3Â¥: Originally posted by kainan001 at 2016-10-05 12:50:09
ÎÒ֮ǰÓùýÃÉÌØ¿¨Âå·½·¨È¥³ýÊý¾ÝµÄÒì³£Öµ£¬ÄãÕâÀïµÄ²»È·¶¨ÐÔÊÇÖ¸Òì³£ÖµÂð£¿

     ¼ÙÉèÓÐÎåÖÖ×ʲú£¬ÆäÈÕÊÕÒæÂÊ(%)·Ö±ðΪ
      0.0246 0.0189 0.0273 0.0141 0.0311
      ±ê×¼²î·Ö±ðΪ
      0.9509 1.4259, 1.5227, 1.1062, 1.0877
      Ïà¹ØϵÊý¾ØÕóΪ
                1.0000 0.4403 0.4735 0.4334 0.6855
                0.4403 1.0000 0.7597 0.7809 0.4343
                0.4735 0.7597 1.0000 0.6978 0.4926
                0.4334 0.7809 0.6978 1.0000 0.4289
                0.6855 0.4343 0.4926 0.4289 1.0000
      ¼ÙÉè³õʼ¼Û¸ñ¶¼Îª100£¬Ä£ÄâÌìÊýΪ504Ì죬ģÄâÏß³ÌΪ2£¬³ÌÐòÈçÏÂ
%run.m
ExpReturn = [0.0246 0.0189 0.0273 0.0141 0.0311]/100; %ÆÚÍûÊÕÒæ
Sigmas = [0.9509 1.4259, 1.5227, 1.1062, 1.0877]/100;%±ê×¼²î
Correlations = [1.0000 0.4403 0.4735 0.4334 0.6855
                0.4403 1.0000 0.7597 0.7809 0.4343
                0.4735 0.7597 1.0000 0.6978 0.4926
                0.4334 0.7809 0.6978 1.0000 0.4289
                0.6855 0.4343 0.4926 0.4289 1.0000
];%Ïà¹ØϵÊý
ExpCov = corr2cov(Sigmas, Correlations);%Э·½²î
StartPrice = 100;%³õʼ¼Û¸ñ
NumObs = 504;
NumSim = 2;
RetIntervals = 1;
NumAssets = 5;
%¿ªÊ¼Ä£Äâ
randn('state', 0);
RetExact = portsim(ExpReturn, ExpCov, NumObs, RetIntervals, NumSim);
Weights = ones(NumAssets, 1)/ NumAssets;
PortRetExact = zeros(NumObs, NumSim);
for i = 1:NumSim
    PortRetExact(:, i) = RetExact(:,:,i)*Weights;
end
PortExact = ret2tick(PortRetExact, repmat(StartPrice, 1, NumSim));
plot(PortExact, '-r');

5Â¥: Originally posted by FMStation at 2016-10-08 07:48:13
http://bbs.pinggu.org/thread-742516-1-1.html


     ¼ÙÉèÓÐÎåÖÖ×ʲú£¬ÆäÈÕÊÕÒæÂÊ(%)·Ö±ðΪ
      0.0246 0.0189 0.0273 0.0141 0.0311
      ±ê×¼²î·Ö±ðΪ
      0.9509 1.4259, 1.5227, 1.1062, 1.0877
...