A\B\C三钟投资产品的协方差如下: | A | B | C |
A | 0.00990691 | 0.011373278 | 0.011985535 |
B | 0.011373278 | 0.053525722 | 0.050807528 |
C | 0.011985535 | 0.050807528 | 0.086374576 |
LINDO程序如下:
Model:
Sets:
Stocks/A,B,C/:MEAN2,X;
STST(STOCKS,STOCKS):COVAR2;
ENDSETS
DATA:
[email=MEAN2=@OLE(]MEAN2=@OLE('[/email]投资组合','MEAN2');
[email=COVAR2=@ole(]COVAR2=@ole('[/email]投资组合','COVAR2');
@OLE('投资组合','投资份额2')=X;
ENDDATA
[email=MIN=@SUM(STST(i,j]MIN=@SUM(STST(i,j[/email]) :covAR2(i,j)*X(i)*X(j));
@SUM(STOCKS:X)=1;
@sum(stocks:mean*x)>=1.5;
END
结果:
Variable Value Reduced Cost
MEAN 1.500000 0.000000
MEAN2( A) 1.089083 0.000000
MEAN2( B) 1.213667 0.000000
MEAN2( C) 1.234583 0.000000
X( A) 1.000000 0.000000
X( B) 0.000000 0.2932736E-02
X( C) 0.000000 0.4157250E-02
可是这个结果明显不对啊!!
如果把协方差改成下面的形式:
A | B | C | |
A | 0.00990691 | ||
B | 0.011373278 | 0.053525722 | |
C | 0.011985535 | 0.050807528 | 0.086374576 |
LINGO又会报错,这究竟怎么解决呢?
期待解答,谢谢大家!!!