- 2020-06-22 08:07
*views 4*- Portfolio theory learning notes
- MATLAB

Markowitz's investment theory , Mean square model , It's a theory of portfolio selection , Its basic content is ： Under the assumption that there is no risk-free lending , Find out the effective frontier of portfolio based on the mean and variance of individual stock return , The optimal portfolio under certain conditions when investors allocate portfolio on the effective frontier .

Effective frontier μ, σ A hyperbola on a plane of coordinates , Opening right , The above points must be fully decentralized and eliminate the non systematic risk of the portfolio .

The basic theoretical formula is as follows ：

objective function ：min σ^2=∑∑ (Vij*Wi*Wj)—— Minimum variance

①μ=E(μ)—— Under certain expectation

②ΣWj=1—— The sum of the weights is 1

therefore , The Markowitz mean square model can be regarded as ①,② The linear programming problem of realizing objective function under two constraints .

It can also be regarded as the dual problem of the linear programming problem , soon ① The maximization of , Take the current objective function as the constraint condition .

The following shows the effective frontier in the way of simulation ：

function Port1=PortSimu(M,N,mu,sigma) % Yes N Medium assets simulation M Group weight M=100;N=3; X=zeros(M,N) for

i=1:M X(i,:)=rand(1,N) X(i,:)=X(i,:)/sum(X(i,:)); end

% Simulated yield , Based on this, the expected return and covariance matrix of three assets are calculated mu=10; sigma=0.6; R=normrnd(mu,sigma,M,N);

ExpReturn=[mean(R(:,1)),mean(R(:,2)),mean(R(:,3))]; ExpCov=cov(R);

% Calculated and simulated M Portfolio risk and return under group weight for i=1:M [PortRisk(i), PortReturn(i)] =

portstats(ExpReturn, ExpCov, X(i,:)); end % Draw a simulation plot(PortRisk, PortReturn,'r.')

The picture is as follows , We can see clearly the effective frontier curve

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