ω = [ E ( r 1)？ r f ] σ 2 2？ [ E ( r 2)？ r f ] ρ σ 1 σ 2 [ E ( r 1)？ r f ] σ 2 2 + [ E ( r 2)？ r f ] σ 1 2？ [ E ( r 1)？ r f + E ( r 2)？ r f]ρσ 1σ2 \omega=\dfrac{[e(r_ 1)-r_f]\sigma_2^2-[e(r_2)-r_f]\rho\sigma_ 1\sigma_2}{[e(r_ 1)-r_f]\sigma_2^2+[e(r_2)-r_f]\ sigma_ 1^2-[e(r_ 1)-r_f+e(r_2)-r_f]\rho\sigma_ 1\sigma_2}
ω=
[England (Russia)
1
)? r
f
]σ
2
2
+[E(r
2
)? r
f
]σ
1
2
[England (Russia)
1
)? r
f
+E(r
2
)? r
f
]ρσ
1
σ
2
[England (Russia)
1
)? r
f
]σ
2
2
[England (Russia)
2
)? r
f
]ρσ
1
σ
2
Formula application scenario:
First of all, you should affirm the mean-variance model of markowitz.
Secondly, your portfolio only contains two kinds of risky assets and one kind of risk-free assets. You should know the expected rate of return, risk and correlation coefficient of the two kinds of risky assets, and also know the expected rate of return of the risk-free assets.
Then, according to Harry M. Markowitz's modern portfolio theory, we can get a diagram similar to the following figure, in which the curve is a combination of two risky assets, and different points on the curve represent different proportions of investing in the two assets; The straight line in the figure is a combination of risk-free assets and risk-free assets, and the expected rate of return represented by the point intersecting with the ordinate is the risk-free interest rate.