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Folio - Examples from 'Getting Started' Description Different versions of a portfolio optimization problem. Basic modelling and solving tasks:
Source Files By clicking on a file name, a preview is opened at the bottom of this page. Data Files foliosolpool.c /******************************************************** Xpress-BCL C Example Problems ============================= file foliosolpool.c ``````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.c. -- Using the MIP solution pool -- (c) 2009-2024 Fair Isaac Corporation author: S.Heipcke, June 2009, rev. Mar. 2011 ********************************************************/ #include <stdio.h> #include <stdlib.h> #include <string.h> #include <ctype.h> #include "xprb.h" #include "xprs.h" #define MAXNUM 7 /* Max. number of different assets */ #define MAXRISK 1.0/3 /* Max. investment into high-risk values */ #define MINREG 0.2 /* Min. investment per geogr. region */ #define MAXREG 0.5 /* Max. investment per geogr. region */ #define MAXSEC 0.25 /* Max. investment per ind. sector */ #define MAXVAL 0.2 /* Max. investment per share */ #define MINVAL 0.1 /* Min. investment per share */ #define DATAFILE "folio10.cdat" /* File with problem data */ #define MAXENTRIES 10000 int NSHARES; /* Number of shares */ int NRISK; /* Number of high-risk shares */ int NREGIONS; /* Number of geographical regions */ int NTYPES; /* Number of share types */ double *RET; /* Estimated return in investment */ int *RISK; /* High-risk values among shares */ char **LOC; /* Geogr. region of shares */ char **SEC; /* Industry sector of shares */ char **SHARES_n; char **REGIONS_n; char **TYPES_n; XPRBprob prob; XPRBvar *frac; /* Fraction of capital used per share */ XPRBvar *buy; /* 1 if asset is in portfolio, 0 otherwise */ #include "readfoliodata.c_" void print_sol(int num); int main(int argc, char **argv) { int s,r,t, nSols, nCols, i; XPRBctr Risk,Return,Cap,Num; XPRBctr *MinReg, *MaxReg, *LimSec, LinkL, LinkU; XPRSmipsolpool msp; double *xsol; int *solIDs; readdata(DATAFILE); /* Data input from file */ prob = XPRBnewprob("FolioMIP3"); /* Initialize a new problem in BCL */ /* Create the decision variables (including upper bounds for `frac') */ frac = (XPRBvar*)malloc(NSHARES*sizeof(XPRBvar)); buy = (XPRBvar*)malloc(NSHARES*sizeof(XPRBvar)); for(s=0;s<NSHARES;s++) { frac[s] = XPRBnewvar(prob, XPRB_PL, "frac", 0, MAXVAL); buy[s] = XPRBnewvar(prob, XPRB_BV, "buy", 0, 1); } /* Objective: total return */ Return = XPRBnewctr(prob, "Return", XPRB_N); for(s=0;s<NSHARES;s++) XPRBaddterm(Return, frac[s], RET[s]); XPRBsetobj(prob,Return); /* Set the objective function */ /* Limit the percentage of high-risk values */ Risk = XPRBnewctr(prob, "Risk", XPRB_L); for(s=0;s<NRISK;s++) XPRBaddterm(Risk, frac[RISK[s]], 1); XPRBaddterm(Risk, NULL, MAXRISK); /* Limits on geographical distribution */ MinReg = (XPRBctr*)malloc(NREGIONS*sizeof(XPRBctr)); MaxReg = (XPRBctr*)malloc(NREGIONS*sizeof(XPRBctr)); for(r=0;r<NREGIONS;r++) { MinReg[r] = XPRBnewctr(prob, "MinReg", XPRB_G); MaxReg[r] = XPRBnewctr(prob, "MaxReg", XPRB_L); for(s=0;s<NSHARES;s++) if(LOC[r][s]>0) { XPRBaddterm(MinReg[r], frac[s], 1); XPRBaddterm(MaxReg[r], frac[s], 1); } XPRBaddterm(MinReg[r], NULL, MINREG); XPRBaddterm(MaxReg[r], NULL, MAXREG); } /* Diversification across industry sectors */ LimSec = (XPRBctr*)malloc(NTYPES*sizeof(XPRBctr)); for(t=0;t<NTYPES;t++) { LimSec[t] = XPRBnewctr(prob, "LimSec", XPRB_L); for(s=0;s<NSHARES;s++) if(SEC[t][s]>0) XPRBaddterm(LimSec[t], frac[s], 1); XPRBaddterm(LimSec[t], NULL, MAXSEC); } /* Spend all the capital */ Cap = XPRBnewctr(prob, "Cap", XPRB_E); for(s=0;s<NSHARES;s++) XPRBaddterm(Cap, frac[s], 1); XPRBaddterm(Cap, NULL, 1); /* Limit the total number of assets */ Num = XPRBnewctr(prob, "Num", XPRB_L); for(s=0;s<NSHARES;s++) XPRBaddterm(Num, buy[s], 1); XPRBaddterm(Num, NULL, MAXNUM); /* Linking the variables */ for(s=0;s<NSHARES;s++) { LinkU = XPRBnewctr(prob, "LinkU", XPRB_L); XPRBaddterm(LinkU, frac[s], 1); XPRBaddterm(LinkU, buy[s], -MAXVAL); LinkL = XPRBnewctr(prob, "LinkL", XPRB_G); XPRBaddterm(LinkL, frac[s], 1); XPRBaddterm(LinkL, buy[s], -MINVAL); } /* Create a MIP solution pool and attach it to the problem (so it collects the solutions) */ XPRS_msp_create(&msp); XPRS_msp_probattach(msp, XPRBgetXPRSprob(prob)); /* Avoid storing of duplicate solutions (3: compare discrete variables only) */ XPRS_msp_setintcontrol(msp, XPRS_MSP_DUPLICATESOLUTIONSPOLICY, 3); /* Solve the problem */ XPRBsetsense(prob, XPRB_MAXIM); XPRBmipoptimize(prob, ""); /* Setup some resources to iterate through the solutions stored in the MIP solution pool */ XPRSgetintattrib(XPRBgetXPRSprob(prob), XPRS_ORIGINALCOLS, &nCols); XPRS_msp_getintattrib(msp, XPRS_MSP_SOLUTIONS, &nSols); xsol = (double *) malloc(nCols * sizeof(double)); solIDs = (int *) malloc(nSols * sizeof(int)); /* Get the solution IDs */ XPRS_msp_getsollist(msp, XPRBgetXPRSprob(prob), XPRS_MSP_SOLPRB_OBJ, 1, 1, nSols, solIDs, &nSols, NULL); /* Display all solutions from the pool */ for(i=0; i<nSols; i++) { /* Get the solution */ XPRS_msp_getsol(msp, solIDs[i], NULL, xsol, 0, nCols - 1, NULL); XPRBloadmipsol(prob, xsol, nCols, 0); /* Load the solution into BCL */ print_sol(i+1); /* Display the solution */ } free(xsol); XPRS_msp_destroy(msp); return 0; } /* Solution printing */ void print_sol(int num) { int s; printf("Solution %d: Total return: %g\n", num, XPRBgetobjval(prob)); for(s=0;s<NSHARES;s++) if(XPRBgetsol(buy[s])>0.5) printf(" %s : %g%% (%g)\n", SHARES_n[s], XPRBgetsol(frac[s])*100, XPRBgetsol(buy[s])); } | |||||||||
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