| |||||||||
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 folioqc.java /******************************************************** * Xpress-BCL Java Example Problems * ================================ * * file folioqc.java * ````````````````` * Modeling a small QCQP problem * to perform portfolio optimization. * -- Maximize return with limit on variance --- * * (c) 2008-2024 Fair Isaac Corporation * author: S.Heipcke, July 2008, rev. Dec. 2011 ********************************************************/ import com.dashoptimization.*; import java.io.*; public class folioqc { static final String DATAFILE = System.getProperty("XPRBDATA") + "/GS/foliocppqp.dat"; static final double MAXVAR = 0.55; /* Max. allowed variance */ static final int NSHARES = 10; /* Number of shares */ static final int NNA = 4; /* Number of North-American shares */ static final double[] RET = {5, 17, 26, 12, 8, 9, 7, 6, 31, 21}; /* Estimated return in investment */ static final int[] NA = {0, 1, 2, 3}; /* Shares issued in N.-America */ static double[][] VAR; /* Variance/covariance matrix of estimated returns */ private static void readData() throws IOException { int s, t; FileReader datafile = null; StreamTokenizer st = null; VAR = new double[NSHARES][NSHARES]; /* Read `VAR' data from file */ datafile = new FileReader(DATAFILE); /* Open the data file */ st = new StreamTokenizer(datafile); /* Initialize the stream tokenizer */ st.commentChar('!'); /* Use the character '!' for comments */ st.eolIsSignificant(true); /* Return end-of-line character */ st.parseNumbers(); /* Read numbers as numbers (not strings) */ for (s = 0; s < NSHARES; s++) { do { st.nextToken(); } while (st.ttype == st.TT_EOL); /* Skip empty lines and comment lines */ for (t = 0; t < NSHARES; t++) { if (st.ttype != st.TT_NUMBER) break; VAR[s][t] = st.nval; st.nextToken(); } } datafile.close(); } public static void main(String[] args) throws Exception { try (XPRBprob p = new XPRBprob("FolioQC"); /* Initialize BCL and create a new problem */ XPRBexprContext context = new XPRBexprContext() /* Release XPRBexpr instances at end of block. */) { int s, t; XPRBexpr Risk, Na, Return, Cap, Num, Variance; XPRBvar[] frac; /* Fraction of capital used per share */ readData(); /* Read data from file */ /* Create the decision variables */ frac = new XPRBvar[NSHARES]; for (s = 0; s < NSHARES; s++) frac[s] = p.newVar("frac", XPRB.PL, 0, 0.3); /* Objective: total return */ Return = new XPRBexpr(); for (s = 0; s < NSHARES; s++) Return.add(frac[s].mul(RET[s])); p.setObj(Return); /* Set the objective function */ /* Minimum amount of North-American values */ Na = new XPRBexpr(); for (s = 0; s < NNA; s++) Na.add(frac[NA[s]]); p.newCtr(Na.gEql(0.5)); /* Spend all the capital */ Cap = new XPRBexpr(); for (s = 0; s < NSHARES; s++) Cap.add(frac[s]); p.newCtr(Cap.eql(1)); /* Limit variance */ Variance = new XPRBexpr(); for (s = 0; s < NSHARES; s++) for (t = 0; t < NSHARES; t++) Variance.add(frac[s].mul(frac[t]).mul(VAR[s][t])); p.newCtr(Variance.lEql(MAXVAR)); /* Solve the problem */ p.setSense(XPRB.MAXIM); p.lpOptimize(""); /* Solution printing */ System.out.println("With a max. variance of " + MAXVAR + " total return is " + p.getObjVal()); for (s = 0; s < NSHARES; s++) System.out.println(s + ": " + frac[s].getSol() * 100 + "%"); } } } | |||||||||
© Copyright 2024 Fair Isaac Corporation. |