Find weights of a portfolio given variance and covariance matrix

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DrLoz
DrLoz 2018 年 10 月 17 日
I'm not sure how to back out the weights of a portfolio given the covariance matrix of the assets and variance of the portfolio using matlab.
I have the following inputs:
ExpCov_csFX = cov(csAssetReturns(t-59:t,2:7))*12;
I want to find the weights:
w0_cs = zeros(size(ExpFXret_cs_t'));
Which give me the portfolio variance:
targetVar_cs
Thanks!

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