实践划出有效边界.xls

0.00%20.00%40.00%60.00%80.00%100.00%120.00%0.0% 20.0% 40.0% 60.0% 80.0% 100.0% 120.0%收益风险 中信证券与隆平高科投资组合分析 系列 1 0.00%20.00%40.00%60.00%80.00%100.00%120.00%0.0% 20.0% 40.0% 60.0% 80.0% 100.0% 120.0%收益风险 中信证券与隆平高科投资组合分析图 系列 1 中信证券 隆平高科时间 收盘 时间2007-11-02,五 116.52 2007-11-02,五2007-11-09,五 94.41 -21.0% 2007-11-09,五2007-11-16,五 99.61 5.4% 2007-11-16,五2007-11-23,五 88.5 -11.8% 2007-11-23,五2007-11-30,五 83.89 -5.3% 2007-11-30,五2007-12-07,五 89.61 6.6% 2007-12-07,五2007-12-14,五 84.96 -5.3% 2007-12-14,五2007-12-21,五 84.18 -0.9% 2007-12-21,五2007-12-28,五 89.27 5.9% 2007-12-28,五2008-01-04,五 88.5 -0.9% 2008-01-04,五2008-01-11,五 94.73 6.8% 2008-01-11,五2008-01-18,五 85.75 -10.0% 2008-01-18,五2008-01-25,五 76.02 -12.0% 2008-01-25,五2008-02-01,五 69.31 -9.2% 2008-02-01,五2008-02-05,二 73.62 6.0% 2008-02-05,二2008-02-15,五 68.31 -7.5% 2008-02-15,五2008-02-22,五 62.35 -9.1% 2008-02-22,五2008-02-29,五 62.86 0.8% 2008-02-29,五2008-03-07,五 61.3 -2.5% 2008-03-07,五2008-03-14,五 57.99 -5.6% 2008-03-14,五2008-03-21,五 59.12 1.9% 2008-03-21,五2008-03-28,五 55.04 -7.2% 2008-03-28,五2008-04-03,四 51.91 -5.9% 2008-04-03,四2008-04-11,五 56.79 9.0% 2008-04-10,四2008-04-18,五 52.9 -7.1% 2008-04-18,五2008-04-25,五 35.34 -40.3% 2008-04-25,五2008-04-30,三 39.64 11.5% 2008-04-30,三2008-05-09,五 36.93 -7.1% 2008-05-09,五2008-05-16,五 37.59 1.8% 2008-05-16,五2008-05-23,五 33.39 -11.8% 2008-05-23,五2008-05-30,五 34.24 2.5% 2008-05-30,五2008-06-06,五 33.96 -0.8% 2008-06-06,五2008-06-13,五 27.52 -21.0% 2008-06-13,五2008-06-20,五 25.95 -5.9% 2008-06-20,五2008-06-27,五 24.55 -5.5% 2008-06-27,五2008-07-04,五 22.77 -7.5% 2008-07-04,五2008-07-11,五 24.41 7.0% 2008-07-11,五2008-07-18,五 23.12 -5.4% 2008-07-18,五2008-07-25,五 24.73 6.7% 2008-07-25,五2008-08-01,五 23.52 -5.0% 2008-08-01,五2008-08-08,五 21.39 -9.5% 2008-08-08,五2008-08-15,五 18.19 -16.2% 2008-08-15,五2008-08-22,五 18.8 3.3% 2008-08-22,五2008-08-29,五 20.11 6.7% 2008-08-29,五2008-09-05,五 18.56 -8.0% 2008-09-05,五2008-09-12,五 18.97 2.2% 2008-09-12,五2008-09-19,五 17.88 -5.9% 2008-09-19,五2008-09-26,五 24.76 32.6% 2008-09-26,五2008-10-10,五 20.64 -18.2% 2008-10-10,五2008-10-17,五 18.72 -9.8% 2008-10-17,五2008-10-24,五 19.34 3.3% 2008-10-24,五周平均回报率 -3.6%周方差 0.011189589年方差 0.581858622周标准方差 0.105780853 0.105780853年标准方差 0.76279658 0.76279658协方差 0.00222914相关系数 0.19599051 0.19599051中信证券投资比例 隆平高科比例 组合风险 投资组合回报率0 110.00% 90.0%20.00% 80.0%30.00% 70.0%40.00% 60.0%50.00% 50.0%60.00% 40.0%70.00% 30.0%80.00% 20.0%90.00% 10.0%100.00% 0.0%收盘13.6312.27 -10.5%12.64 3.0%12.5 -1.1%12.71 1.7%13.44 5.6%14.5 7.6%14.75 1.7%16.39 10.5%17.2 4.8%17.5 1.7%17.41 -0.5%17.55 0.8%14.75 -17.4%16 8.1%17.39 8.3%18.3 5.1%18.71 2.2%22.01 16.2%19.03 -14.5%18.3 -3.9%17.3 -5.6%14.38 -18.5%17.16 17.7%20 15.3%23.75 17.2%28.83 19.4%36.17 22.7%38.64 6.6%34.95 -10.0%32.92 -6.0%30.37 -8.1%28.66 -5.8%27.76 -3.2%32.2 14.8%26.44 -19.7%26.8 1.4%25.85 -3.6%28.7 10.5%26.78 -6.9%21.66 -21.2%20.48 -5.6%19.82 -3.3%19.98 0.8%16.98 -16.3%14.68 -14.6%17.01 14.7%17.52 3.0%16.08 -8.6%15.29 -5.0%15.45 1.0%周平均回报率 0.3%周方差 1.16%年方差 0.60116541周标准方差 0.1075215 0.107522年标准方差 0.77534858 0.775349投资组合回报率。