问题出自:《An Introduction to Management Science Quantitative Approaches to Decision Making 14th 》第八章 case problem 1:
原模型:
min=(1/5)*((r1-r)^2+(r2-r)^2+(r3-r)^2+(r4-r)^2+(r5-r)^2);
0.1006*FS+0.1764*IB + 0.3241*LG + 0.3236*LV + 0.3344*SG + 0.2456*SV = r1;
0.1312*FS+3.25*IB + 0.1871*LG + 0.2061*LV + 0.1940*SG + 0.2532*SV = r2;
0.1347*FS+0.0751*IB + 0.3328*LG + 0.1293*LV + 0.385*SG - 0.0670*SV = r3;
0.4542*FS-0.0133*IB + 0.4146*LG + 0.0706*LV + 0.5868*SG + 0.0543*SV = r4;
-0.2193*FS- 0.0736*IB - 0.2326*LG - 0.0537*LV - 0.0902*SG + 0.1731*SV = r5;
(1/5)*(r1+r2+r3+r4+r5)=r;
r>=10000;
FS+IB+LG+LV+SG+SV+TRANSCOST=100000;
FSSTART + FSBUY - FSSELL = FS;
IBSTART + IBBUY - IBSELL = IB;
LGSTART + LGBUY - LGSELL = LG;
LVSTART + LVBUY - LVSELL = LV;
SGSTART + SGBUY - SGSELL = SG;
SVSTART + SVBUY - SVSELL = SV;
TRANSFEE* (FSBUY + FSSELL + IBBUY + IBSELL +LGBUY + LGSELL + LVBUY + LVSELL + SGBUY + SGSELL +SVBUY + SVSELL) = TRANSCOST;
FSSTART = 10000;
IBSTART = 10000;
LGSTART = 10000;
LVSTART = 40000;
SGSTART = 10000;
SVSTART = 20000;
TRANSFEE = 0.01;
FS>=0;
IB>=0;
LG>=0;
LV>=0;
SG>=0;
SV>=0;
优化要求:优化原模型,使得新的模型将在支付交易成本之前,在年初时提供预期收益的10%。同时解释为什么原模型不能达到此目的?