lingo 投资组合最优解问题本人在写一篇论文,使用马科维茨模型通过估计5个股票收益率的均值和协方差来计算投资组合的最优
lingo 投资组合最优解问题
本人在写一篇论文,使用马科维茨模型通过估计5个股票收益率的均值和协方差来计算投资组合的最优解.请教如果用lingo软件来计算?
目标方程和约束条件见图片
5只股票的平均收益率分别为(0.0079,0.0070,0.0055,0.0058,0.0072),
协方差矩阵为S=[0.0063,0.0025,0.0021,0.0021,0.0022
0.0025,0.0049,0.0009,0.0023,0.0012
0.0021,0.0009,0.0032,0.0011,0.0026
0.0021,0.0023,0.0011,0.0039,0.0015
0.0022,0.0012,0.0026,0.0015,0.0044]
请教大牛怎么写程序?我在网上搜了一些改了一下都有问题.本人是大菜鸟.555