excel.py

Created on November 21, 2024

387 Bytes

 the variance of the portfolio
 SUMPRODUCT(B13:B15; MMULT(B3:D5; B13:B15))
 Σ−1μ
 MMULT(MINVERSE(B3:D5); B13:B15)
 λMSR2 = μ-′Σ−1μ-
 SUMPRODUCT(B8:B10; MMULT(MINVERSE(B3:D5); B8:B10))
 Alpha
 INTERCEPT(A1:A260, B1:B260)
 Bêta
 SLOPE(A1:A260, B1:B260)
 R2
 RSQ(A1:A260, B1:B260)
 Volatilité
 SQRT(SUMPRODUCT(B2:B4, MMULT(A7:C9, B2:B4)))
 Rendement
 SUMPRODUCT(B2:D2, B3:D3)

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excel.py