投资组合收益率和标准差计算--连续收益率情况

输入证券数量及概率次数证券数量6连续时间10

命令按钮

输入各个证券在某期间内的连续收益率及投资比重

时间证券1证券2证券3证券4证券5165.78%10.25%40.17%25.27%3.25%2-34.56%-9.18%-42.58%-19.86%-0.78%3-21.36%-45.18%-5.09%-9.76%8.24%464.55%46.50%28.80%61.45%15.28%526.15%-5.56%-6.86%26.38%16.75%6-15.85%1.68%10.10%8.69%2.85%71.56%48.65%-8.76%-18.59%23.05%8-10.92%-22.36%-2.85%-68.56%8.16%996.45%-15.25%70.80%-26.35%26.25%1020.21%40.78%32.10%175.39%30.28%

各证券的投资比重10.00%20.00%30.00%20.00%10.00%各证券的期望收益率19.20%5.03%11.58%15.41%13.33%各证券的标准差41.50%29.89%30.36%63.09%10.14%

各证券间的协方差

证券1证券2证券3证券4证券5

证券117.23%3.49%11.01%5.84%1.97%证券23.49%8.94%1.71%11.02%1.39%证券311.01%1.71%9.22%5.93%1.54%证券45.84%11.02%5.93%39.80%3.00%证券51.97%1.39%1.54%3.00%1.03%证券60.80%4.09%0.67%3.10%0.06%

各证券间的相关系数

证券1证券2证券3证券4证券5

证券11.00000.28160.87400.22310.4694证券20.28161.00000.18850.58410.4597证券30.87400.18851.00000.30930.4994证券40.22310.58410.30931.00000.4691证券50.46940.45970.49940.46911.0000证券60.09310.66300.10720.23790.0285投资组合收益率12.25%投资组合标准差25.47%

证券6

40.05%26.32%-27.36%8.81%-10.52%23.45%38.76%5.67%7.21%30.67%10.00%14.31%20.65%证券60.80%4.09%0.67%3.10%0.06%4.26%证券60.09310.66300.10720.23790.02851.0000