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Folio - Advanced modelling and solving tasks Description Advanced modelling and solving tasks for a portfolio optimization problem:
Source Files By clicking on a file name, a preview is opened at the bottom of this page. Data Files
runfolio.mos
(!******************************************************
Mosel Example Problems
======================
file runfolio.mos
`````````````````
Main model running portfolio optimization model as submodel.
Runs model foliomemio.mos.
-- Data input/output in memory --
(c) 2009 Fair Isaac Corporation
author: S.Heipcke, Jan. 2009
*******************************************************!)
model "Run portfolio optimization model"
uses "mmjobs" ! Use multiple model handling
uses "mmsystem", "mmxprs"
parameters
MODELFILE = "foliomemio.mos" ! Optimization model
INPUTFILE = "folio10.dat" ! File with problem data
MAXRISK = 1/3 ! Max. investment into high-risk values
MINREG = 0.2 ! Min. investment per geogr. region
MAXREG = 0.5 ! Max. investment per geogr. region
MAXSEC = 0.25 ! Max. investment per ind. sector
MAXVAL = 0.2 ! Max. investment per share
MINVAL = 0.1 ! Min. investment per share
MAXNUM = 15 ! Max. number of different assets
end-parameters
forward procedure write_html_results
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)
LOCTAB: dynamic array(REGIONS,SHARES) of boolean ! Shares per geogr. region
RET: array(SHARES) of real ! Estimated return in investment
SECTAB: dynamic array(TYPES,SHARES) of boolean ! Shares per industry sector
returnsol: real ! Solution values
numsharessol,status: integer
fracsol: array(SHARES) of real ! Fraction of capital used per share
buysol: array(SHARES) of real ! 1 if asset is in portfolio, 0 otherwise
foliomod: Model
end-declarations
! Compile and load the optimization model
if compile("", MODELFILE, "shmem:bim") <> 0 then
writeln("Error during model compilation")
exit(1)
end-if
load(foliomod, "shmem:bim")
fdelete("shmem:bim")
! Read in data from file
initializations from INPUTFILE
RISK RET LOCTAB SECTAB
end-initializations
! Save data to memory
initializations to "raw:"
RISK as 'shmem:RISK'
RET as 'shmem:RET'
LOCTAB as 'shmem:LOCTAB'
SECTAB as 'shmem:SECTAB'
end-initializations
run(foliomod, "MAXRISK=" + MAXRISK + ",MINREG=" + MINREG +
",MAXREG=" + MAXREG + ",MAXSEC=" + MAXSEC +
",MAXVAL=" + MAXVAL + ",MINVAL=" + MINVAL +
",MAXNUM=" + MAXNUM + ",DATAFILE='raw:',OUTPUTFILE='raw:'," +
"RISKDATA='shmem:RISK',RETDATA='shmem:RET',LOCDATA='shmem:LOCTAB'," +
"SECDATA='shmem:SECTAB',FRACSOL='shmem:FRAC',BUYSOL='shmem:BUY'," +
"NUMSHARES='shmem:NUMSHARES',RETSOL='shmem:RETSOL'," +
"SOLSTATUS='shmem:SOLSTATUS'")
wait ! Wait for model termination
dropnextevent ! Ignore termination event message
initializations from "raw:"
returnsol as 'shmem:RETSOL'
numsharessol as 'shmem:NUMSHARES'
fracsol as 'shmem:FRAC'
buysol as 'shmem:BUY'
status as 'shmem:SOLSTATUS'
end-initializations
case status of
XPRS_OPT: writeln("Problem solved to optimality")
XPRS_UNF: writeln("Problem solving unfinished")
XPRS_INF: writeln("Problem is infeasible")
XPRS_UNB,XPRS_OTH: writeln("No solution available")
end-case
! Solution printing
writeln("Total return: ", returnsol)
writeln("Number of shares: ", numsharessol)
forall(s in SHARES | fracsol(s)>0)
writeln(s, ": ", fracsol(s)*100, "% (", buysol(s), ")")
write_html_results
! *********** Writing an HTML result file ***********
procedure write_html_results
setparam("datetimefmt", "%0d-%N-%y, %0H:%0M:%0S")
HTMLFILE:= INPUTFILE + "_sol.html"
fopen(HTMLFILE, F_OUTPUT)
writeln("<html>")
writeln("<head>")
writeln("<style type='text/css'>")
writeln("body {font-family: Verdana, Geneva, Helvetica, Arial, sans-serif; color: 000055 }")
writeln("table td {background-color: ffffaa; text-align: left }")
writeln("table th {background-color: 053055; color: ffcc88}")
writeln("</style>")
writeln("</head>")
writeln("<body>")
writeln("<center><h2>Portfolio Optimization Results</h2></center>")
writeln("<table width='100%' cellpadding='5' cellspacing='0' border=0>")
writeln("<tr><td width='55%'><font color='#000055'><b>Total return: ",
returnsol, "</b></font></td><td><font color='#885533'><b>Problem instance: ",
INPUTFILE,"</b></font></td></tr>")
writeln("<tr><td><font color='#000055'><b>Number of shares: ", numsharessol, "</b></font></td><td><font color='#885533'><b>Date: ", datetime(SYS_NOW),"</b></font></td></tr>")
writeln("<tr><td colspan='2'> </td></tr>")
writeln("</table>")
writeln("<table cellpadding='2' cellspacing='1' width='100%'>")
writeln("<tr><th>Value</th><th>Percentage</th></tr>")
forall(s in SHARES | fracsol(s)>0)
writeln("<tr><td>", s, "</td><td>", strfmt(fracsol(s)*100,4,2),
"%</td></tr>")
writeln("</table>")
writeln("</body>")
writeln("</html>")
fclose(F_OUTPUT)
end-procedure
end-model
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