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Folio - Advanced modelling and solving tasks Description Advanced modelling and solving tasks for a portfolio optimization problem:
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folioinfcause.mos (!****************************************************** Mosel Example Problems ====================== file folioinfcause.mos `````````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.mos. -- Infeasible model parameter values -- -- Retrieving infeasible row/column from presolve -- (c) 2012 Fair Isaac Corporation author: S.Heipcke, Oct. 2012, rev. May 2018 *******************************************************!) model "Portfolio optimization with MIP" uses "mmxprs" parameters MAXRISK = 1/3 ! Max. investment into high-risk values MINREG = 0.1 ! Min. investment per geogr. region MAXREG = 0.2 ! Max. investment per geogr. region MAXSEC = 0.1 ! Max. investment per ind. sector MAXVAL = 0.15 ! Max. investment per share MINVAL = 0.15 ! Min. investment per share MAXNUM = 4 ! Max. number of different assets DATAFILE = "folio10.dat" ! File with problem data end-parameters forward procedure print_sol declarations SHARES: set of string ! Set of shares RISK: set of string ! Set of high-risk values among shares REGIONS: set of string ! Geographical regions TYPES: set of string ! Share types (ind. sectors) LOC: array(REGIONS) of set of string ! Sets of shares per geogr. region RET: array(SHARES) of real ! Estimated return in investment SEC: array(TYPES) of set of string ! Sets of shares per industry sector end-declarations initializations from DATAFILE RISK RET LOC SEC end-initializations public 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 Return: linctr ! Total return LimitRisk: linctr ! Max. percentage of high-risk values LimitMinReg,LimitMaxReg: array(REGIONS) of linctr ! Min/max perc. per region LimitSec: array(TYPES) of linctr ! Max. percentage per industry sector TotalOne: linctr ! Spend all the capital LimitNum: linctr ! Max. total number of assets LinkUB,LinkLB: array(SHARES) of linctr ! Linking buy+frac variables end-declarations ! Objective: total return Return:= sum(s in SHARES) RET(s)*frac(s) ! Limit the percentage of high-risk values LimitRisk:= sum(s in RISK) frac(s) <= MAXRISK ! Limits on geographical distribution forall(r in REGIONS) do LimitMinReg(r):= sum(s in LOC(r)) frac(s) >= MINREG LimitMaxReg(r):= sum(s in LOC(r)) frac(s) <= MAXREG end-do ! Diversification across industry sectors forall(t in TYPES) LimitSec(t):= sum(s in SEC(t)) frac(s) <= MAXSEC ! Spend all the capital TotalOne:= sum(s in SHARES) frac(s) = 1 ! Upper bounds on the investment per share forall(s in SHARES) frac(s) <= MAXVAL ! Limit the total number of assets LimitNum:= sum(s in SHARES) buy(s) <= MAXNUM forall(s in SHARES) do buy(s) is_binary ! Turn variables into binaries LinkUB(s):= frac(s) <= MAXVAL*buy(s) ! Linking the variables LinkLB(s):= frac(s) >= MINVAL*buy(s) ! Linking the variables end-do ! Display Optimizer log setparam("XPRS_verbose", true) setparam("XPRS_LOADNAMES", true) setparam("XPRS_TRACE", 1) ! Show detailed presolve log ! Solve the problem maximize(XPRS_LIN,Return) declarations V: set of mpvar C: set of linctr end-declarations probstat:= getprobstat case probstat of XPRS_OPT: do writeln("Problem solved") print_sol end-do XPRS_INF: do setparam("XPRS_verbose", false) ! Disable Optimizer output writeln("LP infeasible") getinfcause(V, C) ! Retrieve inf. var. or constr. forall(v in V) writeln("Infeasible variable: ", getname(v), " ") forall(c in C) writeln("Infeasible constraint: ", getname(c), " ") end-do XPRS_OTH: writeln("Problem unbounded") XPRS_UNF: writeln("Optimization unfinished") else writeln("Unknown problem status") end-case ! Solution printing procedure print_sol writeln("Solution ", getparam("XPRS_MIPSOLS")) writeln("Total return: ", getsol(Return)) forall(s in SHARES | getsol(frac(s))>0) writeln(s, ": ", getsol(frac(s))*100, "% (", getsol(buy(s)), ")") end-procedure end-model | |||||||||||||||||||||||||
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