3西格玛计算matlab,使用Matlab计算Efficient frontier

寻找slope最大点的函数

function [ port, opt_mu, opt_sigma ] = highest_slope_portfolio( R, RF, mu, sigma )

% This function finds the portfolio with the largest slope

% this function can easily be much more general

% e.g. mu, RF, sigma can be parameters

if nargin < 1

return

elseif nargin == 1

RF=0.02;

mu=[.1 .2]';

sigma=[.1 .2]';

elseif nargin == 2

mu=[.1 .2]';

sigma=[.1 .2]';

end

% Here we use our define correlation coefficient

C=diag(sigma)*R*diag(sigma);

A=2*C;

A(:,end+1)=-(mu-RF);

A(end+1,1:end-1)=(mu-RF)';

Rp=mu(1);

b=zeros(length(mu),1);

b(end+1,1)=Rp-RF;

x=inv(A)*b;

xopt=x(1:length(mu))./sum(x(1:length(mu)))';

% Return va