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Folio - example from 'Getting started' executed in MATLAB Description MATLAB interfacing with a Mosel portfolio optimization problem:
Source Files By clicking on a file name, a preview is opened at the bottom of this page.
foliomat.m
%*******************************************************
% Mosel Matlab Example Problems
% =============================
%
% file foliomat.m
% `````````````````````
% Modeling a small LP problem
% to perform portfolio optimization.
%
% (c) 2014 Fair Isaac Corporation
% author: L.Bertacco, Apr. 2014
%*******************************************************
RET = [5 17 26 12 8 9 7 6 31 21];
RISK = [2 3 4 9 10];
NA = [1 2 3 4];
[r,e]=moselexec('foliomat.mos');
objval
frac'
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