% 22.9%
PA3
7.8% 20.0%
100.0% 41.8% 38.5% 31.2%
PA4
12.0% 20.2%
41.8% 100.0% 37.3% 20.4%
PA5
23.6% 19.3%
38.5% 37.3% 100.0% 38.7%
Portfolio Weights
最优点的CAL CAL CAL 无差异曲线
0.0% 1000.0%
9.39% 8.89% 8.41% 7.97% 7.56% 7.19% 6.87% 6.60% 6.40% 6.26% 6.19% 6.20% 6.28% 6.43% 6.65% 6.92% 7.25% 7.63% 8.05% 8.50% 8.98% 9.48% 10.00% 10.54% 11.10% 11.67% 12.25% 12.84%
2.1% 0.3% 18.7%
0.74% 0.75% 0.77% 0.81% 0.86% 0.92% 1.00% 1.09% 1.19% 1.31% 1.44% 1.75% 2.12% 2.54% 3.01% 3.54% 4.13% 4.78% 5.48% 6.23% 7.04%
最有资产权重
4.0%
8.2% 0.0% 82.1% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% 11.0% 12.0% 13.0% 14.0% 15.0%
0.30% 0.40% 0.50% 0.60% 0.70% 0.80% 0.90% 1.00% 1.10% 1.20% 1.30% 1.40% 1.50% 1.60% 1.70% 1.80% 1.90% 2.00% 2.10% 2.20% 2.30% 2.40% 2.50% 2.60% 2.70% 2.80% 2.90% 3.00%
厌恶细数与 CAL的切点 0.0074
1.2%
PA4 最优P点A5的CAL
最有资产权重
PA6 PA3
PA2
PA1
10.00% 各资产组合权重
15.00%
国债
PA1
PA2
PA3
PA4
PA5
PA6
Optimal Risky Portfolio
Optimal Complete Portfolio
Ones
PA3
0.08% 0.19%
0.88% 0.54% 0.33% 0.30%
PA3 101.3%
PA4
0.17% 0.28%
0.54% 1.89% 0.47% 0.29%
PA4 102.4%
PA5
0.22% 0.17%
0.33% 0.47% 0.83% 0.36%
PA5 102.1%
PA6
0.30% 0.24%
标准差
10.3% 10.0% 9.4% 13.7% 9.1% 10.3% 11.00% 10.45%
9.91%
每种资产
CAL描点 的期望收 最有风险 无差异曲线描 组合期望
处
益率
组合
点处
收益率
0.00% 0.10% 0.20%
0.7% 1.2% 1.3% 2.4% 2.1% 1.6%
-10.9% 14.6% -5.4% 24.6% 59.2% 17.9%
最有资产权重
5.00%
标准差
各资产组合权重 70% 60% 50% 40% 30% 20% 10%
0%
PA6
28.5% 22.9%
31.2% 20.4% 38.7% 100.0%
国债
10
-10%
10
10
10
10
10
-20%
10
10
10
10
10
10
10
10
10
组合的标准差
PA1
PA2
10.3% 10.0%
PA3
PA4
PA5
PA6
9.4% 13.7% 9.1% 10.3%
协方差矩阵
PA1
PA2
PA3
PA4
PA5
PA6
国债 100.3%
PA1
1.06% 0.28%
0.08% 0.17% 0.22% 0.30%
PA1 100.7%
PA2
0.28% 1.00%
0.19% 0.28% 0.17% 0.24%
PA2 101.2%