目录

含有国库券的投资组合模型

含有国库券的投资组合模型

MODEL:
Title 含有国库券的投资组合模型;
SETS:
   STOCKS/ A,  B,  C, D/: Mean,X;
   STST(Stocks,stocks): COV;
ENDSETS
DATA:
   TARGET = 1.1; ! 1.15;
! Mean是收益均值,COV是协方差矩阵;
 mean=1.089083  1.213667  1.234583  1.05;  
  COV=0.01080754 0.01240721 0.01307513 0
      0.01240721 0.05839170 0.05542639 0
      0.01307513 0.05542639 0.09422681 0
      0            0           0           0;