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total_amount <- 1000000

df <- data.frame("price"= c(226,186,456,615,549),
                 "firms"= c("VRSN","TXN","DPZ","IDXX","ORLY"))


FUN <- function(q, price=df$price){
  total <- sum(price * q) 
  errs <- c( (total-total_amount)^2,  ( ( q[1]*price)/sum(q[1]*price+q[2]*price+q[3]*price+q[4]*price+q[5]*price) +
                                             q[2]*price/sum(q[1]*price+q[2]*price+q[3]*price+q[4]*price+q[5]*price) +
                                             q[3]*price/sum(q[1]*price+q[2]*price+q[3]*price+q[4]*price+q[5]*price)  
                                           + q[4]*price/sum(q[1]*price+q[2]*price+q[3]*price+q[4]*price+q[5]*price)
                                           + q[5]*price/sum(q[1]*price+q[2]*price+q[3]*price+q[4]*price+q[5]*price) )) 
  sum(errs)
  

  
  }







init_q <- rep(1,nrow(df))
res <- optim(init_q, FUN, lower=rep(0,nrow(df)), method="L-BFGS-B")
res
res$par 
round(res$par)
sum(round(res$par)*df$price) - total_amount

dt <- df$firms %>% as.data.frame()
dt$lot <- round(res$par,0) 
dt$price <- df$price
dt$dnm <- dt$lot*dt$price/sum(dt$lot*dt$price)

dt

我编写了一个代码来最小化我拥有的总金额，但是我也希望能够为股票分配权重并使它们的份额为整数。

我怎么能那样做？

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0 回答 0