1、123()K2( )k( )k2222()()(. ( )( )KEEE KK E KK2()K()E K5.1 .1 期望收益和方差4ii,w股票i的股價的股數初始資金總額222211221112122,Vwwww 其中VK12,w w1212,VwwKKK1212),E(VKE KE Kww1,21212()CovK K 1212,Vwwiw5120S240S(0)1000V61K2K213001 0002 0000002 0002 0001 0120.4,0.6;ww120.8,0.2;ww120.5,1.5.ww 712120.4 0.040.6 0.160.112Vww000010.

2、4 ( 10)0.2 00.4 200.04 12120.8 0.040.2 0.160.064Vww220.0024,210.0184,120.96309, 22220.000736VV21，介于和之間。此時22220.009824VV21，介于和之間。此時120.4,0.6ww00000020.4 200.2 200.4 100.16 120.8,0.2ww812120.5 0.04 1.5 0.160.22Vww 121.5,0.5ww 22220.0196VV21，比和都大。此時22212max,.V 9101211221121212,ww 0V121 21121212,ww0V11

3、11(,) 22(,)121 12(0,)Fr11(,)01314V12,1TTTVVwmuwwwmin11,TTAmuu Vm V1,TCuu V20.DBCA1,TBmm V152221,1)(PPDCACC,A CD和V11,VVVCABAmuDDwVV16 12,1()ACC17min12(1)TTTVVwmuFwww rn12(,.,)Twnw wwn()1TuwVw18V1()()/,FFVVmuHwVrr,A BC和1(),FVVHr22,FFHBACrre19Fr(0,)FreABFBrABAFrFArFBrFr,A BFrFrAB(0,)FrABB20ABCeDABBAABB

4、AeeFr21e(0,)FrABCD22eAB,A Be(0.4,0.6)A,A B23e(0,)Fre24e11()(),)()FFeFFmumuAACCVVrrwCrrAB008B0012,A210A24B122006Frew52(,)77(ew252627e(,).MMM28CMLM(0,)FrMMVVFMFVVMrrVVoMCMLCML29CML005.40010.9004.45007.2530()FFVMVrr22(,)MVMVVMMCovKK, 31CMLMMMVVVFrFrM1MVSMLM32000012,7,FMr,A B1.4,0.9,AB,.AB 000000007(127) 1.414,A000000007(127) 0.911.5.B33()FFVMVrrFVFVVrr3400600100014350000001466.15,1.3FSSr00000010650.8FIIrFVFVVrr0.8I0010100IIIIppKp101IIIppKIK0Ip36ieii()eFFiMirr()FFiiMirriiiiiiii372