matlab portfolio函数,Portfolio Optimization Examples

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概述

Set up the Data

Every example works with moments for monthly total returns of a universe of 30 "blue-chip" stocks. Although derived from real data, these data are for illustrative purposes and are not meant to be representative of specific assets or of market performance. The data are contained in the file BlueChipStockMoments.mat with a list of asset identifiers in the variable AssetList, a mean and covariance of asset returns in the variables AssetMean and AssetCovar, and the mean and variance of cash and market returns in the variables CashMean, CashVar, MarketMean, and MarketVar. Since most of the analysis requires the use of the standard deviation of asset returns as the proxy for risk, cash, and market variances are converted into standard deviations.

load BlueChipStockMoments

mret = MarketMean;

mrsk = sqrt(MarketVar);

cret = CashMean;

crsk = sqrt(CashVar);