exportopt.m

来自「Matlab codes for financial models」· M 代码 · 共 12 行

NAssets = 5;
NGroups = 2;
AssetMin = 0;
AssetMax = [0.35 0.3 0.3 0.4 0.5];
Groups = [1 1 0 0 0 ; 0 0 1 1 1];
GroupMin = [ 0.2 0.3 ];
GroupMax = [ 0.6 0.7 ];

ConstrMatrix = portcons(...
   'AssetLims', AssetMin, AssetMax, NAssets, ...
   'GroupLims', Groups, GroupMin, GroupMax)