使用经典方法进行投资组合优化

% % Copyright (c) 2015, Yarpiz (www.yarpiz.com) % All rights reserved. Please read the "license.txt" for license terms. % % Project Code: YPAP112 % Project Title: % Portfolio Optimization using Classic and Intelligent Methods in MATLAB % % Publisher: Yarpiz (www.yarpiz.com) % % Developer: S. Mostapha Kalami Heris (Member of Yarpiz Team) % % Contact Info: sm.kalami@gmail.com, info@yarpiz.com % clc; clear; close all; data=load('mydata'); Symbols=data.Symbols; R=data.R; alpha=0.95; port=PortfolioCVaR(); port=port.setScenarios(R); port=port.setDefaultConstraints(); port=port.setProbabilityLevel(alpha); W=port.estimateFrontier(100); WReturn=port.estimatePortReturn(W); WRisk=port.estimatePortRisk(W); WD=eye(port.NumAssets); MU=port.estimatePortReturn(WD); SIGMA=port.estimatePortRisk(WD); figure; plot(WRisk,WReturn,'LineWidth',2); hold on; for i = 1:numel(Symbols) s = Symbols{i}; mu = MU(i); sigma = SIGMA(i); plot(sigma,mu,'ro','MarkerFaceColor','r'); text(sigma+0.001,mu,s); end grid on; xlabel('Risk (CVaR)'); ylabel('Return (Mean)');