1.波段组合OIF指数计算
a=1;%组合值1
b=2;%组合值2
c=3;%组合值3
%标准差矩阵
s=[57.605313 42.936445 49.129060 40.832753 43.846290 26.411986];
%相关性矩阵
Correlation=[1.000000 0.932799 0.928658 0.221611 0.471777 0.692870;
0.932799 1.000000 0.986851 0.285145 0.514567 0.719326;
0.928658 0.986851 1.000000 0.271256 0.550112 0.763690;
0.221611 0.285145 0.271256 1.000000 0.631462 0.432643;
0.471777 0.514567 0.550112 0.631462 1.000000 0.909122;
0.692870 0.719326 0.763690 0.432643 0.909122 1.000000;];
Corr1=Correlation(a,b);%波段相关性值
Corr2=Correlation(a,c);
Corr3=Correlation(b,c);
%协方差矩阵
Covariance= [3318.372058 2307.155184 2628.191415 521.270330 1191.603300 1054.180760;
2307.155184 1843.538338 2081.690134 499.919801 968.725395 815.742021;
2628.191415 2081.690134 2413.664559 544.160628 1185.011777 990.960550;
521.270330 499.919801 544.160628 1667.313734 1130.547355 466.594310;
1191.603300 968.725395 1185.011777 1130.547355 1922.497123 1052.824491;
1054.180760 815.742021 990.960550 466.594310 1052.824491 697.593012;];
%协方差子矩阵
Cov_child=[Covariance(a,a) Covariance(b,a) Covariance(c,a);
Covariance(b,a) Covariance(b,b) Covariance(b,c);
Covariance(c,a) Covariance(c,b) Covariance(c,c);];
%最终结果
oif=(s(a)+s(b)+s(c))/(abs(Corr1)+abs(Corr2)+abs(Corr3))
si=det(Cov_child)