diff --git a/盘荣博/线性规划/optimiaze模块/5.4投资的收益和风险模型1.py b/盘荣博/线性规划/optimiaze模块/5.4投资的收益和风险模型1.py new file mode 100644 index 0000000..e3e0337 --- /dev/null +++ b/盘荣博/线性规划/optimiaze模块/5.4投资的收益和风险模型1.py @@ -0,0 +1,19 @@ +from matplotlib import pyplot as plt +from numpy import ones , diag , c_ , zeros +from scipy.optimize import linprog +import time +start = time.time() +c=list( [-0.05,-0.27,-0.19,-0.185,-0.185]) +A=c_[zeros(4),diag([0.025,0.015,0.055,0.026])] +Aeq = [[1,1.01,1.02,1.045,1.065]];beq=[[1]] +a=0;aa=[];ss = [] +while a<=0.05: + b=list(ones(4)*a) + res= linprog(c,A,b,Aeq,beq) + aa.append(a);ss.append(-res.fun) + a=a+0.001 +end = time.time() +print("花费时间:",end-start) +plt.plot(aa,ss,"r*") +plt.xlabel("$a$");plt.ylabel("$Q$",rotation=90) +plt.savefig("figure5_1_1.png",dpi=500) ;plt.show() \ No newline at end of file diff --git a/盘荣博/线性规划/optimiaze模块/5.4投资的收益和风险模型2.py b/盘荣博/线性规划/optimiaze模块/5.4投资的收益和风险模型2.py new file mode 100644 index 0000000..3d721e2 --- /dev/null +++ b/盘荣博/线性规划/optimiaze模块/5.4投资的收益和风险模型2.py @@ -0,0 +1,26 @@ +import numpy as np +from numpy import ones , zeros , c_,diag +from scipy.optimize import linprog +import matplotlib.pyplot as plt +c = np.append(zeros(5).tolist(),[1]).tolist() +print(c) +A=np.append(zeros(4).reshape(4,1),diag([0.025,0.015,0.055,0.026]),axis=1) +A=np.append(A,ones(4).reshape(4,1)*-1,axis=1).tolist() +Aeq =[[1,1.01,1.02,1.045,1.065,0]] ;beq=[1] +A.append([-0.05,-0.27,-0.19,0.185,-0.185,0]) +print(A) +k=0.05;step = 0.005 +b=([0]*4);b.append(-k) +print(b) +kk=[];ss=[] +while k<0.28: + res= linprog(c,A,b,Aeq,beq) + kk.append(k) + ss.append(res.fun) + print(res.fun) + k+=step + b[4]=-k +plt.plot(kk,ss,'r*') +plt.xlabel("$k$");plt.ylabel('$R$') +plt.savefig("figures5_1_2.png",dpi=500);plt.show() + diff --git a/盘荣博/线性规划/optimiaze模块/figure5_1_1.png b/盘荣博/线性规划/optimiaze模块/figure5_1_1.png new file mode 100644 index 0000000..d656e1d Binary files /dev/null and b/盘荣博/线性规划/optimiaze模块/figure5_1_1.png differ diff --git a/盘荣博/线性规划/optimiaze模块/figures5_1_2.png b/盘荣博/线性规划/optimiaze模块/figures5_1_2.png new file mode 100644 index 0000000..fcf69ad Binary files /dev/null and b/盘荣博/线性规划/optimiaze模块/figures5_1_2.png differ