Aplicatie

:
Starea economiei
1
2
3
4
5
6

R med 1

Probabilitati
Rentabilitate 1 Rentabilitate 2
15%
40%
15%
22%
35%
20%
10%
30%
25%
20%
15%
30%
19%
5%
35%
14%
1%
40%
100%

R med 2
σ21
σ22
20.790%
27.400%
0.02171659

σ1
0.007024 0.147365

Structurarea portofoliului
Activ 1
Activ 2

Calcul pt:

100%
0%

Activ 1
Activ 2

90%
10%

80%
20%

σ2p

Calcul pt:

Activ 1
Activ 2
Rp1

60%
40%

100%
0%
Stari

Activ 1
Activ 2
Rp1

70%
30%

100%
0%
20.790%

1
2
3

0.02171659

4
5
6

Activ 1
Activ 2

90%
10%

90%
10%
21.4510%

Probabilitate*(Rentab1-Rmed1)(Rentab2-Rmed2)
-0.3573060%
-0.23133880%
-0.0221040%

σ12

-0.0301080%
-0.22800760%
-0.349095600%
-1.217960%

ρ12

-0.986154494

6157857100% 60% 40% 23.43400% 0.003095604 50% 50% 24.09500% 0.σ2p Calcul pt: 0.001095348 40% 60% 24.000157086 .01546835 Activ 1 Activ 2 Rp1 σ2p Calcul pt: Activ 1 Activ 2 Rp1 σ2p Calcul pt: Activ 1 Activ 2 Rp1 σ2p Calcul pt: Activ 1 Activ 2 Rp1 σ2p Calcul pt: Activ 1 Activ 2 Rp1 σ2p 80% 20% 22.1120% 0.7730% 0.75600% 0.010282106 70% 30% 22.

400% 0.210% -2.790% 12.00848241 0.600% 0.600% 0.015876 σ2 0.Rentab1-Rmed1 Rentab2-Rmed2 (Rentab1-Rmed1)2 (Rentab2-Rmed2)2 19.015376 14.00335241 0.02019241 0.210% -7.083809307 50% 50% ntab1-Rmed1)(Rentab2-Rmed2) 40% 60% 30% 70% 20% 80% 10% 90% 0% 100% .790% 2.03690241 0.000576 -5.005476 9.02493241 0.400% 0.000676 -15.005776 -19.400% 0.790% 7.600% 0.03916441 0.210% -12.

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