Max Sharpe ratio errors

9 次查看（过去 30 天）
Mengxi Li
Mengxi Li 2017-11-14
评论： Mengxi Li 2017-11-14
p = Portfolio('AssetMean',[0.3, 0.1, 0.5], 'AssetCovar',... [0.01, -0.010, 0.004; -0.010, 0.040, -0.002; 0.004, -0.002, 0.023] );
p = setDefaultConstraints(p);
plotFrontier(p, 20);
weights = estimateMaxSharpeRatio(p);
[risk, ret] = estimatePortMoments(p, weights);
hold on
plot(risk,ret,'*r');
The expression to the left of the equals sign is not a valid target for an assignment. This is the output.
Many thanks
  1 个评论
Mengxi Li
Mengxi Li 2017-11-14
Many thanks. One more question, in terms of assetcovar, is order matters? I got a 6*6 mean-covariance matrix, but don't really know how to put into the assetcovar.

请先登录，再进行评论。

请先登录，再回答此问题。

回答（1 个）

Guillaume
Guillaume 2017-11-14
Remove the ... on the first line.
It looks like that line was originally on two lines and you made it just one line without bothering to remove the ellipsis.
  2 个评论
Mengxi Li
Mengxi Li 2017-11-14
Can you please comment my variance-covariance matrix?
Mengxi Li
Mengxi Li 2017-11-14
Also can we see weights for each stock in the portfolio?
Many thanks!!

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Portfolio Optimization and Asset Allocation 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by