matlab投资组合权重 【原创】投资组合风险-收益关系的Matlab实现

function Two_Portfolio_example()

%copyright by lige and fantuanxiaot

%两个组合

%portfolio_return用来形成期望收益

%portfolio_std用来形成标准差

return1=0.15;

std1=0.24;

return2=0.12;

std2=0.18;

portfolio_return=zeros(1,50);

portfolio_std=zeros(5,50);

portfolio_corrrelation=-1:0.5:1;

%%形成不同相关系数下的组合

for i=1:50

w1=0.02*(i-1);

w2=1-w1;

portfolio_return(i)=return1*w1+return2*w2;

for j=1:5

portfolio_std(j,i)=sqrt((std1*w1)^2+(std2*w2)^2+2*std1*w1*std2*w2*portfolio_corrrelation(j));

end

end

portfolio_std1=portfolio_std(1,:);

portfolio_std2=portfolio_std(2,:);

portfolio_std3=portfolio_std(3,:);

portfolio_std4=portfolio_std(4,:);

portfolio_std5=portfolio_std(5,:);

%%基于不同组合的作图

h=figure(1);

set(h,'color','w')

hold on

scatter(portfolio_std1,portfolio_return,'o','markeredgecolor','k','markerfacecolor','y')

hold on

scatter(portfolio_std2,portfolio_return,'s','markeredgecolor','k','markerfacecolor','r')

hold on

scatter(portfolio_std3,portfolio_return,'v','markeredgecolor','k','markerfacecolor','g')

hold on

scatter(portfolio_std4,portfolio_return,'p','markeredgecolor','k','markerfacecolor','m')

hold on

scatter(portfolio_std5,portfolio_return,'d','markeredgecolor','k','markerfacecolor','c')

legend('组合1：portfolio corrrelation=-1','组合2：portfolio corrrelation=-0.5',...

'组合3：portfolio corrrelation=0','组合4：portfolio corrrelation=0.5'...

,'组合5：portfolio corrrelation=1',4)

title('基于不同相关系数下的投资组合作图','fontsize',16,'fontname','楷体')

xlabel('标准差','fontsize',12,'fontname','楷体')

ylabel('期望收益','fontsize',12,'fontname','楷体')

set(gca,'fontsize',12,'fontname','Times New Roman')

print(gcf,'-dpng','Two_Portfolio_example.png');

end