Max Sharpe ratio errors

2017 11 14
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更新时间：2017 11 14
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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

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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.

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回答（1 个）

Guillaume
Guillaume 2017-11-14

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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.

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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!!

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Mengxi Li
Mengxi Li
2017-11-14

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Mengxi Li
Mengxi Li
2017-11-14

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