风险投资模型的例子

盘荣博/线性规划/optimiaze模块/5.4投资的收益和风险模型1.py

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+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()

盘荣博/线性规划/optimiaze模块/5.4投资的收益和风险模型2.py

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+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()
+