matlab投资组合权重,【原创】投资组合风险-收益关系的Matlab实现

function Two_Portfolio_example()

%  copyright by lige and fantuanxiaot

%  两个组合

%  portfolio_return用来形成期望收益

%  portfolio_std用来形成标准差

return1=0.15;

std1=0.24;

return2=0.12;

std2=0.18;

portfolio_return=zeros(1,50);

portfolio_std=zeros(5,50);

portfolio_corrrelation=-1:0.5:1;

%%  形成不同相关系数下的组合

for i=1:50

w1=0.02*(i-1);

w2=1-w1;

portfolio_return(i)=return1*w1+return2*w2;

for j=1:5

portfolio_std(j,i)=sqrt((std1*w1)^2+(std2*w2)^2+2*std1*w1*std2*w2*portfolio_corrrelation(j));

end

end

portfolio_std1=portfolio_std(1,:);

portfolio_std2=portfolio_std(2,:);

portfolio_std3=portfolio_std(3,:);

portfolio_std4=portfolio_std(4,:);

portfolio_std5=portfolio_std(5,:);