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# 6

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## wi wj cov(i, j), cov(i, i) = i2 .

i=1 j=1

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:
A = uT l;

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## A G23 =((u);l) (=MMULT(TRANSPOSE(u),l)) () (MMULT()),

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: expert, retvec, vcvmat rf. expert
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## E(rp ) = w1 E(r1 ) + w2 E(r2 ).

Var(rp ) = p2 = w12 12 + w22 22 + 2w1 w2 cov(1,2).

## cov(1,2) : cov(1,2) = cor(1,2)1 2 .

rf .
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(asset0) (asset1), .
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156

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12 + 22 212 1 2

## w1mv (87,7%, H24), (1 w1mv ). , 87,7% asset1,

(9,77%).
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E(r1 ) E(r2 )
w1opt = w1mv +
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Prob2OptimalRiskyWeight(), 6.11.

II. :

158

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6.

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. 6.14. 3,

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(.. ): E(R1 ) = E(r1 ) rf E(R2 ) = E(r2 ) rf .
:
F1opt =

22 E(R1 ) +

22 E(R1 ) + cov(1,2)E(R2 )
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E(R1 ) E(R2 ) rf .
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6.10
Module1 , Equity1.xls. ,
, ,
. , PortfolioReturn()
:
Function PortfolioReturn(retvec, wtsvec)
If Application.Count(retvec) = Application.Count(wtsvec) Then

6.

161

. 6.15. 3
If retvec.Columns.Count <> wtsvec.Columns.Count Then
wtsvec = Application.Transpose(wtsvec)
End If
PortfolioReturn = Application.SumProduct(retvec, wtsvec)
Else
PortfolioReturn = -1
End If
End Function

, . SumProduct() , , - .
, retvec wtsvec . , ,
wtsvec . ,
1.
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HLPortfolioWeights() (
Module1) .
. VBA
, , , -. ,

162

II. :

Excel VBA -.

, -. , uvec retvec -.
,
.
Dim i As Variant
l = Application.MMult(vinvmat, retvec)
m = Application.MMult(vinvmat, uvec)

l m ,
, Variant, ,
, . Mmult() vinvmat [n, n], retvec
[n, 1]. , , , - [n, 1].
, , : a, b, c d. d ,
. , a
uvec 1.
a = Application.Sum(Application.MMult(Application.Transpose(uvec), 1))

## Mmult() - [1, n] - [n, 1]

[1, 1] ( ). Excel
, VBA Sum() .
, ,
, . Excel
, I24:I26 g.
VBA .
Dim wtsvec() As Variant
n = Application.Count(retvec)
ReDim wtsvec(n)
For i = 1 To n
gi = b * m(i, 1)-a * l(i, 1)
hi = c * l(i, 1)-a * m(i, 1)
wtsvec(i) = (gi + hi * expert)/d
Next i

wtsvec ,
Variant,

6.

163

ReDim.
.

6.11

Prob1OptimalRiskyWeight() VBA , 6.7.
(r1 sig1)
, (rf)
(rraval).
Function Prob1OptimalRiskyWeight(r1, rf, sig1, rraval)
Prob1OptimalRiskyWeight = (r1-rf)/(rraval * sig1^2)
End Function

Prob2OptimalRiskyWeight(), 2 3. : r1,
r2, sig1 sig2 ; corr12 ;
rraval ; rf
. 2 .
Function Prob2OptimalRiskyWeight(r1, r2, sig1, sig2, corr12,
rraval)
Dim cov12, vqr1, var2,minvarw, w, xr1, xr2
cov12 = corr12 * sig1 * sig2
var1 = sig1^2
var2 = sig2^2
If rf <= 0 Then
minvarw = (var2--cov12)/(var1 + var2-2*cov12)
w = minvarw + (r1--r2)/(rraval*(var1 + var2-2*cov12))
Else
xr1 = r1--rf
xr2 = r2--rf
w = xr1*var2-xr2*cov12
w = w /(xr1*var2 + xr2*var1-(xr1 + xr2)*cov12)
End If
Prob2OptimalRiskyWeight = w
End Function

( cov12). minvarw

II. :

164

w1mv , w w1opt , .
3 , 1 2. Prob3OptimalWeightsVec()
. .
Function Prob3OptimalWeightsVec(r1, r2, sig1, sig2, corr12,
rraval)
Dim w0, w1, w2, rr, sigr
w1 = Prob2OptimalRiskyWeight(r1, r2, rf, sig1, sig2, corr12, _
rrava)
w2 = 1-w1
rr = w1*r1 + w2*r2
sigr = Sqr((w1*sig1)^2 + (w2*sig2)^2 + 2*w1*w2*corr12*sig1* _
sig2)
w0 = 1-Prob1OptimalRiskyWeight(rr, rf, sigr, rraval)
w1 = (1-w0)*w1
w2 = (1-w0)*w2
Prob3OptimalWeightsVec = Array(w0, w1, w2)
End Function

2
asset1 asset2:
w1 = Prob2OptimalRiskyWeight(r1, r2, rf, sig1, sig2, corr12, _
rrava)
w2 = 1-w1

:
rr = w1*r1 + w2*r2
sigr = Sqr((w1*sig1)^2 + (w2*sig2)^2 + 2*w1*w2*corr12*sig1*sig2)

( , 1). Prob1OptimalRiskyWeight().

6.12
,
(Solver), ModuleM. , (Tools). , VBA,
SOLVER.xla.
Sub EffFrontier1()
SolverReset

6.

165

Call SolverOk(Range("portsd1"), 2, 0, Range("change1"))
Call SolverSolve(True)
SolverFinish
End Sub

2 ), SolverOk()
( 2 ). SolverSolve() ( True
), SolverFinish()
.
, Call , , , .
.
EffFrontier2 , Solver()
. .
, . , SolverChange()
( ).
Solver()
PasteSpecial. .
Do While iter <= niter
Call SolverSolve(True)
SolverFinish
Range("portwts2").Copy
Range("effwts2").Offset(iter, 0).PasteSpecial Paste:=xlValues
Call SolverChange(Range("portret"), 2, Range("priter2"))
iter = iter + 1
Loop

,
,
( SolverOk() 2),
( SolverOk() 1).
, .

166

II. :

SolverReset
Range("portmin2"))
Range("portmax2"))
Call SolverOk(Range("portret2"), 2, 0,
Range("change2"))
Call SolverSolve(True)
SolverFinish
prmin = Range("portret2").Value
Call SolverOk(Range("portret2"), 1, 0, Range("change2"))
Call SolverSolve(True)
SolverFinish

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6.

167

1. ., ., . , 4- . . : , 2002. 984 .
2. Huang C. and Litzenberger R. Foundations for Financial Economics. New
York : North Holland, 1988.
3. Eppen G. D., Gould F. J., Schmidt C. P., Moore J. H. and Weatherford L. R. Introductory Management Science, Decision Modelling with Spreadsheets, 5th ed.
New Jersey : Prentice Hall, 1998.
4. Elton E. J. and Gruber M. J. Modern Portfolio Theory and Investment Analysis.
Chichester : John Wiley & Sons, 1995.
5. Taggart R. A. Quantitative Analysis for Investment Management. New Jersey :
Prentice Hall, 1996.