经济环境发生概率 A项目期望报酬率B项目期望报酬率繁荣0.390%20%正常0.415%15%衰退0.3-60%10%合计1.0 niiiPERR12)(mjjjpRWR1表2-2 完全负相关的证券组合数据方案AB组合年度收益报酬率收益报酬率收益报酬率20172040%-5 -10%1515%2018-5-10%2040%1515%201917.535%-2.5-5%1515%2020-2.5-5%17.535%1515%20217.515%7.515%1515%平均数7.515%7.515%1515%标准差 22.6%22.6%0表2-3 完全正相关的证券组合数据方案AB组合年度收益报酬率收益报酬率收益报酬率20172040%2040%4040%2018-5-10%-5-10%-10-10%201917.535%17.535%3535%2020-2.5-5%-2.5-5%-5-5%20217.515%7.515%1515%平均数7.515%7.515%1515%标准差 22.6%22.6%22.6%pjkjkjkjkjkjkppp211221222221212rWWWWp
