w1 0.

50
w2 0.50
μ1 (平均報酬率) 15% 35.0%
σ1 (標準差) 20%
30.0%
μ2 (平均報酬率) 6.5% 25.9%
25.0%
σ2 (標準差) 3.5%
ρ (相關係數) 0.0000 按F9可再模擬一次 20.0% 17.7%
17.5%

組合後報酬率 10.8% 8.9% 15.0% 11.5%

組合後標準差 10.2% 10.4% 10.0% 7.6%
6.
5.0%
Month Z1 Z2 R1 R2 資產組合
0.0%
1 -1.561157 -1.646272 -16.22% 0.74% -7.7% 1 2 3 4 5 6 -1.1%
7
2 0.782507 -0.60996 30.65% 4.37% 17.5% -5.0%
3 0.652913 0.218644 28.06% 7.27% 17.7% -10.0% -7.7%

4 1.920558 -2.334732 53.41% -1.67% 25.9% -15.0%

5 -0.314897 2.222412 8.70% 14.28% 11.5%
6 -0.321133 0.026997 8.58% 6.59% 7.6%
7 -1.334646 0.831826 -11.69% 9.41% -1.1%
16%
8 -0.334607 -0.564085 8.31% 4.53% 6.4%
9 -2.101957 -0.82603 -27.04% 3.61% -11.7% 14%
10 0.181982 0.992492 18.64% 9.97% 14.3%
12%
11 -0.121277 -0.325397 12.57% 5.36% 9.0%
12 0.379266 0.269131 22.59% 7.44% 15.0% 10%
13 -0.226803 0.179931 10.46% 7.13% 8.8%
8%
14 -0.144505 -1.57209 12.11% 1.00% 6.6%
15 -0.304555 0.631805 8.91% 8.71% 8.8% 6%
16 -1.654044 0.055532 -18.08% 6.69% -5.7%
4%
17 1.554493 1.576855 46.09% 12.02% 29.1%
18 -0.912202 -0.109455 -3.24% 6.12% 1.4% 2%
19 1.556384 1.436811 46.13% 11.53% 28.8%
0%
20 -1.151254 -1.162576 -8.03% 2.43% -2.8% -40% -30% -20% -10% 0%
21 1.43028 -1.671732 43.61% 0.65% 22.1% -2%
22 -1.431606 0.147147 -13.63% 7.02% -3.3% -4%
23 -0.18115 -2.251032 11.38% -1.38% 5.0%
24 -0.511764 -0.014778 4.76% 6.45% 5.6%
25 0.865963 0.002502 32.32% 6.51% 19.4%
26 0.019821 0.10291 15.40% 6.86% 11.1%
27 -0.633863 -0.248945 2.32% 5.63% 4.0%
28 -1.508737 -0.027922 -15.17% 6.40% -4.4%
29 0.506445 -0.48678 25.13% 4.80% 15.0%
30 0.086334 0.430949 16.73% 8.01% 12.4%
 資產組合
5.0%
29.1% 28.8%
0.0%
25.9%
5.0% 22.1%
19.4%
0.0% 17.7%
17.5%
14.3% 15.0% 15.0%
5.0% 11.5% 12.4%
11.1%
9.0% 8.8% 8.8%
0.0% 7.6% 6.6%
6.4%
5.0%5.6% 4.0%
5.0%
1.4%
0.0%
1 2 3 4 5 6 -1.1%
7 8 9 10 11 12 13 14 15 16 17 18 19-2.8%
20 21 22 23 24 25 26 27 28 29 30
5.0% -3.3% -4.4%
-5.7%
0.0% -7.7%
-11.7%
5.0%

16%

14%

12%

10%

8%

6% R2

4%

2%

0%
40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60%
-2%

-4%
R1