%%?如何估計(jì)資本資產(chǎn)定價(jià)模型

%?Wind接口提取數(shù)據(jù)過(guò)程-------------------------------------
w=windmatlab;
AssetTicker?=?{‘600000.SH‘‘600476.SH‘‘600468.SH‘};
MarkertTicker?=?{‘000001.SH‘};
%無(wú)風(fēng)險(xiǎn)利率?上海銀行同業(yè)拆借利率。八家銀行的報(bào)價(jià)平均
CashTicker?=?{‘SHIBORON.IR‘}?;
StartDate?=?‘2010-10-15‘;?EndDate?=?today;
AssetClosePrice??=?w.wsd（AssetTicker‘close‘?StartDate?EndDate）;
MarketClosePrice??=?w.wsd（MarkertTicker‘close‘?StartDate?EndDate）;
CashClosePrice??=?w.wsd（CashTicker‘close‘?StartDate?EndDate）;

%??數(shù)據(jù)預(yù)處理-------------------------------------------------------
AssetCloseReturn?=?price2ret（AssetClosePrice）;
MarketCloseReturn?=?price2ret（MarketClosePrice）;
CashCloseReturn?=?price2ret（CashClosePrice）;

%回歸過(guò)程--------------------------------------------------------
i?=1;
Y?=?MarketCloseReturn（:i）?-?CashCloseReturn;?
X?=?[ones（length（MarketCloseReturn）1）?MarketCloseReturn?-?CashCloseReturn?];
bls?=?regress（YX）?;??%普通最小二乘法?
brob?=?robustfit（X（:2:end）?Y?）;??%穩(wěn)健性回歸。含義：廣義最小二乘法，考慮極端值問(wèn)題，