callnaivemv.m

来自「Matlab codes for financial models」· M 代码 · 共 9 行

% CallNaiveMv.m
ExpRet = [ 0.15 0.2 0.08];
CovMat = [ 0.2 0.05 -0.01 ; 0.05 0.3 0.015 ; ...
      -0.01 0.015 0.1];
[PRisk, PRoR, PWts] = naiveMV(ExpRet, CovMat, 10);
[PRoR , PRisk]