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定义债券类型、到期年限、收益率、税收比率等数据bond_types = ['医药健康', '交通运输', '科技研发', '装备制造', '国民福利']risk_levels = [5, 2, 4, 3, 1]tax_rates = [0, 20, 0, 10, 30]

maturities = [2, 3, 4, 5, 9, 12, 15, 18, 20, 25]returns = [[4.45, 39.89, 232.11, 0, 0], [0, 8.0, 0, 58.27, 300.54], [0, 0, 12.55, 0, 180.09], [0, 0, 12.55, 39.89, 206.12], [4.45, 0, 0, 18.77, 206.12]]

创建问题prob = LpProblem('BondInvestment', LpMaximize)

创建决策变量amounts = LpVariable.dicts('Amount', [(bond_type, maturity) for bond_type in bond_types for maturity in maturities], lowBound=0, cat='Continuous')

创建目标函数prob += lpSum([amounts[(bond_type, maturity)] * returns[risk_levels.index(risk_level)][maturities.index(maturity)] for bond_type in bond_types for maturity in maturities]), 'Total Returns'

创建约束条件# 1. 医药健康债券购买金额不得少于债券购买总金额的20%prob += lpSum([amounts[(bond_type, maturity)] for bond_type in bond_types[0:1] for maturity in maturities]) >= 0.2 * lpSum([amounts[(bond_type, maturity)] for bond_type in bond_types for maturity in maturities])# 2. 其余每个行业的债券购买总金额不得少于债券购买总金额的10%for bond_type in bond_types[1:]: prob += lpSum([amounts[(bond_type, maturity)] for maturity in maturities]) >= 0.1 * lpSum([amounts[(bond_type, maturity)] for bond_type in bond_types for maturity in maturities])# 3. 所购债券的平均风险等级不得低于2.5prob += lpSum([amounts[(bond_type, maturity)] * risk_levels[risk_levels.index(risk_level)] for bond_type in bond_types for maturity in maturities]) >= 2.5 * lpSum([amounts[(bond_type, maturity)] for bond_type in bond_types for maturity in maturities])# 4. 所购买的债券的平均到期年限不超过10年prob += lpSum([amounts[(bond_type, maturity)] * maturity for bond_type in bond_types for maturity in maturities]) <= 10 * lpSum([amounts[(bond_type, maturity)] for bond_type in bond_types for maturity in maturities])# 5. 捐助活动结束后FFE继续保留8000万美元资金prob += lpSum([amounts[(bond_type, maturity)] * (1 + returns[risk_levels.index(risk_level)][maturities.index(maturity)] / 100) for bond_type in bond_types for maturity in maturities]) <= 80000000

求解问题prob.solve()

输出结果print('Total Returns: $', value(prob.objective))for v in prob.variables(): if v.varValue > 0: print(v.name, '=', v.varValue)

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