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发表于 2005-7-22 23:49:57
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<>1998(A)大基金投资组合的 Lingo 程序 </P>
<>MODEL:<BR>SETS:<BR>QUARTERS/A0,A1,A2,A3,A4,A5,A6,A7,A8,A9,A10,A11,A12,A13,A14,<BR>A15/,Q,X,R;<BR>ENDSETS<BR>MIN=0.3884*Y-0.6116*Z;<BR><a href="http://www.shumo.com/bbs/mailtZ=5+@SUM(QUARTERS(R-P)/(1+P)-0.05)*X" target="_blank" ><FONT color=#000000>Z=5+@SUM(QUARTERS(R-P)/(1+P)-0.05)*X</FONT></A>);<BR>@FOR(QUARTERS:Y>X/(1+P)*Q);<BR>@SUM(QUARTERS:X)=100;<BR>DATA:<BR>R=0.05,0.096,0.185,0.494,0.239,0.081,0.14,0.407,0.312,0.336,0.368,0.118,<BR>0.09,0.35,0.094,0.15;<BR>=0,0.021,0.032,0.06,0.015,0.076,0.034,0.056,0.031,0.027,0.029,0.051,<BR>0.057,0.027,0.045,0.076;<BR>Q=0,0.42,0.54,0.60,0.42,0.012,0.39,0.68,0.334,0.533,0.4,0.31,0.055,<BR>0.46,0.053,0.23;<BR>ENDDATA<BR>END</P>
<P>-------------------------------------</P>
<P>Rows= 19 Vars= 18 No. integer vars= 0 ( all are linear)<BR>Nonzeros= 69 Constraint nonz= 63( 33 are +- 1) Density=0.191<BR>Smallest and largest elements in absolute value= 0.311005E-02 100.000<BR>No. < : 0 No. =: 2 No. > : 16, Obj=MIN, GUBs <= 4<BR>Single cols= 0</P>
<P>Optimal solution found at step: 12<BR>Objective value: -16.64271</P>
<P> Variable Value Reduced Cost<BR> Y 7.611293 0.0000000E+00<BR> Z 32.04536 0.0000000E+00</P>
<P> X( A0) 0.0000000E+00 0.1358472<BR> X( A1) 0.0000000E+00 0.1215006<BR> X( A2) 0.0000000E+00 0.7575390E-01<BR> X( A3) 13.44662 0.0000000E+00<BR> X( A4) 0.0000000E+00 0.3145336E-01<BR> X( A5) 0.0000000E+00 0.1635851<BR> X( A6) 0.0000000E+00 0.1037293<BR> X( A7) 11.81989 0.0000000E+00<BR> X( A8) 23.49474 0.0000000E+00<BR> X( A9) 14.66566 0.0000000E+00<BR> X( A10) 19.58005 0.0000000E+00<BR> X( A11) 0.0000000E+00 0.1274384<BR> X( A12) 0.0000000E+00 0.1473327<BR> X( A13) 16.99304 0.0000000E+00<BR> X( A14) 0.0000000E+00 0.1377493<BR> X( A15) 0.0000000E+00 0.1243654</P> |
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