最优投资组合选择sas实现

000016_2 r600601_2 r600604_2 r600651_2 r600653_2 _type_ $ _rhs_ ; cards; exp_return 0.0247 0.0127 0.0124 0.008 0.0216 0.0068 0.0263 0.0144 -0.0247 -0.0127 -0.0124 -0.008 -0.0216 -0.0068 -0.0263 -0.0144 max . beta 1.1185001891 1.3470123011 1.3185749233 1.0260654129 1.3509499965 0.9038958443 1.2559109335 1.2961143173 -1.1185001891 -1.3470123011 -1.3185749233 -1.0260654129 -1.3509499965 -0.9038958443 -1.2559109335 -1.2961143173 le 1.0 sum_wts 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 1.0 eq 1.0 available 1111111111111111 upperbd . ;run; data lp_out5a; set lp_out5; if _n_ > 16 then delete; if _value_ =0 then delete; amount=_value_*100000; rename _var_=asset; run; proc print data=lp_out5a; var asset amount ; title '整数规划'; title2 '每只股票的投资金额'; run; 不再展示以上程序的输出结果, 这种设定更符合实际, 因为某一