package technicalmanagement;

public class Portfolio {
	static final double rm=0.011;
	static final double sigmam =0.00262;
	static final double sigmaa =0.00036;
	static final double sigmab =0.00064;
	static final double oujiA = 0.001152768;//王子製紙のα、β
	static final double oujiB = 0.71180797;
	static final double nitteruA =0.003423932;//新日鉄のα、β
	static final double nitteruB =0.144017047;

	public static void main(String[] args) {
		double Mw=0;//投資割合
		double MexpectofP=0;//記録用
		double MdispersionofP=100;//記録用
		for(int i=0;i<1000;i++){
			//wを乱数で発生
			double expectofP; //期待収益率
			double dispersionofP;//分散
			double w=Math.random();
			expectofP=w*(oujiA+oujiB*rm)+(1-w)*(nitteruA+nitteruB*rm);
			dispersionofP=Math.pow((w*oujiB+(1-w)*nitteruB),2)*sigmam+Math.pow(w, 2)*sigmaa+Math.pow((1-w), 2)*sigmab;
			if((expectofP>=MexpectofP) && (dispersionofP<=MdispersionofP)){
				MexpectofP=expectofP;
				MdispersionofP=dispersionofP;
				Mw=w;
			}
		}
		System.out.println("期待収益率は"+MexpectofP+",標準偏差は"+Math.sqrt(MdispersionofP));
		System.out.println("最適な投資割合は"+Mw+"です。");
	}
}