8.varcov=matrix(c((sigma[1,1])^2,cov,cov,(sigma[2,1])^2),nrow=2,ncol=2,byr
ow=TRUE)
- A=t(mu)%%solve(varcov)%%mu
- B=t(mu)%%solve(varcov)%%I
- C=t(I)%%solve(varcov)%%I
- GG=matrix(c(A,B,B,C), nrow=2,ncol=2,byrow=TRUE)
- lambda=(Cmup-B)/(AC-B^2)
- delta=(A-Bmup)/(AC-B^2)
- Q=mu%%lambda+I%%delta
- omega=solve(varcov)%*%Q
- retp=t(mu)%*%omega
- sigmap=sqrt(t(omega)%%varcov%%omega)
19.}
20.plot(x=poA[,2], y = poA[,1], xlab="Risque", ylab="Rendement", panel.first
= grid(),type="l",col="red", main="Frontiere efficiente",lwd=2, lty=2,
cex=2, pch=8)