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

Table 8

True correlation matrix.

CC	600000	600010	600015	600016	600019	600028	600030	600031	600036	600048
600000	1	0.911	0.979	0.952	0.937	0.97	0.943	0.932	0.979	0.976
600010	0.911	1	0.951	0.932	0.92	0.925	0.901	0.9	0.887	0.93
600015	0.979	0.951	1	0.987	0.968	0.985	0.951	0.944	0.968	0.988
600016	0.952	0.932	0.987	1	0.946	0.97	0.907	0.893	0.955	0.965
600019	0.937	0.92	0.968	0.946	1	0.981	0.962	0.972	0.929	0.954
600028	0.97	0.925	0.985	0.97	0.981	1	0.965	0.952	0.96	0.982
600030	0.943	0.901	0.951	0.907	0.962	0.965	1	0.975	0.934	0.973
600031	0.932	0.9	0.944	0.893	0.972	0.952	0.975	1	0.909	0.942
600036	0.979	0.887	0.968	0.955	0.929	0.96	0.934	0.909	1	0.973
600048	0.976	0.93	0.988	0.965	0.954	0.982	0.973	0.942	0.973	1