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作業六

日期 華固公司 (2548) 宜特公司 (3289) 擎邦國際 (6122) 華固公司 (2548) 宜特公司 (3289) 擎邦國際 (6122) 日期 加權指數 報酬率 . 2004/12/31 37.7 41.1 9.4 -34.01613309 -37.3791375 -7.164623657 93/12/31 6,139.69 0.000558504135318216 covar 比重 效率前緣圖 .

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作業六

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  1. 日期 華固公司(2548) 宜特公司(3289) 擎邦國際(6122) 華固公司(2548) 宜特公司(3289) 擎邦國際(6122) 日期 加權指數 報酬率 日期 華固公司(2548) 宜特公司(3289) 擎邦國際(6122) 華固公司(2548) 宜特公司(3289) 擎邦國際(6122) 日期 加權指數 報酬率

  2. 2004/12/31 37.7 41.1 9.4 -34.01613309 -37.3791375 -7.164623657 93/12/31 6,139.69 0.000558504135318216 covar 比重 效率前緣圖

  3. 2005/1/3 39.8 41.3 9.35 -36.13643835 -37.60364853 -7.057465243 94/01/03 6,143.12 -0.013547051629281300 華固公司 21.4715 A B C 新變異數(風險) 報酬率(風險) 效率前緣報酬率 -0.22757

  4. 2005/1/4 39 40.3 9.9 -35.35194254 -36.60862367 -7.638236902 94/01/04 6,060.46 -0.011966449895542300 宜特公司 24.20534 1 0 0 525.5466707 -56.84676034

  5. 2005/1/5 38.4 40.1 9.6 -34.7676909 -36.406133 -7.338236902 94/01/05 5,988.37 -0.001044234708508900 擎邦國際 39.29955 0.9 0.25 0.25 475.4887764 -66.37491453

  6. 2005/1/6 37.8 40.2 9.6 -34.20268774 -36.51112055 -7.348708201 94/01/06 5,982.12 -0.007741198959553940 華固公司-大盤價 0.011103 0.8 0.1 0.1 348.336787 -51.56254036

  7. 2005/1/7 36.5 40 9.5 -32.92205211 -36.3545501 -7.259290311 94/01/07 5,935.99 0.001154995060563380 宜特公司-大盤價 0.005946 0.7 0.15 0.15 277.6369074 -48.92043037

  8. 2005/1/10 35.8 38.3 9.4 -32.19995176 -34.68638303 -7.159290311 94/01/10 5,942.85 0.005505735680230830 擎邦國際-大盤價 -0.00175 0.6 0.2 0.2 218.8737359 -46.27832038

  9. 2005/1/11 36.6 37.1 9.4 -33.03328818 -33.54751317 -7.180796516 94/01/11 5,975.66 -0.016294264884381300 0.5 0.25 0.25 172.0472726 -43.63621039

  10. 2005/1/12 35.4 34.9 9.2 -31.82205211 -31.31648106 -6.980796516 94/01/12 5,879.08 -0.004285348268904700 beta 0.4 0.3 0.3 137.1575174 -40.9941004

  11. 2005/1/13 35.8 36 9.2 -32.16504889 -32.34934176 -6.959290311 94/01/13 5,853.94 0.006059561469900390 華固公司 52.95005 0.3 0.35 0.35 114.2044703 -38.35199041

  12. 2005/1/14 37.9 38.5 9.4 -34.2783293 -34.78642793 -7.107465243 94/01/14 5,889.52 0.009421445142738350 宜特公司 28.35694 0.2 0.4 0.4 103.1881314 -35.70988042

  13. 2005/1/17 37.4 41 9.9 -33.78908209 -37.29377191 -7.622732715 94/01/17 5,945.27 -0.001969889952800230 擎邦國際 -8.34379 0.1 0.45 0.45 104.1085007 -33.06777043

  14. 2005/1/18 37 40.7 9.75 -33.39722324 -36.92723906 -7.467617614 94/01/18 5,933.57 -0.006462150898572720 0 0.5 0.5 116.9655781 -30.42566044

  15. 2005/1/19 36.7 43.5 9.8 -33.08908209 -39.66485804 -7.522732715 94/01/19 5,895.35 -0.001230539598308770 capm 0 1 0 374.7951681 -50.20413176

  16. 2005/1/20 37 46.3 9.75 -33.39178845 -42.42879899 -7.472732715 94/01/20 5,888.10 -0.006678045881185920 華固公司 -0.50723 0.02 0.9 0.08 311.1904015 -47.17242892

  17. 2005/1/21 36.9 48 9.75 -33.35326031 -44.1713586 -7.472732715 94/01/21 5,848.91 -0.013326772333641700 宜特公司 -0.267 0.04 0.8 0.16 254.0641664 -44.14072608

  18. 2005/1/24 34.7 46 9.75 -31.15614632 -42.19779186 -7.483042085 94/01/24 5,771.48 0.001950801321093820 擎邦國際 0.091504 0.06 0.7 0.24 203.4164628 -41.10902324

  19. 2005/1/25 34.6 44.8 9.65 -31.06194344 -40.9713586 -7.377874114 94/01/25 5,782.75 0.009058326098044130 0.08 0.6 0.32 159.2472906 -38.0773204

  20. 2005/1/26 34.4 46 9.7 -30.85904068 -42.18009228 -7.427874114 94/01/26 5,835.37 0.001265613756043390 0.1 0.5 0.4 121.5566498 -35.04561756

  21. 2005/1/27 34.5 45.6 9.7 -30.92484931 -41.76918705 -7.427874114 94/01/27 5,842.76 0.006341569139408420 0.22 0.4 0.38 107.4790586 -36.63387184

  22. 2005/1/28 35.7 46.1 9.7 -32.09722324 -42.31581037 -7.417617614 94/01/28 5,879.93 0.019252482785566000 0.24 0.3 0.46 84.48863277 -33.602169

  23. 2005/1/31 36.7 44 9.8 -33.09722324 -40.21127521 -7.5699856 94/01/31 5,994.23 -0.002119279971074310 0.36 0.2 0.44 99.39785498 -35.19042328

  24. 2005/2/1 36.7 44.2 9.3 -33.08100667 -40.3713586 -7.059290311 94/02/01 5,981.54 0.006191567774996190 0.38 0.1 0.52 91.10764407 -32.15872044

  25. 2005/2/2 37.3 46 9.4 -33.65194254 -42.12671782 -7.1699856 94/02/02 6,018.69 0.002639944652479190 0.3 0 0.7 54.38854391 -24.50706048

  26. 2005/2/3 38.4 48.1 9.3 -34.75716448 -44.24560611 -7.102775423 94/02/03 6,034.60 0.012809922429228800 0 0 1 14.46804807 -10.64718911

  27. 2005/2/14 38.2 47.2 9 -34.57299595 -43.34560611 -6.775376448 94/02/14 6,112.40 0.001633048416875840 0.08 0.02 0.9 16.79348532 -15.13429366

  28. 2005/2/15 37.6 47.2 9.25 -33.98100667 -43.31226969 -7.003985258 94/02/15 6,122.39 0.003440441421691530 0.16 0.04 0.8 26.41305245 -19.62139821

  29. 2005/2/16 37.3 48.8 9.45 -33.67299595 -44.9350686 -7.209290311 94/02/16 6,143.49 -0.011678594380237300 0.24 0.06 0.7 43.32674946 -24.10850277

  30. 2005/2/17 37.6 47.7 9.4 -33.99995176 -43.76817437 -7.180796516 94/02/17 6,072.16 0.007100695347563860 0.32 0.08 0.6 67.53457635 -28.59560732

  31. 2005/2/18 36.6 51 9.2 -33.00818226 -47.10614097 -6.980796516 94/02/18 6,115.43 0.004462322865000700 0.4 0.1 0.5 99.03653313 -33.08271187

  32. 2005/2/21 36.3 49.1 9.2 -32.70543123 -45.2184362 -6.986246121 94/02/21 6,142.78 -0.005813917657835790 0.38 0.22 0.4 110.8978014 -36.90555356

  33. 2005/2/22 36.4 48.5 9.15 -32.75716448 -44.60004958 -6.930796516 94/02/22 6,107.17 0.002346940937551170 0.46 0.24 0.3 149.840583 -41.39265811

  34. 2005/2/23 38.2 49.4 9.2 -34.55716448 -45.52050019 -6.964623657 94/02/23 6,121.52 0.001113482228308980 0.64 0.16 0.2 237.3071827 -46.54402552

  35. 2005/2/24 38.2 48.4 9.35 -34.55194254 -44.5541168 -7.125376448 94/02/24 6,128.34 0.012887484557465400 0.72 0.18 0.1 297.985659 -51.03113008

  36. 2005/2/25 38.4 46.8 9.25 -34.69377191 -42.9713586 -7.041725586 94/02/25 6,207.83 0.008319264633691150 0.8 0.2 0 365.9582652 -55.51823463

  37. 2005/3/1 40.7 46 9.1 -37.01864881 -42.147727 -6.891725586 94/03/01 6,259.69 -0.005517060932115570

  38. 2005/3/2 39.7 47.1 9.1 -36.01864881 -43.25198232 -6.886246121 94/03/02 6,225.25 -0.003680512827747510

  39. 2005/3/3 39.7 46.9 9.15 -36.04029192 -43.00004958 -6.930796516 94/03/03 6,202.38 -0.001413359383386490

  40. 2005/3/4 38.85 49.4 9.2 -35.18259958 -45.46817437 -6.980796516 94/03/04 6,193.62 0.004333774567077950

  41. 2005/3/7 39.15 51 9.2 -35.5045501 -47.08398497 -6.991725586 94/03/07 6,220.52 -0.007613484079922020

  42. 2005/3/8 38.3 50.2 9.1 -34.6506413 -46.28597899 -6.824786104 94/03/08 6,173.34 0.006448916398561270

  43. 2005/3/9 38.45 50.1 9.73 -34.82166705 -46.13538454 -7.388194194 94/03/09 6,213.28 -0.003345209921821630

  44. 2005/3/10 37.65 52.7 10.4 -34.0283293 -48.75647833 -7.993054892 94/03/10 6,192.53 0.001887590543645960

  45. 2005/3/11 37.4 51.6 11.1 -33.77033991 -47.58903705 -8.627672132 94/03/11 6,204.23 -0.007883701815719850

  46. 2005/3/14 37.7 55.2 11.85 -34.10818226 -51.23728388 -9.312342785 94/03/14 6,155.51 -0.015063722983345700

  47. 2005/3/15 36.3 52.6 12.65 -32.68908209 -48.63918683 -10.16509335 94/03/15 6,063.48 0.001463434189115990

  48. 2005/3/16 37 52.5 12 -33.37033991 -48.57013708 -9.584086222 94/03/16 6,072.36 -0.006590781431276230

  49. 2005/3/17 37.7 50.9 11.2 -34.08234806 -46.94491751 -8.788560502 94/03/17 6,032.47 0.001901226267060350

  50. 2005/3/18 37.25 52.2 11.15 -33.60978572 -48.22970809 -8.6734616 94/03/18 6,043.95 0.002480396482429370

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