close?all
clear
clc
%%?數(shù)據(jù)準(zhǔn)備
%?get?data?from?tushare:https://tushare.pro/
addpath（genpath（pwd））;
token?=?‘ca928fb11765cd7c41b937459c8b611e0a97d0abf2daa1f8393c8ebc‘;
api?=?pro_api（token）;
stockall?=?api.query（‘stock_basic‘）;
%?獲取指數(shù)數(shù)據(jù)這里的市場(chǎng)基礎(chǔ)取的是hs300
start_time?=?‘20170101‘;
end_time?=?‘‘;
ktype?=?‘D‘;
indexdata?=?pro_bar（‘000300.SH‘?api?start_time?end_timektype‘I‘）;
indexdata?=?flipud（indexdata）;
%?取10支股票
nstock?=?10;
%?記錄用到的10支股票
stocklist?=?[];
stockdata?=?cell（nstock1）;
nday?=?size（indexdata1）;
%?closeprice?第一列為指數(shù)價(jià)格，其他列為股票數(shù)據(jù)
closeprice?=?indexdata.close;
temp?=?indexdata.trade_date;
temp?=?char（temp）;
temp?=?str2num（temp）;
tradedate?=?datetime（temp‘ConvertFrom‘‘yyyymmdd‘‘format‘‘yyyy-MM-dd‘）;

%?獲取股票數(shù)據(jù)
m?=?0;
for?i?=?1:size（stockall1）
????temp?=?pro_bar（stockall.ts_code{i}?api?start_time?end_timektype‘E‘‘qfq‘）;
????%?有的股票有停牌，我們得選取沒(méi)有停牌的股票
????if?size（temp1）?==?nday
????????m?=?m+1;
????????stockdata{m}?=?flipud（temp）;
????????closeprice（:m+1）?=?stockdata{m}.close;
????????stocklist?=?[stocklist;stockall（i:）];
????end
????if?size（stocklist1）?==?nstock
????????break;
????end
end
save（‘tempdata.mat‘）;
%%?畫(huà)有效前沿和cal
%?load?tempdata;
%?計(jì)算收益率矩陣
retmat?=?tick2ret（closeprice（:2:end））;
p?=?Portfolio;
%?設(shè)置投資組合權(quán)重約束在0~1之間
p?=?p.setBudget（01）;
%?設(shè)置無(wú)風(fēng)險(xiǎn)利率
riskless?=?0.03;
p?=?Portfolio（p‘RiskFreeRate‘riskless‘AssetList‘stocklist.name）;
%?輸入收益率矩陣
p?=?p.estimateAssetMoments（retmat）;
%?將數(shù)據(jù)年化
nyear?=?250;
assetMean?=?p.AssetMean?*?nyear;
assetCovar?=?p.AssetCovar;
assetRisk?=?sqrt（diag（assetCovar）*nyear）;
p?=?p.setAssetMoments（assetMeanassetRisk）;
%?繪制無(wú)賣(mài)空情況下的圖片
case1?=?‘Efficient?frontier?without?short?sale（annualized）‘;
%?設(shè)置投資組合所有成分非負(fù)且和為
p?=?setDefaultConstraints（p）;
%?Plot?efficient?frontier
[prsk1pret1]?=?plotFrontier（p）;

a?=?gca;
ef?=?a.Children;
%?clf;
%?ax?=?axes;
hold?on
%?plot?cash
scatter（gca0riskless70‘r‘‘filled‘）;
text（0.01riskless‘rf‘）;

title（case1）

srwgt?=?p.estimateMaxSharpeRatio;
[srRsksrRet]?=?p.estimatePortMoments（srwgt）;

scatter（gcasrRsksrRet70‘g‘‘filled‘）;
text（srRsk+0.01srRet‘Sharp?Ratio‘）;


%?plot?CAL
cal?=?plot（gca[0srRsk][risklesssrRet]‘r‘‘LineWidth‘2）;
legend（[efcal]‘Efficient?Frotier‘‘CAL‘‘Location‘‘best‘）;

saveas（gcf[case1?‘.jpg‘]）;

?屬性????????????大小?????日期????時(shí)間???名稱
-----------?---------??----------?-----??----

?????文件????????300??2018-08-21?15:25??tushare_matlab_sdk\http_createHeader.m

?????文件???????2139??2018-08-21?15:25??tushare_matlab_sdk\http_paramsToString.m

?????文件???????5325??2018-11-01?14:12??tushare_matlab_sdk\pro_api.m

?????文件???????7022??2018-11-01?12:46??tushare_matlab_sdk\pro_bar.m

?????文件???????8433??2018-11-01?14:07??tushare_matlab_sdk\readme.txt

?????文件???????1692??2018-11-01?14:12??tushare_matlab_sdk\tushare_pro_test.m

?????文件??????13656??2018-08-21?15:25??tushare_matlab_sdk\urlread2.m

?????文件??????49068??2019-01-04?21:49??Efficient?frontier?without?short?sale（annualized）.jpg

?????文件???????2477??2019-01-04?21:53??myplot.m

?????目錄??????????0??2018-12-23?20:05??tushare_matlab_sdk

-----------?---------??----------?-----??----

????????????????90112????????????????????10