load FTSER.mat; % returns
alpha = 0;
rf = 0.0000001;
re_in = Returns(1:250,:);
[obs N] = size(re_in);
C = cov(re_in);
R_p = ones(N,1)*0.02; % required portfolio return
R_bar = mean(re_in);  % asset expected return
R_bar = R_bar';

A = -eye(N+1);
b = zeros(N+1,1);
Aeq = [ones(1,N) 1 ; zeros(1,N) 1];
beq = [1;alpha];
f = -[???;rf];
H = 2*[C zeros(N,1) ; zeros(1,N) exp(-10)];

options=optimset('LargeScale','off');
W_t = quadprog(H,f,A,b,Aeq,beq,[],[],[],options);
W = W_t(1:N,1)./(1-W_t(N+1));
SR_z = mean(re_in*W)/std(re_in*W);


我想问一下上面的 f 里面，？？？的地方是应该放 R_p or R_bar ??
在 Markowitz 里面的是 R_p 对吗？
谢谢