[size=14.399999618530273px]以四种货币作为投资对象,命令写为:(0.970877,0.970911,0.970811的来源见下图,就是直接标价法相除)
[size=14.399999618530273px]sets:
[size=14.399999618530273px]currency/1..4/:r,x;
[size=14.399999618530273px]stst(currency,currency):cov;
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[size=14.399999618530273px]endsets
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[size=14.399999618530273px]data:
[size=14.399999618530273px]r=0.0377090.003560 0.034163 0.050586;
[size=14.399999618530273px]cov=3.3555600.056175 0.743041 1.197362
[size=14.399999618530273px] 0.056175 0.115442 0.156123 0.035431
[size=14.399999618530273px] 0.743041 0.156123 0.787501 0.380643
[size=14.399999618530273px] 1.197362 0.035431 0.380643 0.703761;
[size=14.399999618530273px] rp=?;
enddata
[obj]min=@sum(stst(i,j):x(i)*x(j)*cov(i,j));
[one]@sum(currency:x)=1;
[two]rp>=@sum(currency:x1*(1*(1+r1)-1)+x2*(0.970877*(1+r2)-1)+x3*(0.970911*(1+r3)-1)+x4*(0.970811*(1+r4)-1));
end
为什么每次输入不同的RP,结果却是一样的??