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1、模型一：model:max=0.05*x0+0.27*xl+0.19*x2+0.185*x3+0.185*x4;0.025*xl<=0.005;0.015*x2<=0.005;0.055*x3<=0.005;0.026*x4<=0.005;xO+1.01*xl+l.02*x2+l.045*x3+l.065*x4=l;end模型二：model:min=x5;0•025*xl<=x5;0•015*x2<=x5;0•055*x3<=x5;0•026*x4<=x5;0•05*x0+0.27*xl+0.19*x2+0.185*x3+0.185*x4>=0.2;xO+l.01*x
2、l+l.02*x2+l.045*x3+l.065*x4=l;end模型三：model:min=0.84*x5-0.16*(0.05*x0+0.27*xl+0.19*x2+0.185*x3+0.185*x4);0•025*xl<=x5;0•015*x2<=x5;0•055*x3<=x5;0•026*x4<=x5;0.05*x0+0.27*xl+0.19*x2+0.185*x3+0.185*x4>=0.2;xO+1.01*xl+l.02*x2+l.045*x3+l.065*x4=l;end模型一：max0.05+0.27戈】+0.19^2+0.185+0.185S.t0.
3、025x}<©0.015fS,0.055①<上，0.026fS上x0+1.01xt+1.02x2+1.045x3+1.065x4=1,x.>0(，=0,1,4)»k=0;whilek<0.025;f=[-0.05-0.27-0.19-0.185-0.185];A=[00.025000;000.01500;0000.0550;00000.026];B=[k;k;k;k];Aeq二[11.011.021.0451.065];Beq=[l];lb=[0;0;0;0;0];ub=[];[x,faval]二linprog(f,A,B,Aeq,Beq,lb,ub);kR=-fav
4、alx二x'plot(k,R,'*')xlabel('风险度k')ylabelC最优收益R')titlcC最优收益随风险度的变化趋势图')holdonk二k+0.001;gridonend表1模型1的计算结果风险水平k最刘媪Sb5iftS35400.05100000.0010.07550.83160.040.06670.01820.03850.0020.10110.66330.080.13330.03640.07690.0030.12660.49490.120.20.05450.11540.0040.15210.32660.160.26670.07270.15380.
5、0050.17760.15820.20.33330.09090.19230.0060.201900.240.40.10910.22120.0070.206600.280.46670.12730.10160.0080.211200.320.53330.127100.0090.215500.360.60.023300.010.21900.40.5843000.0110.222300.440.5447000.0120.225600.480.5051000.0130.228800.520.4655000.0140.232100.560.4259000.0150.235400.
6、60.3863000.0160.238700.640.3467000.0170.241900.680.3071000.0180.245200.720.2675000.0190.248500.760.2278000.020.251800.80.1882000.0210.25500.840.1486000.0220.258300.880.109000.0230.261600.920.069400FileEditViewInsertToolsDesktopWindowHelp0D已B◎
7、创□匡］■旦xFigure1最优收益随风险度的变化趋势图模型二min^5s.t0.025
8、大i<^5sO.O15x?<40055©<乂5=0.026<乂50.05xQ+0.27Xj+0.19%]+0.185x34-0.185x4>h>兀0+1一01兀1+1一02天2+1一045&+1-065兀4=1,叫»0：(Z=0,1,,,,5)h=0.1;whileh<0・25;f=[000001];A=[00.025000-l;000.01500-l;0000.0550-1;00000.026-l;-0.05-0.27-0.19-0.185-0.1850];B=[0;0;0;0;-h];Aeq=[l1.011.021.0451.0650];Beq=
