correlation 蒙特卡洛_蒙特卡洛模拟林业不确定性matalab代码

CODE:

假设有五种资产，其日收益率(%)分别为

0.0246 0.0189 0.0273 0.0141 0.0311

标准差分别为

0.9509 1.4259, 1.5227, 1.1062, 1.0877

相关系数矩阵为

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

假设初始价格都为100，模拟天数为504天，模拟线程为2，程序如下

%run.m

ExpReturn = [0.0246 0.0189 0.0273 0.0141 0.0311]/100; %期望收益

Sigmas = [0.9509 1.4259, 1.5227, 1.1062, 1.0877]/100;%标准差

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

];%相关系数

ExpCov = corr2cov(Sigmas, Correlations);%协方差

StartPrice = 100;%初始价格

NumObs = 504;

NumSim = 2;

RetIntervals = 1;

NumAssets = 5;

%开始模拟

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');