set YEARS;
set ASSETS;
param A {YEARS,ASSETS};

var V;
var x {j in ASSETS} >= 0;

maximize minpayoff: V;

subject to cnstrs {i in YEARS}:
   V <= sum {j in ASSETS} A[i,j] * x[j];

subject to prob:
   sum {j in ASSETS} x[j] = 1;


data;
set YEARS := 1981 1982 1983 1984 1985;

set ASSETS := TBills Bonds SP500 NASDAQ Lehman;

param A:
		TBills	Bonds	SP500	NASDAQ	Lehman :=
1981	8	8	8	1	1
1982	8	1	8	1	1
1983	2	7	1	5	6
1984	1	2	3	2	6
1985	6	4	3	3	1