from scipy.optimize import linprog import matplotlib.pyplot as plt import numpy as np # 解决中文显示问题 plt.rcParams["font.sans-serif"] = ["KaiTi"] # 指定默认字体 plt.rcParams["axes.unicode_minus"] = False # 解决保存图像是负号'-'显示为方块的问题 if __name__ == "__main__": x = np.arange(0, 0.27, 0.00027) # 此处大致估算一下收益能达到的最大值为0.27 y = [] f = np.array([0, 0, 0, 0, 0, 1]) A = np.array([[-0.05, -0.075, -0.153, -0.434, -0.224,-0.005,-0.106,-0.351,-0.281,-0.309,-0.339,-0.067,-0.033,-0.323,-0.049,-0.074, 0], [0,0.4200,0,0,0,0,0,0,0,0,0,0,0,0,0,0,-1], [0,0,0.5400,0,0,0,0,0,0,0,0,0,0,0,0,0,-1], [0,0,0,0.6000,0,0,0,0,0,0,0,0,0,0,0,0,-1], [0,0,0,0,0.4200,0,0,0,0,0,0,0,0,0,0,0,-1], [0,0,0,0,0,0.0120,0,0,0,0,0,0,0,0,0,0,-1], [0,0,0,0,0,0,0.3900,0,0,0,0,0,0,0,0,0,-1], [0,0,0,0,0,0,0,0.6800,0,0,0,0,0,0,0,0,-1], [0,0,0,0,0,0,0,0,0.3340,0,0,0,0,0,0,0,-1], [0,0,0,0,0,0,0,0,0,0.5330,0,0,0,0,0,0,-1], [0,0,0,0,0,0,0,0,0,0,0.4000,0,0,0,0,0,-1], [0,0,0,0,0,0,0,0,0,0,0,0.3100,0,0,0,0,-1], [0,0,0,0,0,0,0,0,0,0,0,0,0.0550,0,0,0,-1], [0,0,0,0,0,0,0,0,0,0,0,0,0,0.4600,0,0,-1], [0,0,0,0,0,0,0,0,0,0,0,0,0,0,0.0530,0,-1], [0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0.2300,-1]]) Aeq = np.array([1,1.021,1.032,1.06,1.015,1.076,1.034,1.056,1.031,1.027,1.029,1.051,1.057,1.027,1.045,1.076,0]) b = np.array([0, 0, 0, 0,0,0,0,0,0,0,0,0,0,0,0]) # 修正为一维数组 beq = 1 lb = np.zeros(17) ub = np.full(17, np.inf) # 使用 np.inf 表示无上界 bound = np.vstack((lb, ub)).T for i in x: b = np.array([-i, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0]) # 修改为一维数组 try: res = linprog(f, A, b, Aeq, beq, bound) y.append(res.fun) except Exception as e: print(f"Error for i = {i}: {e}") # 打印错误信息 x = x.tolist() plt.plot(x, y) plt.xlabel("最大收益Q") plt.ylabel("最大风险a") plt.title("最大收益Q-最大风险a") plt.show()

1个月前