Ceny akcií (denní): Výnosy akcií (30-denní): Kovariance: Datum ABC CEZ KOBA ABC CEZ KOBA ABC CEZ KOBA 1 "1,856.00" "1,089.00" "4,266.00" 0.1067 0.1745 -0.0063 ABC 0.006653718 0.005202267 0.002878593 2 "1,913.00" "1,072.00" "4,108.00" 0.0784 0.1828 0.0326 CEZ 0.005202267 0.005082668 0.00215761 3 "1,905.00" "1,074.00" "4,008.00" 0.0777 0.1788 0.0679 KOBA 0.002878593 0.00215761 0.001799807 4 "1,868.00" "1,082.00" "3,921.00" 0.0958 0.1654 0.0954 5 "1,860.00" "1,086.00" "3,987.00" 0.0806 0.1464 0.0625 6 "1,865.00" "1,092.00" "4,035.00" 0.0804 0.1511 0.0483 7 "1,859.00" "1,100.00" "3,986.00" 0.1146 0.1545 0.0768 8 "1,832.00" "1,093.00" "4,032.00" 0.1114 0.1903 0.0729 9 "1,871.00" "1,102.00" "3,953.00" 0.1032 0.2187 0.0860 10 "1,853.00" "1,107.00" "4,052.00" 0.1662 0.2502 0.0849 11 "1,854.00" "1,099.00" "4,047.00" 0.1936 0.2375 0.1033 12 "1,862.00" "1,102.00" "3,994.00" 0.1681 0.2196 0.1289 13 "1,870.00" "1,109.00" "4,030.00" 0.1834 0.2308 0.1065 14 "1,864.00" "1,114.00" "4,133.00" 0.1808 0.2343 0.0876 15 "1,834.00" "1,123.00" "4,271.00" 0.1903 0.2333 0.0531 16 "1,808.00" "1,140.00" "4,257.00" 0.1388 0.2377 0.0432 17 "1,814.00" "1,159.00" "4,261.00" 0.1279 0.1959 0.0253 18 "1,836.00" "1,203.00" "4,318.00" 0.0871 0.1571 0.0002 19 "1,807.00" "1,186.00" "4,239.00" 0.0564 0.1568 0.0517 20 "1,812.00" "1,224.00" "4,216.00" 0.0734 0.0923 0.0621 21 "1,843.00" "1,226.00" "4,274.00" 0.0461 0.0604 0.0519 22 "1,834.00" "1,219.00" "4,266.00" 0.0862 0.0861 0.0316 23 "1,831.00" "1,238.00" "4,142.00" 0.0737 0.0743 0.0579 24 "1,860.00" "1,246.00" "4,208.00" 0.0371 0.0634 0.0323 25 "1,878.00" "1,273.00" "4,175.00" 0.0202 0.0353 0.0271 26 "1,872.00" "1,255.00" "4,228.00" 0.0150 0.0637 0.0078 27 "1,938.00" "1,243.00" "4,300.00" -0.0351 0.0684 -0.0121 28 "1,975.00" "1,265.00" "4,273.00" -0.0420 0.0711 -0.0199 29 "1,954.00" "1,277.00" "4,316.00" -0.0210 0.0807 -0.0280 30 "2,010.00" "1,293.00" "4,294.00" -0.0493 0.0665 -0.0282 31 "2,054.00" "1,279.00" "4,239.00" -0.0847 0.0602 -0.0130 32 "2,063.00" "1,268.00" "4,242.00" -0.0722 0.0450 -0.0200 33 "2,053.00" "1,266.00" "4,280.00" -0.0755 0.0506 -0.0262 34 "2,047.00" "1,261.00" "4,295.00" -0.0669 0.0508 -0.0184 35 "2,010.00" "1,245.00" "4,236.00" -0.0209 0.0602 0.0158 36 "2,015.00" "1,257.00" "4,230.00" 0.0094 0.0613 0.0338 37 "2,072.00" "1,270.00" "4,292.00" -0.0193 0.0693 0.0084 38 "2,036.00" "1,301.00" "4,326.00" 0.0000 0.0792 0.0162 39 "2,064.00" "1,343.00" "4,293.00" -0.0208 0.0558 0.0116 40 "2,161.00" "1,384.00" "4,396.00" Průměry: 0.0563 0.1285 0.0362 41 "2,213.00" "1,360.00" "4,465.00" 42 "2,175.00" "1,344.00" "4,509.00" 43 "2,213.00" "1,365.00" "4,459.00" 44 "2,201.00" "1,375.00" "4,495.00" 45 "2,183.00" "1,385.00" "4,498.00" 46 "2,059.00" "1,411.00" "4,441.00" 47 "2,046.00" "1,386.00" "4,369.00" 48 "1,996.00" "1,392.00" "4,319.00" 49 "1,909.00" "1,372.00" "4,458.00" 50 "1,945.00" "1,337.00" "4,478.00" 51 "1,928.00" "1,300.00" "4,496.00" 52 "1,992.00" "1,324.00" "4,401.00" 53 "1,966.00" "1,330.00" "4,382.00" 54 "1,929.00" "1,325.00" "4,344.00" 55 "1,916.00" "1,318.00" "4,288.00" 56 "1,900.00" "1,335.00" "4,261.00" 57 "1,870.00" "1,328.00" "4,248.00" 58 "1,892.00" "1,355.00" "4,188.00" 59 "1,913.00" "1,380.00" "4,195.00" 60 "1,911.00" "1,379.00" "4,173.00" 61 "1,880.00" "1,356.00" "4,184.00" 62 "1,914.00" "1,325.00" "4,157.00" 63 "1,898.00" "1,330.00" "4,168.00" 64 "1,910.00" "1,325.00" "4,216.00" 65 "1,968.00" "1,320.00" "4,303.00" 66 "2,034.00" "1,334.00" "4,373.00" 67 "2,032.00" "1,358.00" "4,328.00" 68 "2,036.00" "1,404.00" "4,396.00" 69 "2,021.00" "1,418.00" "4,343.00" ##### Sheet/List 2 ##### Markowitzův model "Průměrné výnosy, tj. Ri:" 0.0563 0.1285 0.0362 "Kovarianční matice, tj. Sij:" ABC CEZ KOBA ABC 0.0067 0.0052 0.0029 CEZ 0.0052 0.0051 0.0022 KOBA 0.0029 0.0022 0.0018 suma: Zi: 0.0000 0.3663 0.6337 1.0000 Zi*Kov.mat.: Zi*Zi*Kov.mat.: Rozptyl PF Riziko PF 0.049055592 Výnos: 0.07 Zadaný výnos: 0.07 ##### Sheet/List 3 ##### Sharpeho model "Průměrné výnosy, tj. Ri:" 0.0563 0.1285 0.0362 "Kovarianční matice, tj. Sij:" ABC CEZ KOBA ABC 0.0067 0.0052 0.0029 CEZ 0.0052 0.0051 0.0022 KOBA 0.0029 0.0022 0.0018 suma: Zi: 0.0000 0.9683 0.0317 1.0000 Zi*Kov.mat.: Zi*Zi*Kov.mat.: Rozptyl PF Riziko PF 0.070000201 Zadané riziko: 0.07 Výnos: 0.125550836 ##### Sheet/List 4 ##### Markowitzův model s bankovním účtem "Průměrné výnosy, tj. Ri:" 0.0563 0.1285 0.0362 0.0020 "Kovarianční matice, tj. Sij:" ABC CEZ KOBA Účet ABC 0.0067 0.0052 0.0029 0.0000 CEZ 0.0052 0.0051 0.0022 0.0000 KOBA 0.0029 0.0022 0.0018 0.0000 Účet 0.0000 0.0000 0.0000 0.0000 suma: Zi: 0.0000 0.5377 0.0000 0.4623 1 Zi*Kov.mat.: Zi*Zi*Kov.mat.: Rozptyl PF Riziko PF 0.038331841 Výnos: 0.070000001 Zadaný výnos: 0.07 ##### Sheet/List 5 ##### Sharpeho model s bankovním účtem "Průměrné výnosy, tj. Ri:" 0.0563 0.1285 0.0362 0.0020 "Kovarianční matice, tj. Sij:" ABC CEZ KOBA Účet ABC 0.0067 0.0052 0.0029 0.0000 CEZ 0.0052 0.0051 0.0022 0.0000 KOBA 0.0029 0.0022 0.0018 0.0000 Účet 0.0000 0.0000 0.0000 0.0000 suma: Zi: 0.0000 0.9819 0.0000 0.0181 1 Zi*Kov.mat.: Zi*Zi*Kov.mat.: Rozptyl PF Riziko PF 0.070000001 Zadané riziko: 0.07 Výnos: 0.126178752