(!******************************************************
   Mosel Example Problems
   ======================

   file foliodata.mos
   ``````````````````
   Modeling a small LP problem 
   to perform portfolio optimization.
   -- Parameters, data input from file, 
      result output to file --
   
  (c) 2008 Fair Isaac Corporation
      author: S.Heipcke, Aug. 2003, rev. June 2018
*******************************************************!)

model "Portfolio optimization with LP"
 uses "mmxprs"

 parameters
  DATAFILE= "folio.dat"              ! File with problem data
  OUTFILE= "result.dat"              ! Output file
  MAXRISK = 1/3                      ! Max. investment into high-risk values
  MAXVAL = 0.3                       ! Max. investment per share
  MINAM = 0.5                        ! Min. investment into N.-American values
 end-parameters

 public declarations
  SHARES: set of string              ! Set of shares
  RISK: set of string                ! Set of high-risk values among shares
  NA: set of string                  ! Set of shares issued in N.-America
  RET: array(SHARES) of real         ! Estimated return in investment
 end-declarations

 initializations from DATAFILE
  RISK RET NA
 end-initializations

 public declarations
  frac: array(SHARES) of mpvar       ! Fraction of capital used per share
  Return: linctr                     ! Objective function
 end-declarations

! Objective: total return
 Return:= sum(s in SHARES) RET(s)*frac(s) 

! Limit the percentage of high-risk values
 sum(s in RISK) frac(s) <= MAXRISK

! Minimum amount of North-American values
 sum(s in NA) frac(s) >= MINAM

! Spend all the capital
 sum(s in SHARES) frac(s) = 1
 
! Upper bounds on the investment per share
 forall(s in SHARES) frac(s) <= MAXVAL

! Solve the problem
 maximize(Return)

! Solution printing to a file
 fopen(OUTFILE, F_OUTPUT)
 writeln("Total return: ", getobjval)
 forall(s in SHARES) 
  writeln(strfmt(s,-12), ": \t", strfmt(getsol(frac(s))*100,5,2), "%")
 fclose(F_OUTPUT) 
 
end-model