利用Matlab计算有效前沿

利用Matlab计算有效前沿三一重工月份月开盘价月收盘价月收益率601601保险12345678910111211.3813.8213.6316.8717.8317.3522.2827.7718.5822.723.824.613.713.5816.7817.5517.1522.3827.7719.6122.2724.4724.5725.20.203866-0.017370.2311080.040308-0.038140.2899140.246409-0.293840.1986010.0779740.0323530.041463宝钢股份月份月开盘价月收盘价月收益率600019钢铁1234567891011124.755.545.35.755.836.147.029.696.416.56.78.25.485.255.745.786.117.049.636.426.466.848.179.660.153684-0.052350.0830190.0052170.0480270.146580.371795-0.337460.00780.0285710.2194030.178049强生控股月份月开盘价月收盘价月收益率600662运输物流1234567891011123.674.525.186.116.266.296.627.016.16.186.58.214.575.176.16.36.246.66.946.076.116.658.258.590.2452320.1438050.1776060.031097-0.003190.0492850.048338-0.134090.0016390.0760520.2692310.046285海通证券月份月开盘价月收盘价月收益率600837券商1234567891011128.2511.5211.114.1512.8814.316.3519.2512.6513.413.741611.4611.2414.0912.7914.1516.4518.9412.813.1914.1516.0619.190.389091-0.024310.269369-0.096110.0986020.150350.15841-0.335060.0426880.055970.168850.199375东风科技月份月开盘价月收盘价月收益率600081汽车1234567891011123.393.83.754.54.595.786.456.645.035.986.487.823.833.83.484.595.776.486.635.15.96.646.48.510.1297940.0078950.1946670.020.2570810.1211070.027907-0.231930.1729620.110368-0.012350.088235第一医药月份月开盘价月收盘价月收益率600833医药1234567891011125.23.9567.027.757.997.938.8388.319.6710.395.94677.857.997.918.818.058.299.7210.3911.240.1357550.0084030.1666670.1182340.030968-0.010010.110971-0.088340.036250.1696750.0744570.081809浦发银行月份月开盘价月收盘价月收益率600000银行12345678910111213.5116.817.7922.0523.2726.0523.0627.3517.7620.1621.221.8816.6917.7821.9223.1725.6523.0227.1717.8419.6521.7422.0221.690.2353810.0583330.2321530.0507940.102278-0.116310.178231-0.347710.1064190.0783730.038679-0.00868申能股份月份月开盘价月收盘价月收益率600642电力1234567891011126.126.37.178.329.449.529.8113.810.510.611.5911.946.217.168.339.359.429.8613.6510.5710.4212.1211.511.380.0147060.1365080.1617850.123798-0.002120.0357140.391437-0.23406-0.007620.143396-0.00777-0.0469上海建工月份月开盘价月收盘价月收益率600170建筑1234567891011129.221010.6212.8913.1912.718.4817.312.714.3614.7115.489.9110.6212.7713.1712.6516.817.612.5814.0114.9115.5515.460.0748370.0620.2024480.021722-0.040940.322835-0.04762-0.272830.103150.0383010.057104-0.00129锦江股份月份月开盘价月收盘价月收益率600754旅游酒店1234567891011129.1611.6510.5314.216.9918.919.0123.4718.4618.1519.8722.0911.5510.6814.116.9518.8119.0623.3920.5117.7320.1522.2823.570.260917-0.083260.3390310.1936620.1071220.0084660.230405-0.12612-0.039540.1101930.1212880.066999其中各股票分红情况如下：600170上海建工 建筑 每10股分红1.25元600642申能股份 电力 每10股分2元600000浦发银行 银行 每10股分4.5元600754锦江股份 旅游酒店 每10股分红3.6元600833第一医药 医药 每10股分红0.8元600081东风科技 汽车 无分红600837海通证券 券商 每10股分2元600662强生控股 运输物流 每10股0.8元601601中国太保 保险 每10股3元600019宝钢股份 钢铁 每10股2元Step1：建立月收益率矩阵： x=x1 x2 x3 x4 x5 x6 x7 x8 x9 x10求得十只股票间的协方差：cov(x,1)=0.0244 0.0191 0.0077 0.0209 0.0120 0.0063 0.0157 0.01390.0172 0.01170.0191 0.0274 0.0098 0.0233 0.0091 0.0069 0.0159 0.01520.0102 0.01380.0077 0.0098 0.0118 0.0142 0.0037 0.0046 0.0105 0.00490.0076 0.00800.0209 0.0233 0.0142 0.0317 0.0147 0.0083 0.0204 0.00940.0148 0.01650.0120 0.0091 0.0037 0.0147 0.0146 0.0044 0.0130 0.00530.0103 0.00740.0063 0.0069 0.0046 0.0083 0.0044 0.0055 0.0091 0.00660.0033 0.00860.0157 0.0159 0.0105 0.0204 0.0130 0.0091 0.0233 0.01470.0087 0.01570.0139 0.0152 0.0049 0.0094 0.0053 0.0066 0.0147 0.02090.0063 0.01110.0172 0.0102 0.0076 0.0148 0.0103 0.0033 0.0087 0.00630.0189 0.00540.0117 0.0138 0.0080 0.0165 0.0074 0.0086 0.0157 0.01110.0054 0.0186Step2:计算平均收益率x0=0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1mean(x)=（）Step3：建立模型，约束条件如下Subject to 其中权数可以为负，即允许融券（short-sell）.使用Matlab软件：a=linspace(0,0.2,100);for i=1:100beq=1;a(i);x,f=fmincon(n