clear
close all

SIGMA=xlsread('File_excel.xlsx','BL','D6:N16')
[W_MN LABELS]=xlsread('File_excel.xlsx','BL','A6:B16')


RISK_FREE=xlsread('File_excel.xlsx','BL','B19:B19')
LAMBDA=xlsread('File_excel.xlsx','BL','B20:B20')
EXP_RET_MN=RISK_FREE+LAMBDA*SIGMA*W_MN

TAU=xlsread('File_excel.xlsx','BL','Z21:Z21')
TAU_SIGMA=TAU*SIGMA

P=xlsread('File_excel.xlsx','BL','U37:AE38')
Q=xlsread('File_excel.xlsx','BL','U40:U41')
C=xlsread('File_excel.xlsx','BL','U43:U44')
OMEGA=zeros(2,2);
for f=1:2
for g=1:2
if f==g
OMEGA(f,g)=((1/C(f,1)-1)*P(f,:)*(TAU_SIGMA)*P(f,:)');
end
end
end


REND_BL=inv(inv(TAU_SIGMA)+P'*inv(OMEGA)*P)*(inv(TAU_SIGMA)*EXP_RET_MN+P'*inv(OMEGA)*Q)

GAP=REND_BL-EXP_RET_MN;



figure(1)
subplot(2,2,1)
barh (EXP_RET_MN)
xlim([-0.03 0.20]);
set(gca,'YTickLabel',LABELS)
grid on
title('Exp Ret MN')
subplot(2,2,2)
barh (REND_BL)
xlim([-0.03 0.20]);
title('Exp Ret BL')
set(gca,'YTickLabel',LABELS)
grid on
 
subplot(2,2,[3 4])
barh (GAP,'r')
title('DELTA Exp Ret BL & MN')
xlim([-0.05 0.05]);
set(gca,'YTickLabel',LABELS)
grid on