meanvarcard.dat

来自「Numerical Methods In_Finance And Economi」· DAT 代码 · 共 15 行

param NAssets = 3;
param MaxAssets = 2;
param ExpRet :=
    1 0.15
    2 0.2
    3 0.08;
param CovMat:
     1         2        3       :=
1    0.2000    0.0500   -0.0100
2    0.0500    0.3000    0.0150
3   -0.0100    0.0150    0.1000;

param TargetRet := 0.1;