# data for multi risk portfolio portfolio problem n = 10; M = 6; gamma = 1.0; mu = [ 0. 0.0140055 0.03425583 0.07843126 0.06536453 -0.03420473 0.03325309 -0.0052975 -0.00361266 0.01437095]; Sigma_1 = [[ 0. 0. 0. 0. 0. 0. 0. 0. 0. 0. ] [ 0. 0.095507 0.03490251 0.06526034 0.02499385 0.08272292 0.05739974 0.02790096 0.06015928 0.02577712] [ 0. 0.03490251 0.10861701 0.05107498 0.04959124 0.08916975 0.0348862 0.03575484 0.05085625 0.04511977] [ 0. 0.06526034 0.05107498 0.08158651 0.04136407 0.06878668 0.05743412 0.03720951 0.05036775 0.0355747 ] [ 0. 0.02499385 0.04959124 0.04136407 0.05882432 0.05780579 0.03068954 0.02881275 0.04036602 0.04467288] [ 0. 0.08272292 0.08916975 0.06878668 0.05780579 0.11843709 0.05441237 0.03745399 0.07088283 0.0569503 ] [ 0. 0.05739974 0.0348862 0.05743412 0.03068954 0.05441237 0.06420562 0.02009933 0.0584343 0.024069 ] [ 0. 0.02790096 0.03575484 0.03720951 0.02881275 0.03745399 0.02009933 0.04035138 0.0333448 0.01553796] [ 0. 0.06015928 0.05085625 0.05036775 0.04036602 0.07088283 0.0584343 0.0333448 0.07538478 0.02431135] [ 0. 0.02577712 0.04511977 0.0355747 0.04467288 0.0569503 0.024069 0.01553796 0.02431135 0.04693409]]; Sigma_2 = [[ 0. 0. 0. 0. 0. 0. 0. 0. 0. 0. ] [ 0. 0.09526941 0.04324487 0.06411049 0.03936812 0.08696712 0.05309912 0.02342944 0.04872357 0.03117662] [ 0. 0.04324487 0.1089657 0.05601249 0.05040394 0.07850734 0.0289173 0.05000681 0.05234128 0.03948955] [ 0. 0.06411049 0.05601249 0.08565929 0.04110657 0.075171 0.05672471 0.0448922 0.0482789 0.02698833] [ 0. 0.03936812 0.05040394 0.04110657 0.06290146 0.06144111 0.03636789 0.01778037 0.03432609 0.03934182] [ 0. 0.08696712 0.07850734 0.075171 0.06144111 0.1129559 0.04473504 0.04237765 0.06369504 0.04279469] [ 0. 0.05309912 0.0289173 0.05672471 0.03636789 0.04473504 0.06380631 0.02147502 0.04538684 0.0267327 ] [ 0. 0.02342944 0.05000681 0.0448922 0.01778037 0.04237765 0.02147502 0.04386316 0.02823811 0.02501968] [ 0. 0.04872357 0.05234128 0.0482789 0.03432609 0.06369504 0.04538684 0.02823811 0.07299476 0.01923475] [ 0. 0.03117662 0.03948955 0.02698833 0.03934182 0.04279469 0.0267327 0.02501968 0.01923475 0.04409686]]; Sigma_3 = [[ 0. 0. 0. 0. 0. 0. 0. 0. 0. 0. ] [ 0. 0.09758228 0.0359963 0.05946242 0.03142617 0.0861721 0.05603158 0.0275542 0.04373138 0.03548012] [ 0. 0.0359963 0.1103195 0.07466106 0.04975853 0.06889092 0.04397436 0.04130197 0.06930426 0.05059389] [ 0. 0.05946242 0.07466106 0.08391202 0.04428644 0.06875469 0.05999467 0.03833822 0.0570239 0.03956506] [ 0. 0.03142617 0.04975853 0.04428644 0.06279906 0.06009569 0.04080876 0.02044131 0.0435032 0.03797471] [ 0. 0.0861721 0.06889092 0.06875469 0.06009569 0.11514437 0.05032985 0.03408906 0.05193551 0.0530078 ] [ 0. 0.05603158 0.04397436 0.05999467 0.04080876 0.05032985 0.0633989 0.03646212 0.05499984 0.03016235] [ 0. 0.0275542 0.04130197 0.03833822 0.02044131 0.03408906 0.03646212 0.04068243 0.03718372 0.02399219] [ 0. 0.04373138 0.06930426 0.0570239 0.0435032 0.05193551 0.05499984 0.03718372 0.07564175 0.02573734] [ 0. 0.03548012 0.05059389 0.03956506 0.03797471 0.0530078 0.03016235 0.02399219 0.02573734 0.04611609]]; Sigma_4 = [[ 0. 0. 0. 0. 0. 0. 0. 0. 0. 0. ] [ 0. 0.09257115 0.057957 0.06026799 0.02971675 0.07934071 0.04613742 0.03909262 0.04213693 0.04068624] [ 0. 0.057957 0.11237007 0.07639321 0.06354144 0.0709198 0.0547416 0.0545498 0.047292 0.05416033] [ 0. 0.06026799 0.07639321 0.08818118 0.0445856 0.07078249 0.06167792 0.03892233 0.05792067 0.02803793] [ 0. 0.02971675 0.06354144 0.0445856 0.05821433 0.04937177 0.0331531 0.02326723 0.03578768 0.04053368] [ 0. 0.07934071 0.0709198 0.07078249 0.04937177 0.11238519 0.04700731 0.04394574 0.05604537 0.05800907] [ 0. 0.04613742 0.0547416 0.06167792 0.0331531 0.04700731 0.06062471 0.02047771 0.03838862 0.02320704] [ 0. 0.03909262 0.0545498 0.03892233 0.02326723 0.04394574 0.02047771 0.04070352 0.03773938 0.03033999] [ 0. 0.04213693 0.047292 0.05792067 0.03578768 0.05604537 0.03838862 0.03773938 0.0733278 0.0306726 ] [ 0. 0.04068624 0.05416033 0.02803793 0.04053368 0.05800907 0.02320704 0.03033999 0.0306726 0.04902662]]; Sigma_5 = [[ 0. 0. 0. 0. 0. 0. 0. 0. 0. 0. ] [ 0. 0.09781611 0.03566223 0.07154097 0.02311419 0.08306302 0.04748966 0.02111952 0.04240216 0.0364422 ] [ 0. 0.03566223 0.10871407 0.07059418 0.06327209 0.07008336 0.0560132 0.03630566 0.04978753 0.03542462] [ 0. 0.07154097 0.07059418 0.0867593 0.03367542 0.07664464 0.04438698 0.03324394 0.04953563 0.04170684] [ 0. 0.02311419 0.06327209 0.03367542 0.06425287 0.06406659 0.03623791 0.02071801 0.03599079 0.03501013] [ 0. 0.08306302 0.07008336 0.07664464 0.06406659 0.12031381 0.05653254 0.04843331 0.07034969 0.04769512] [ 0. 0.04748966 0.0560132 0.04438698 0.03623791 0.05653254 0.06048278 0.02421048 0.04491281 0.03085489] [ 0. 0.02111952 0.03630566 0.03324394 0.02071801 0.04843331 0.02421048 0.04139134 0.03154769 0.01374993] [ 0. 0.04240216 0.04978753 0.04953563 0.03599079 0.07034969 0.04491281 0.03154769 0.07377259 0.02757577] [ 0. 0.0364422 0.03542462 0.04170684 0.03501013 0.04769512 0.03085489 0.01374993 0.02757577 0.04266167]]; Sigma_6 = [[ 0. 0. 0. 0. 0. 0. 0. 0. 0. 0. ] [ 0. 0.09254821 0.04783741 0.0644818 0.03508729 0.07629748 0.04991925 0.02927672 0.04570482 0.03254685] [ 0. 0.04783741 0.10730104 0.0653243 0.0613616 0.08782232 0.04595562 0.04692572 0.0587594 0.04758259] [ 0. 0.0644818 0.0653243 0.08066875 0.0406249 0.07364002 0.05038594 0.03586119 0.06005228 0.03123299] [ 0. 0.03508729 0.0613616 0.0406249 0.05803883 0.05871954 0.03193848 0.02341001 0.04012825 0.0373413 ] [ 0. 0.07629748 0.08782232 0.07364002 0.05871954 0.10969127 0.05725582 0.04672773 0.05876489 0.05049575] [ 0. 0.04991925 0.04595562 0.05038594 0.03193848 0.05725582 0.06020548 0.02737974 0.04926445 0.02844736] [ 0. 0.02927672 0.04692572 0.03586119 0.02341001 0.04672773 0.02737974 0.03969674 0.02841022 0.02056907] [ 0. 0.04570482 0.0587594 0.06005228 0.04012825 0.05876489 0.04926445 0.02841022 0.07193685 0.02909675] [ 0. 0.03254685 0.04758259 0.03123299 0.0373413 0.05049575 0.02844736 0.02056907 0.02909675 0.0417567 ]];