matlab程序:
ExpReturn=[2.0666,3.1583,3.2333,3.3666,3.7583];
ExpCovariance=[0.0014673888 0.0002836111 0.0005644444 0.0001883055 0.000468777777;
0.0002836111 0.0007939097 -0.000012277 0.0006392777 0.000527576388;
0.0005644444 -0.000012277 0.0009963888 -0.000032388 -0.00018486111;
0.0001883055 0.0006392777 -0.000032388 0.0012387222 0.000598694444;
0.0004687777 0.0005275763 -0.000184861 0.0005986944 0.000684243055];
AssetBounds=[zeros(1,5);0.6*ones(1,5)];
NumPorts=20;
[PortRisk, PortReturn, PortWts] = frontcon(ExpReturn, ExpCovariance,NumPorts, [], AssetBounds)
结果:20个pareto解
PortRisk =
0.0177
0.0178
0.0178
0.0178
0.0178
0.0178
0.0178
0.0178
0.0178
0.0181
0.0185
0.0190
0.0197
0.0205
0.0214</