数学建模论文：投资组合的收益和风险问题(15)

max

0.001x11+0.001x21+0.001x31+0.001x41+0.001x51+0.0011x12+0.0011x22+

0.0011x32+0.0011x42+0.0011x52+0.0025x13+0.0025x23+0.0025x33+0.0025x43+ 0.0027x14+0.0027x24+0.0027x34+0.0027x44+0.0045x15+0.0045x25+0.0045x35 +0.005x16+0.005x26+0.005x36+0.008x27+0.0055x38 ST

x11<60000 x21<60000 x31<60000 x41<60000 x51<60000 x12<30000 x22<30000 x32<30000 x42<30000 x52<30000

x23+x13<40000 x33+x23<40000 x43+x33<40000 x24+x14<30000 x34+x24<30000 x44+x34<30000 x25+x15+x35<30000 x26+x16+x36<20000 x27<40000 x38<30000

x11+x12+x13+x14+x15+x16<200000

x21+x22+x23+x24+x25+x26+x27-0.001x11-0.0011x12+x13+x14+x15+x16<200000 x31+x32+x33+x34+x35+x36+x38-0.001x21-0.0011x22-0.001x11-0.0011x12-0.0025x13-0.0027x14+x23+x24+x15+x16+x25+x26+x27<200000

x41+x42+x43+x44-0.001x31-0.0011x32-0.001x21-0.0011x22-0.001x11-0.0011x12-0.0025x23-0.0027x24-0.0025x13-0.0027x14-0.0045x15-0.005x16+x33+x34+x25+x26+x35+x36+x27+x38<200000

x51+x52-0.001x41-0.0011x42-0.001x31-0.0011x32-0.001x21-0.0011x22-0.001x11-0.0011x12-0.0025x33-0.0027x34-0.0025x23-0.0027x24-0.0025x13-0.0027x14-0.0045x25-0.005x26-0.0045x15-0.005x16+x43+x44+x35+x36+x27+x38<200000 END

附源程序二：（LINGO中求解）

max=0.14716*x11+0.15209*x12+b13*x13+b14*x14+b15*x15+b16*x16+

0.18431*x21+0.18962*x22+b23*x23+b24*x24+b25*x25+b26*x26+(-4.27695)*x27+ 0.1037*x31+0.18551*x32+b33*x33+b34*x34+b35*x35+b36*x36+b38*x38+ 0.14449*x41+0.21065*x42+b43*x43+b44*x44+ 0.18171*x51+0.24581*x52;

x15=500*n1;x25=500*n2;x35=500*n3;

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