利用Matlab計算有效前沿

1、利用Matlab計算有效前沿10116.510116.56.848.170.0285710.219403二一重工月份月開盤價月收盤價月收益率601601111.3813.70.203866保險213.8213.58-0.01737313.6316.780.231108416.8717.550.040308517.8317.15-0.03814617.3522.380.289914722.2827.770.246409827.7719.61-0.29384918.5822.270.1986011022.724.470.0779741123.824.570.0323531224.625.20.04

2、1463寶鋼股份月份月開盤價月收盤價月收益率60001914.755.480.153684鋼鐵25.545.25-0.0523535.35.740.08301945.755.780.00521755.836.110.04802766.147.040.1465877.029.630.37179589.696.42-0.3374696.416.460.0078126.78.29.660.178049強生控股月份月開盤價月收盤價月收益率60066213.674.570.245232運輸物流24.525.170.14380535.186.10.17760646.116.30.03109756.266.

3、24-0.0031966.296.60.04928576.626.940.04833887.016.07-0.1340996.16.110.001639106.186.650.076052116.58.250.269231128.218.590.046285海通證券月份月開盤價月收盤價月收益率60083718.2511.460.389091券商211.5211.24-0.02431311.114.090.269369414.1512.79-0.09611512.8814.150.098602614.316.450.15035716.3518.940.15841819.2512.8-0.3350

4、6912.6513.190.0426881013.414.150.055971113.7416.060.16885121619.190.199375東風科技月份月開盤價月收盤價月收益率60008113.393.830.129794汽車23.83.830.00789533.750.19466744.5.480.0254.594.590.25708165.785.770.12110776.456.480.02790786.646.63-0.2319395.035.10.172962105.985.90.110368116.486.64-0.01235127.826.40.0882358.51第一醫(yī)

5、藥月份月開盤價月收盤價月收益率60083315.235.940.135755醫(yī)藥260.0084033.9570.166667467.850.11823457.027.990.03096867.757.91-0.0100177.998.810.11097187.938.05-0.0883498.838.290.036251089.720.169675118.3110.390.074457129.6711.240.08180910.39浦發(fā)銀行月份月開盤價月收盤價月收益率600000113.5116.690.235381銀行216.817.780.058333317.7921.920.23215

6、3422.0523.170.050794523.2725.650.102278626.0523.02-0.11631723.0627.170.178231827.3517.84-0.34771917.7619.650.1064191020.1621.740.0783731121.222.020.0386791221.8821.69-0.00868申能股份月份月開盤價月收盤價月收益率60064216.126.210.014706電力26.37.160.13650837.178.330.16178548.329.350.12379859.449.42-0.0021269.529.860.03571

7、479.8113.650.391437813.810.57-0.23406910.510.42-0.007621010.612.120.1433961111.5911.5-0.007771211.9411.38-0.0469上海建工月份月開盤價月收盤價月收益率60017019.229.910.074837建筑21010.620.062310.6212.770.202448412.8913.170.021722513.1912.65-0.04094612.716.80.322835718.4817.6-0.04762817.312.58-0.27283912.714.010.103151014.

8、3614.910.0383011114.7115.550.0571041215.4815.46-0.00129錦江股份月份月開盤價月收盤價月收益率60075419.1611.550.260917旅游酒店211.6510.68-0.08326310.5314.10.339031414.216.950.193662516.9918.810.107122618.919.060.008466719.0123.390.230405823.4720.51-0.12612918.4617.73-0.039541018.1520.150.1101931119.8722.280.1212881222.0923.

9、570.066999其中各股票分紅情況如下：600170上海建工建筑每10股分紅1.25元600642申能股份電力每10股分2元600000浦發(fā)銀行銀行每10股分4.5元600754錦江股份旅游酒店每10股分紅3.6元600833第一醫(yī)藥醫(yī)藥每10股分紅0.8元600081東風科技汽車無分紅600837海通證券券商每10股分2元600662強生控股運輸物流每10股0.8元601601中國太保保險每10股3元600019寶鋼股份鋼鐵每10股2元Step1：建立月收益率矩陣： x=x1 x2 x3 x4 x5 x6 x7 x8 x9 x10cov(x,1)=0.02440.0191cov(x,1)

10、=0.02440.01910.00770.02090.01200.01910.02740.00980.02330.00910.00770.00980.01180.01420.00370.02090.02330.01420.03170.01470.01200.00910.00370.01470.01460.00630.00690.00460.00830.00440.01570.01590.01050.02040.01300.01390.01520.00490.00940.00530.01720.01020.00760.01480.01030.01170.01380.00800.01650.007

11、4求得十只股票間的協(xié)方差 ij0.00630.01570.01390.01720.01170.00690.01590.01520.01020.01380.00460.01050.00490.00760.00800.00830.02040.00940.01480.01650.00440.01300.00530.01030.00740.00550.00910.00660.00330.00860.00910.02330.01470.00870.01570.00660.01470.02090.00630.01110.00330.00870.00630.01890.00540.00860.01570.0

12、1110.00540.0186Step2:計算平均收益率x0=0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 mean(x)=(0.0844 0.07100.0793 0.0898 0.0738 0.0696 0.0507 0.0591 0.0433 0.0991)(0.0844 0.0710Step3：建立模型，約束條件如下M加2工噸乙1 ni=1 j=1Subject to w = 1ii=1 ER =i ii=1其中權數w卩允許融券(short-sell).i使用Matlab軟件：a=linspace(0,0.2,100);for i=1:100beq=1;a(i);x,f=fmincon(n