CVIČENÍ 4a jednodenní dvoudenní ČEZ Philip Moris Unipetrol KB ČEZ Philip Moris Unipetrol KB ČEZ Philip Moris Unipetrol KB  25.3.2005  420.41 19285 142 1175.2 0.027018444 0.024816665 0.014285714 0.004358602 0.062124198 0.068657874 0.066786868 0.026375546  24.3.2005  409.35 18818 140 1170.1 0.034182204 0.042779563 0.051761701 0.021921397 0.04327548 0.063103779 0.040196151 0.019606135  23.3.2005  395.82 18046 133.11 1145 0.008792721 0.019490424 -0.010996359 -0.002265598 0.045124495 0.040355125 0.05391924 0.024700197  22.3.2005  392.37 17701 134.59 1147.6 0.036015103 0.020465813 0.065637371 0.027027027 -0.00736187 -0.010730453 0.005528577 0.008701767  21.3.2005  378.73 17346 126.3 1117.4 -0.041869055 -0.030570614 -0.056406425 -0.017843017 -0.052464348 -0.027581567 -0.004884967 -0.012635858  18.3.2005  395.28 17893 133.85 1137.7 -0.011058294 0.003083305 0.054601324 0.005301758 -0.036208032 0.008113133 -0.031826401 -0.004985132  17.3.2005  399.7 17838 126.92 1131.7 -0.025430961 0.005014367 -0.081952984 -0.010232639 -0.088753619 -0.057437252 -0.187451985 -0.067869204  16.3.2005  410.13 17749 138.25 1143.4 -0.064975036 -0.062140026 -0.114916773 -0.058232436 -0.08553145 -0.067804622 -0.192417781 -0.0628637  15.3.2005  438.63 18925 156.2 1214.1 -0.021984883 -0.006039916 -0.087563526 -0.00491763 -0.058855083 0.02541179 -0.262511804 -0.033205925  14.3.2005  448.49 19040 171.19 1220.1 -0.037699009 0.031642826 -0.191737488 -0.028428094 -0.023280631 0.014763098 -0.174987952 -0.03373723  11.3.2005  466.06 18456 211.8 1255.8 0.014983231 -0.016361989 0.020722892 -0.005464481 0.037972428 -0.019393231 0.054780876 0.004559635  10.3.2005  459.18 18763 207.5 1262.7 0.02264983 -0.003081664 0.033366534 0.010079194 0.033653738 0.000639966 0.106666667 0.017567894  9.3.2005  449.01 18821 200.8 1250.1 0.010760192 0.003733134 0.070933333 0.007413974 0.027153772 0.003465558 0.087286117 -0.000239923  8.3.2005  444.23 18751 187.5 1240.9 0.01621906 -0.000266581 0.015269656 -0.007597569 0.049990546 0.002727273 0.040626041 0.019136005  7.3.2005  437.14 18756 184.68 1250.4 0.033232486 0.002994652 0.024975025 0.026938239 0.038781427 0.001655541 -0.009758713 0.037590241  4.3.2005  423.08 18700 180.18 1217.6 0.005370467 -0.001335113 -0.033887399 0.010372583 -0.01214159 -0.044504624 -0.019695321 0.005201024  3.3.2005  420.82 18725 186.5 1205.1 -0.017418511 -0.043227224 0.01468988 -0.005118468 -0.021530878 -0.032899494 -0.00294039 -0.006430868  2.3.2005  428.28 19571 183.8 1211.3 -0.004185268 0.010794339 -0.017375033 -0.001319152 -0.001235979 0.011682605 0.01805694 0.009500792  1.3.2005  430.08 19362 187.05 1212.9 0.002961685 0.00087878 0.036058491 0.010834236 0.032828222 0.020933298 0.097711268 0.021045543  28.2.2005  428.81 19345 180.54 1199.9 0.029778343 0.02003691 0.059507042 0.01010186 0.03712572 0.021653024 0.066076174 0.023892824  25.2.2005  416.41 18965 170.4 1187.9 0.00713491 0.001584368 0.006200177 0.013653042 -0.009655861 0.009259752 0.011936576 0.011839864  24.2.2005  413.46 18935 169.35 1171.9 -0.01667182 0.007663243 0.005701051 -0.001788756 0.001526052 0.016316891 -0.034712722 -0.003994561  23.2.2005  420.47 18791 168.39 1174 0.018506407 0.008587837 -0.040184679 -0.002209757 0.051911338 0.014085267 0.105283886 0.01102308  22.2.2005  412.83 18631 175.44 1176.6 0.032797959 0.005450621 0.15155891 0.013262143 0.048883356 -0.013502065 0.251355207 0.025002178  21.2.2005  399.72 18530 152.35 1161.2 0.015574583 -0.018849942 0.086661912 0.011586375 0.039475737 -0.017236807 0.110908561 0.018864613  18.2.2005  393.59 18886 140.2 1147.9 0.023534613 0.001644126 0.022312965 0.007194876 0.015244532 0.003506908 0.026805332 -0.000609438  17.2.2005  384.54 18855 137.14 1139.7 -0.008099463 0.001859724 0.004394317 -0.007748563 -0.010804136 -0.000688997 0.028730028 -0.002363445  16.2.2005  387.68 18820 136.54 1148.6 -0.002726758 -0.00254399 0.02422924 0.005427171 -0.002264772 -0.006912564 0.064224474 0.006131745  15.2.2005  388.74 18868 133.31 1142.4 0.000463249 -0.004379716 0.039049104 0.000700771 0.007594412 -0.026218002 0.059276917 0.005988024  14.2.2005  388.56 18951 128.3 1141.6 0.007127861 -0.021934352 0.01946762 0.005283551 0.03370667 -0.038703459 0.062174021 0.021109123  11.2.2005  385.81 19376 125.85 1135.6 0.026390699 -0.017145176 0.041890885 0.015742397 0.046434674 -0.028382309 0.009303072 0.012933726  10.2.2005  375.89 19714 120.79 1118 0.019528601 -0.011433156 -0.031277568 -0.002765141 0.025089312 -0.010142599 -0.029721263 -8.94374E-05  9.2.2005  368.69 19942 124.69 1121.1 0.005454198 0.001305483 0.001606555 0.002683123 0.020510407 0.014601882 0.009227034 0.011093074  8.2.2005  366.69 19916 124.49 1118.1 0.014974535 0.013279064 0.007608256 0.008387446 0.035350256 0.048431249 0.026806335 0.011580566  7.2.2005  361.28 19655 123.55 1108.8 0.020075105 0.034691514 0.019053118 0.003166561 0.026596954 0.027014317 -0.024861878 0.001897533  4.2.2005  354.17 18996 121.24 1105.3 0.006393499 -0.007419793 -0.043093923 -0.001265022 0.008973848 0.010371789 -0.048650345 0.002357849  3.2.2005  351.92 19138 126.7 1106.7 0.002563956 0.017924578 -0.005806654 0.00362746 0.006578571 0.01765394 -0.006196564 9.03669E-05  2.2.2005  351.02 18801 127.44 1102.7 0.004004348 -0.000265873 -0.000392188 -0.003524309 -0.001308752 0.020905734 -0.027101305 0.005929575  1.2.2005  349.62 18806 127.49 1106.6 -0.005291909 0.021177237 -0.026719597 0.00948732 -0.012372881 0.020955483 0.005124566 0.003992016  31.1.2005  351.48 18416 130.99 1096.2 -0.007118644 -0.000217155 0.032718385 -0.005443658 -0.005461079 0.017177575 0.071054783 0.001827819  28.1.2005  354 18420 126.84 1102.2 0.001669449 0.017398509 0.037121832 0.007311278 -0.0015231 0.034482759 0.04137931 0.003550942  27.1.2005  353.41 18105 122.3 1094.2 -0.003187229 0.016792093 0.00410509 -0.003733042 -0.002258547 0.03516295 -0.021130142 -0.000182749  26.1.2005  354.54 17806 121.8 1098.3 0.000931651 0.018067467 -0.025132063 0.003563596 0.022672205 0.014529087 0.037567084 0.033013544  25.1.2005  354.21 17490 124.94 1094.4 0.021720318 -0.003475585 0.064315529 0.029345372 0.019514722 -0.003362015 0.138716734 0.036167393  24.1.2005  346.68 17551 117.39 1063.2 -0.002158708 0.000113967 0.069905213 0.006627533 -0.00238842 0.005903255 0.13595897 0.009399032  21.1.2005  347.43 17549 109.72 1056.2 -0.000230209 0.005788629 0.061737952 0.002753252 -0.016837399 -0.00085402 0.06586361 -0.004617849  20.1.2005  347.51 17448 103.34 1053.3 -0.016611014 -0.006604418 0.003885759 -0.007350862 -0.022282869 -0.030181758 0.007801833 -0.01422555  19.1.2005  353.38 17564 102.94 1061.1 -0.005767662 -0.023734089 0.003900917 -0.006925597  18.1.2005  355.43 17991 102.54 1068.5 rf rf ri 0.00371511 0.001625685 0.008370648 0.002082882 0.000134921 0.007310038 0.003340108 0.017623058 0.004332315 0.000269841 roční rf 0.034 Úloha: počet obchodních dnů 252 1. Vypočítat jednodenní a dvoudenní výnosnosti CP 2. Určit kovariance a riziko změny výnosnosti CP 3. "Vypočítat jednodenní, dvoudenní výnosnost portfolia a podíly CP v portfoliu (sell short je povolen)" 4. stejně jako 3. a navíc Rf 0.034 p.a. ČEZ Philip Moris Unipetrol KB výnosnosti ČEZ Philip Moris Unipetrol KB výnosnosti ČEZ 0.000418099 0.000167557 0.000743872 0.000232346 ČEZ 0.00371511 ČEZ 0.001157508 0.000424576 0.002075589 0.000597584 ČEZ 0.007310038 Philip Moris 0.000167557 0.000352151 0.000105963 0.000113611 Philip Moris 0.001625685 Philip Moris 0.000424576 0.000780106 0.000395381 0.000247651 Philip Moris 0.003340108 Unipetrol 0.000743872 0.000105963 0.003027114 0.000529901 Unipetrol 0.008370648 Unipetrol 0.002075589 0.000395381 0.007718988 0.001397124 Unipetrol 0.017623058 KB 0.000232346 0.000113611 0.000529901 0.00019344 KB 0.002082882 KB 0.000597584 0.000247651 0.001397124 0.000428567 KB 0.004332315 vektor pravých stran 0.000836197 0.000335115 0.001487744 0.000464692 1 0 0.002315016 0.000849153 0.004151178 0.001195168 1 0 0.000335115 0.000704302 0.000211926 0.000227222 1 0 0.000849153 0.001560211 0.000790763 0.000495302 1 0 0.001487744 0.000211926 0.006054227 0.001059803 1 0 0.004151178 0.000790763 0.015437977 0.002794249 1 0 0.000464692 0.000227222 0.001059803 0.000386879 1 0 0.001195168 0.000495302 0.002794249 0.000857135 1 0 1 1 1 1 0 1 1 1 1 1 0 1 minimální riziko bez bezrizikové 3978.561385 -647.8790483 -425.5220801 -2905.160256 -0.126676341 ČEZ -0.126676341 výnosnost 0.10% 1515.929755 -221.9602052 -178.2969087 -1115.672641 -0.247365692 ČEZ -0.247365692 výnosnost 0.16% -647.8790483 2002.554428 371.4080475 -1726.083427 0.120205396 Philip Moris 0.120205396 riziko 1.17% -221.9602052 883.5445371 156.5974361 -818.1817681 0.091377988 Philip Moris 0.091377988 riziko 1.52% -425.5220801 371.4080475 325.0255693 -270.9115367 -0.126308571 Unipetrol -0.126308571 -178.2969087 156.5974361 134.3790549 -112.6795824 -0.143375212 Unipetrol -0.143375212 -2905.160256 -1726.083427 -270.9115367 4902.15522 1.132779516 KB 1.132779516 -1115.672641 -818.1817681 -112.6795824 2046.533991 1.299362917 KB 1.299362917 -0.126676341 0.120205396 -0.126308571 1.132779516 -0.000272835 -0.000272835 -0.247365692 0.091377988 -0.143375212 1.299362917 -0.000462719 -0.000462719 vektor pravých stran vektor pravých stran 8074.753692 -1407.380137 -733.7547466 -6862.213067 0.003580189 3296.338625 -541.6201731 -203.2995224 -3620.601619 0.007040196 -1407.380137 4111.028962 631.5181189 -2454.00761 0.001490764 -541.6201731 1803.179802 256.5672772 -1123.166061 0.003070266 -733.7547466 631.5181189 767.0000342 -1590.661743 0.008235727 -203.2995224 256.5672772 357.6087581 -1030.583691 0.017353216 -6862.213067 -2454.00761 -1590.661743 19210.6631 0.001947962 -3620.601619 -1123.166061 -1030.583691 11390.55597 0.004062474 Z X Z X ČEZ 7.400743622 1.131775335 výnosnost ČEZ 3.307454271 0.575494809 výnosnost Philip Moris 1.510585337 0.231009654 0.53% Philip Moris 1.612565153 0.280585247 0.89% Unipetrol 1.532718636 0.234394439 riziko Unipetrol 1.375404527 0.239319458 riziko KB -3.904990422 -0.597179428 2.81% KB -0.5482752 -0.095399514 3.89% 6.539057171 5.747148751