ri korelace i a M sigma i covar_i beta_i re_i Valuace C1 15.5 0.9 20 216 1.5 15.5 spravna hodnota C2 9.2 0.8 9 86.4 0.6 9.2 spravna hodnota C3 11.2 0.5 15 90 0.625 9.375 podhodnocen TP 12 1 12 144 1 12 spravna hodnota rf 5 0 0 0 0 5 spravna hodnota ##### Sheet/List 2 ##### den Český Telecom ČEZ Komerční banka UNIPETROL IPB PX50 Český Telecom ČEZ Komerční banka UNIPETROL IPB PX50 1 570 98.4 669.1 53.9 103.5 333.4 2 569 98.2 715 53.8 103 338.9 -0.001755927 -0.002034589 0.066349017 -0.001857011 -0.004842624 0.016362108 3 563.8 96.6 725 53.2 101.9 346.8 -0.009180855 -0.016427474 0.013889112 -0.011215071 -0.010737048 0.023043166 4 575.3 96.5 716 53.9 100 347.8 0.020192065 -0.001035733 -0.012491488 0.013072082 -0.018821754 0.002879357 5 595.1 97 725 55.6 101.6 350.9 0.033837815 0.00516797 0.012491488 0.031052723 0.015873349 0.008873681 6 602.8 98.4 727.5 57 101.2 348.1 0.012856008 0.014329826 0.003442344 0.024868067 -0.003944778 -0.008011488 7 601.8 99 716.6 54.7 102 349.4 -0.001660303 0.006079046 -0.015096194 -0.041187558 0.007874056 0.003727603 beta alfa 8 601.3 105.4 721.5 55.6 101.6 354.2 -0.000831186 0.062642786 0.006814573 0.016319492 -0.003929278 0.013644328 -0.246231127 0.013806734 9 614.8 116.9 718.6 55.9 101.7 361.1 0.022203034 0.103556232 -0.004027504 0.005381179 0.000983768 0.019293203 0.21660733 0.004275058 10 628.1 119.6 717.8 56.5 100.5 372.7 0.021402378 0.022833973 -0.001113896 0.010676258 -0.011869576 0.031618878 0.070643624 0.016212697 11 629 113.2 729.5 56.4 103.4 371.6 0.001431867 -0.054996676 0.016168389 -0.00177148 0.028447235 -0.0029558 1.292229373 17 12 618.6 109.5 702.6 54.9 102.3 395.9 -0.016672396 -0.033231617 -0.037571628 -0.02695581 -0.010695289 0.063343647 0.000339665 0.004468476 13 638 105 750.8 55 102.8 397.6 0.030879423 -0.041964199 0.066351565 0.001819837 0.00487568 0.004284821 14 656 104.9 789.7 56.6 99.8 406.1 0.027822506 -0.000952835 0.050513822 0.0286758 -0.02961717 0.02115296 15 662 105.3 799.1 56.9 101.4 400.7 0.009104767 0.003805904 0.011832968 0.005286356 0.015904908 -0.013386417 16 669.4 105.7 805 56 100.9 396.6 0.011116233 0.003791474 0.007356183 -0.01594365 -0.004943164 -0.010284802 17 700.7 108.5 870 56.7 95.3 398.2 0.045698047 0.02614528 0.077650934 0.01242252 -0.057100117 0.004026176 18 709 110.3 937.6 57 65.7 400.9 0.011775691 0.016453753 0.074830207 0.005277057 -0.371930885 0.006757628 19 713 112.6 948.8 56.8 99.4 399.1 0.005625894 0.020637789 0.011874609 -0.003514942 0.414053188 -0.004500008 20 708 113.9 951.5 56.5 99.2 401.1 -0.007037327 0.011479155 0.002841658 -0.005295688 -0.002014099 0.004998761 E (ri) 0.011410933 0.007698951 0.018531903 0.002479482 -0.002233347 0.009729884 rf 0.03 p.a. "covar_i,m" -7.66363E-05 -2.00636E-05 -0.000143282 -5.79076E-05 -0.000351217 0.000311237 Český telecom CEZ počet ob.dnu 250 beta_i -0.246231127 -0.064463954 -0.460363256 -0.186055958 -1.128453695 1 OLS-min.ctv. rf 0.00012 p.d. n sum_X sum_Y re_i -0.002246253 -0.000499491 -0.004304038 -0.001667976 -0.010724309 0.009729884 sum_X Sum_X^2 sum_Y*X vps delta 0.013657186 0.008198442 0.022835941 0.004147458 0.008490962 0 19 0.184867802 0.216807733 19 0.184867802 0.146280066 0.184867802 0.007401015 0.00073006 0.184867802 0.007401015 0.001062143 0.069530193 -1.736774451 alfa 0.013806734 alfa 0.008326178 -1.736774451 178.4989822 beta -0.246231127 beta -0.064463954 wi 1.281090309 0.174568291 0.349080762 -0.8372666 0.032527239 Tg_portfolio 0.000438394 2.73684E-05 0.000115002 -0.000204094 -1.05436E-05 2.73684E-05 3.72783E-05 -6.48549E-06 -2.45958E-05 -7.68798E-08 CovM VPS E (ri) 0.000115002 -6.48549E-06 0.000130559 -5.94128E-05 -1.69778E-05 0.000267119 0.000122378 0.000257158 0.000190277 -0.000253024 0.011290933 0.011410933 -0.000204094 -2.45958E-05 -5.94128E-05 0.000231014 7.08512E-06 0.000122378 0.001223278 -0.000106427 0.00016828 -1.35394E-05 0.007578951 0.007698951 -1.05436E-05 -7.68798E-08 -1.69778E-05 7.08512E-06 1.85756E-05 0.000257158 -0.000106427 0.001071405 0.000203278 -0.001495229 0.018411903 0.018531903 0.000190277 0.00016828 0.000203278 0.000329542 -0.000260157 0.002359482 0.002479482 -0.000253024 -1.35394E-05 -0.001495229 -0.000260157 0.017556896 -0.002353347 -0.002233347 InvM Zi wi Rp VarP SigmaP ratio 7518.836014 -396.1822772 -1270.206012 -3395.350697 -50.43558186 50.61254302 1.281090309 0.020282927 0.000510358 0.022591111 0.897827804 -396.1822772 939.4911725 285.9286541 -416.9589258 13.18743242 6.896738729 0.174568291 -1270.206012 285.9286541 1452.557932 -227.8867038 102.2446465 13.79127214 0.349080762 Beta_P -0.368328672 -3395.350697 -416.9589258 -227.8867038 5356.944275 10.71686928 -33.07822372 -0.8372666 -0.368328672 -50.43558186 13.18743242 102.2446465 10.71686928 65.10742655 1.285066521 0.032527239 sum_z_i 39.50739669 1 SystVarP 4.22243E-05 0.006498025 NesVarP 0.000468134 0.021636404 0.518336137 0.091635004 0.073795974 0.285903523 0.030329362 MinVariance 7.17675E-05 5.8127E-06 9.83657E-06 2.81979E-05 -3.97774E-06 0.000534238 0.000244757 0.000514316 0.000380554 -0.000506048 1 5.8127E-06 1.02718E-05 -7.1969E-07 4.40873E-06 -3.76292E-08 0.000244757 0.002446556 -0.000212854 0.00033656 -2.70788E-05 1 9.83657E-06 -7.1969E-07 5.8347E-06 4.28886E-06 -3.3466E-06 0.000514316 -0.000212854 0.002142809 0.000406556 -0.002990457 1 2.81979E-05 4.40873E-06 4.28886E-06 2.6937E-05 -2.25589E-06 0.000380554 0.00033656 0.000406556 0.000659083 -0.000520315 1 -3.97774E-06 -3.76292E-08 -3.3466E-06 -2.25589E-06 1.61501E-05 -0.000506048 -2.70788E-05 -0.002990457 -0.000520315 0.035113793 1 1 1 1 1 1 0 Rp VarP SigmaP ratio 3135.688208 -308.3583546 -723.9039686 -2041.711841 -61.71404383 0.518336137 0.008628929 0.000215376 0.01467568 0.587974718 -308.3583546 450.2517943 127.2654861 -269.300585 0.141659233 0.091635004 -723.9039686 127.2654861 713.6362945 -162.9241314 45.92631946 0.073795974 Beta_P -0.254929935 -2041.711841 -269.300585 -162.9241314 2488.708704 -14.77214575 0.285903523 -61.71404383 0.141659233 45.92631946 -14.77214575 30.41821088 0.030329362 SystVarP 2.02271E-05 0.518336137 0.091635004 0.073795974 0.285903523 0.030329362 -0.000430751 NesVarP 0.000195149 ##### Sheet/List 3 ##### Ci beta_i r_i re_i delta_i valCP 1 1.75 16.7 21 -4.3 nadhodnocen 2 1.2 24 16.6 7.4 podhodnocen 3 1.3 17.4 17.4 0 spravne ocenen 4 0.75 16 13 3 podhodnocen rf 7 rm 15 ##### Sheet/List 4 ##### Rok Tržní portfolio Společnost S1 1 8 8.1 2 0 3 3 14.9 5.3 beta alfa 4 5 1 0.298730143 1.630606443 5 4.1 3.1 0.136620345 1.00585424 6 8.9 3 0.374075521 1.849422697 7 10.1 5 4.781094643 8 8 5 3.2 16.3530855 27.3629145 9 1.5 1.2 10 2.4 1.3 vps 10 59.9 34.2 59.9 542.05 259.6 InvM 0.295799704 -0.032687764 alfa 1.630606443 -0.032687764 0.005457056 beta 0.298730143