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 = 1000;
RetIntervals = 1;
NumAssets = 5;
%开始模拟
randn('state', 0);%设置发生器的初始状态；
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');
