Inexact SA Method for Constrained Stochastic Convex SDP and Application in Chinese Stock Market

Table 5

True correlation matrix.

CC	002001	002003	002004	002005	002006	002007	002008	002009	002010	002011
002001	1	0.966	0.016	0.852	0.948	0.905	0.917	0.342	0.928	0.871
002003	0.966	1	0.043	0.833	0.957	0.908	0.931	0.493	0.908	0.929
002004	0.016	0.043	1	0.172	0.016	0.133	0.236	0.388	0.106	0.09
002005	0.852	0.833	0.172	1	0.821	0.832	0.916	0.512	0.913	0.899
002006	0.948	0.957	0.016	0.821	1	0.868	0.923	0.496	0.848	0.911
002007	0.905	0.908	0.133	0.832	0.868	1	0.87	0.437	0.864	0.849
002008	0.917	0.931	0.236	0.916	0.923	0.87	1	0.583	0.898	0.935
002009	0.342	0.493	0.388	0.512	0.496	0.437	0.583	1	0.339	0.647
002010	0.928	0.908	0.106	0.913	0.848	0.864	0.898	0.339	1	0.875
002011	0.871	0.929	0.09	0.899	0.911	0.849	0.935	0.647	0.875	1