模型三

i=1；
for s =0.1:0.1:1;
f=[-0.05*(1-s) -0.27*(1-s) -0.19*(1-s) -0.185*(1-s) -0.185*(1-s) s]’;
A=[0 0.025 0 0 0 -1;0 0 0.015 0 0 -1;0 0 0 0.055 0 -1;0 0 0 0 0.026-1];
b=[0 0 0 0]’;
aeq=[1 1.01 1.02 1.045 1.065 0];
beq=[1];
lb=zeros(6,1);
[x,fval,exitflag,options,output]=linprog(f,A,b,aeq,beq,lb);
x
y(i)=-fval;i=i+1;
end
k=0.1:0.1:1;
figure(1);
plot(k,y,’g-‘);xlabel(‘s 权因子‘）;ylabel(‘y收益’);
title(‘净收益和风险关于权因子的函数’）

S=0;
while s<1
f=[-0.05*(1-s),-0.27*(1-s),-0.19*(1-s),-0.185*(1-s),-0.185*(1-s),s];
a=[0,0.025,0,0,0,-1;0,0,0.015,0,0,-1;0,0,0,0.055,0,-1;0,0,0,0,0.026,-1];
b=[0;0;0;0];
aeq=[1,1.01,1.02,1.045,1.065,0];
beq=[1];
lb=zeros(6,1);
ub=[];
[x,Q]=linprog(f,a,b,aeq,beq,lb,ub);
s
x=x’
Q=-Q
plot(s,Q,’*r’);5
hold on
s=s+0.001;
grid on
end 
xlabel(‘s’),ylabel(‘Q’)