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Folio - Modelling examples from 'Getting started' Description
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foliomiqc.mos (!****************************************************** Mosel Example Problems ====================== file foliomiqc.mos `````````````````` Modeling a small MIQCQP problem to perform portfolio optimization. -- Maximize return with limit on variance and limited number of assets --- (c) 2008 Fair Isaac Corporation author: S.Heipcke, July 2008, rev. Mar. 2013 *******************************************************!) model "Portfolio optimization with MIQCQP" uses "mmxnlp" parameters MAXVAL = 0.3 ! Max. investment per share MINAM = 0.5 ! Min. investment into N.-American values MAXNUM = 4 ! Max. number of different assets MAXVAR = 1.25 ! Max. allowed variance end-parameters declarations SHARES = 1..10 ! Set of shares NA: set of integer ! Set of shares issued in N.-America RET: array(SHARES) of real ! Estimated return in investment VAR: array(SHARES,SHARES) of real ! Variance/covariance matrix of ! estimated returns end-declarations initializations from "folioqp.dat" RET NA VAR end-initializations declarations frac: array(SHARES) of mpvar ! Fraction of capital used per share buy: array(SHARES) of mpvar ! 1 if asset is in portfolio, 0 otherwise end-declarations ! Objective: total return Return:= sum(s in SHARES) RET(s)*frac(s) ! Minimum amount of North-American values sum(s in NA) frac(s) >= MINAM ! Spend all the capital sum(s in SHARES) frac(s) = 1 ! Limit variance sum(s,t in SHARES) VAR(s,t)*frac(s)*frac(t) <= MAXVAR ! Upper bounds on the investment per share forall(s in SHARES) frac(s) <= MAXVAL ! Limit the total number of assets sum(s in SHARES) buy(s) <= MAXNUM forall(s in SHARES) do buy(s) is_binary frac(s) <= buy(s) end-do setparam("XPRS_verbose", true) ! Solve the problem maximize(Return) ! Solution printing writeln("With a max. variance of ", MAXVAR, " and at most ", MAXNUM, " assets,\n total return is ", getsol(Return)) forall(s in SHARES) writeln(s, ": ", getsol(frac(s))*100, "%") end-model | |||||||||||||||||||||||||||
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