目录

考虑交易费的投资组合模型 

考虑交易费的投资组合模型 

MODEL:
Title 考虑交易费的投资组合模型;
SETS:
   STOCKS/ A,  B,  C/: C,Mean,X,Y,Z;
   STST(Stocks,stocks): COV;
ENDSETS
DATA:
   TARGET = 1.15;
! 股票的初始份额;
 c=0.5  0.35  0.15;  
! Mean是收益均值,COV是协方差矩阵;
 mean=1.089083  1.213667  1.234583;  
  COV=0.01080754 0.01240721 0.01307513
      0.01240721 0.05839170 0.05542639
      0.01307513 0.05542639 0.09422681;
ENDDATA
[OBJ] MIN = @sum(STST(i,j): COV(i,j)*x(i)