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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. FolioMip1.cs // (c) 2023-2024 Fair Isaac Corporation using System; using System.Linq; using Optimizer.Objects; using Optimizer; using static Optimizer.Objects.Utils; namespace XpressExamples { /// <summary>Modeling a small LP problem to perform portfolio optimization.</summary> class FolioMip1 { /* Max. number of different assets */ private static readonly int MAXNUM = 4; /* Number of shares */ private static readonly int NSHARES = 10; /* Number of high-risk shares */ private static readonly int NRISK = 5; /* Number of North-American shares */ private static readonly int NNA = 4; /* Estimated return in investment */ private static readonly double[] RET = new double[] { 5, 17, 26, 12, 8, 9, 7, 6, 31, 21 }; /* High-risk values among shares */ private static readonly int[] RISK = new int[] { 1, 2, 3, 8, 9 }; /* Shares issued in N.-America */ private static readonly int[] NA = new int[] { 0, 1, 2, 3 }; private static void PrintProblemStatus(XpressProblem prob) { Console.WriteLine("Problem status:"); Console.WriteLine($"\tSolve status: {prob.SolveStatus}"); Console.WriteLine($"\tSol status: {prob.SolStatus}"); } public static void Main(string[] args) { using (XpressProblem prob = new XpressProblem()) { // Output all messages. prob.callbacks.AddMessageCallback(DefaultMessageListener.Console); /****VARIABLES****/ Variable[] frac = prob.AddVariables(NSHARES) /* Fraction of capital used per share */ .WithName(i => $"frac_{i}") /* Upper bounds on the investment per share */ .WithUB(0.3) .ToArray(); Variable[] buy = prob.AddVariables(NSHARES) /* Fraction of capital used per share */ .WithName(i => $"buy_{i}") .WithType(ColumnType.Binary) .ToArray(); /**** CONSTRAINTS ****/ /* Limit the percentage of high-risk values */ prob.AddConstraint(Sum(NRISK, i => frac[RISK[i]]).Leq(1.0 / 3.0).SetName("Risk")); /* Minimum amount of North-American values */ prob.AddConstraint(Sum(NNA, i => frac[NA[i]]).Geq(0.5).SetName("NA")); /* Spend all the capital */ prob.AddConstraint(Sum(frac).Eq(1.0).SetName("Cap")); /* Limit the total number of assets */ prob.AddConstraint(Sum(buy).Leq(MAXNUM).SetName("MaxAssets")); /* Linking the variables */ /* frac .<= buy */ prob.AddConstraints(NSHARES, i => frac[i].Leq(buy[i]).SetName($"link_{i}") ); /* Objective: maximize total return */ prob.SetObjective( ScalarProduct(frac, RET), Optimizer.ObjSense.Maximize ); /* Solve */ prob.Optimize(); /* Solution printing */ PrintProblemStatus(prob); double[] sol = prob.GetSolution(); Console.WriteLine($"Total return: {prob.ObjVal}"); foreach (String v in frac.Zip(buy, (f, b) => String.Format("{0} : {1:f2}% ({2:f1})", f.GetName(), 100.0 * f.GetValue(sol), b.GetValue(sol)))) { Console.WriteLine(v); } } } } } | |||||||||
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