线性规划Matlab解题流程
线性规划:投资的收益和风险
问题:
模型简化
a是给定的风险度,从a=0开始,递增0.01;
Matlab求解
a=0;
hold on
while a<0.05
c=[-0.05,-0.27,-0.19,-0.185,-0.185];
A=[zeros(4,1),diag([0.025,0.015,0.055,0.026])];
b=a*ones(4,1);
Aeq=[1,1.01,1.02,1.045,1.065];
beq=1;
LB=zeros(5,1);
[x,Q]=linprog(c,A,b,Aeq,beq,LB);
Q=-Q;
plot(a,Q,'*k');
a=a+0.001;
end
xlabel('a'),ylabel('Q')