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Mois

1
2
3
4
5
6

(epsilon i)

Coeff. Corr
Beta
Beta
Beta*Vm

Nippon Mining Holdings, Inc.


200
220
220
270
300
350

Nikkei
1000
1025
1020
1029
1040
1030
E( R)

0.005626094
0.0056561637

0.0987166704
0.6078899718
0.3695302178
0.000055662

* La dcomposition du risque, et *
* La proportion investir pour avoir le portefeuille variance minimale.

Ri

Rm

Vi

Vm

Cov.

0.1000
0.0000
0.2273
0.1111
0.1667
0.1210

0.0250
-0.0049
0.0088
0.0107
-0.0096
0.0060
Ecart type

0.0004
0.0146
0.0113
0.0001
0.0021
0.0057
0.07558

0.0004
0.0001
0.0000
0.0000
0.0002
0.0002
0.01227

-0.0004
0.0013
0.0003
0.0000
-0.0007
0.0001

Portef. variance min.

0.64563107
Caractristiques du portefeuille
Variance X=0,04, variance Y= 0,07, covariance (X,Y) = 0,0035.

0.0665

0.103
0.645631068

Mois
1
2
3
4
5
6

Coeff. Corr
Beta
Beta
Beta*Vm

Nippon Mining Holdings, Inc.


200
220
220
270
300
350

0.0987166704
0.6078899718
0.3695302178
0.00005566

Nikkei
1000
1025
1020
1029
1040
1030
E( R)

Ri
0.1000
0.0000
0.2273
0.1111
0.1667
0.1210

Rm
0.0250
-0.0049
0.0088
0.0107
-0.0096
0.0060
Ecart type

Portef. variance min.

0.64563107

Caractristiques du portefeuille
Variance X=0,04, variance Y= 0,07, co

(epsilon i)

0.005626094
0.0056561637

Vi
0.0004
0.0146
0.0113
0.0001
0.0021
0.0057
0.0756

Vm
0.0004
0.0001
0.0000
0.0000
0.0002
0.0002
0.0123

Cov.
-0.0004
0.0013
0.0003
0.0000
-0.0007
0.0001

s du portefeuille
variance Y= 0,07, covariance (X,Y) = 0,0035.

0.0104

Etats de la nature Probabilit


1
0.1
2
0.2
3
0.4
4
0.2
5
0.1

Rx
-0.15
0.05
0.15
0.25
0.35

Rm
0.4
0.3
0.2
0.1
0

E(Rx)
-0.015
0.01
0.06
0.05
0.035
0.14

E(Rm)
0.04
0.06
0.08
0.02
0
0.2
Ecart type

VAR (Rx)
0.00841
0.00162
0.00004
0.00242
0.00441
0.0169
0.13

VAR (Rm)
0.004
0.002
0
0.002
0.004
0.012
0.11

Cov (Rx, Rm)


-0.0058
-0.0018
0
-0.0022
-0.0042
-0.014

coeff. Corr.
Beta
Beta
Beta*VAR(Rm)
VAR (Epsilon i)

-0.9830918
-1.1666667
1.3611111
0.0163333
0.0005667

0.456942

Postes de produits ou de charges Montant anne 1


Chiffre d'affaires
3576
Achat de matires premires
674
Salaires
753
Vente de matriel de transport
473
Produits financiers
384
Charges non courantes
273
EBE
2149
Dotations aux amortissements
120
Bnfice avant impts
2029
IS
669.57
Rsultat conomique
1359.43
Flux de trsorerie final
1479.43

Projets
N1
N2
Projet diffrentiel
N3

Dpense initiale
3000
5000
Dpense initiale
2000

Montant anne 2
3576
674
753
473
384
273
2149
120
2029
669.57
1359.43
1479.43

Flux de liquidit
Anne 1
2000
3000
Anne 1
1000

Montant anne 3
3576
674
753
473
384
273
2149
120
2029
669.57
1359.43
1479.43

Flux de liquidit
Anne 2
2000
3500
Anne 2
1500

Montant anne 4
3576
674
753
473
384
273
2149
120
2029
669.57
1359.43
1479.43

TIR
%
21.52%
18.85%
%
15.14%

*Taux IS :

VAN
10%
471.1
619, 8
10%
148.7

33%