标签：Aeq data1 ones matlab beq data
data=xlsread('D:\matlab\Markowitz_data.xlsx','B3:G242')
data1= data / 100
ExpCovariance=cov(data1) %协方差
ExpReturn=mean(data1) %均值
H=ExpCovariance;
f=[0;0;0;0;0;0];
A=[];
b=[];
Aeq=[ExpReturn;ones(1,6)];
disp(Aeq)
min_return = 0.006;
beq = min_return * ones(1,2);
disp(beq)
lb=zeros(6,1); %取决于允不允许卖空
ub=ones(6,1); %取决于允不允许卖空
[x,fval]=quadprog(H,f,A,b,Aeq,beq,lb,ub,[1/6;1/6;1/6])
标签：Aeq,
data1,
ones,
matlab,
beq,
data
From： https://www.cnblogs.com/sunfankun/p/17780410.html