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Economics and finance Description
Further explanation of this example:
'Applications of optimization with Xpress-MP', Chapter 13: Economics and finance problems
Source Files By clicking on a file name, a preview is opened at the bottom of this page.
Data Files
h3portf.mos (!****************************************************** Mosel Example Problems ====================== file h3portf.mos ```````````````` Composition of an investment portfolio A financial consultant aims to determine in which shares to invest given an investment budget and the estimated return on investment. There are minimum and maximum investments for different subsets of shares. How much money should be invested in each share to obtain the highest expected ROI? The model and its implementation present the use of subsets. A new condition is introduced, instead of investing between a minimum (VMIN) and maximum (VMAX) amount into *every* share, the invested amount for each share must be within [VMIN,VMAX] or take the value 0. In this case, the decision variable is known as semi-continuous variable so, the implementation presents the possible use of 'is_semcont'. Limit values are defined as runtime parameters fr which new values can be stated when executing the model without having to edit the model source. (c) 2008 Fair Isaac Corporation author: S. Heipcke, Mar. 2002 *******************************************************!) model "H-3 Portfolio" uses "mmxprs" parameters MAXTECH = 0.3 ! Maximum investment into tech. values MINEU = 0.5 ! Minimum investment into European shares VMIN = 5000 ! Minimum amount for a single value VMAX = 40000 ! Maximum amount for a single value end-parameters declarations SHARES = 1..6 ! Set of shares RET: array(SHARES) of real ! Estimated return in investment CAPITAL: integer ! Capital to invest EU: set of integer ! European values among the shares TECHNOLOGY: set of integer ! Technology values among shares buy: array(SHARES) of mpvar ! Amount of values taken into portfolio end-declarations initializations from 'h3portf.dat' RET CAPITAL EU TECHNOLOGY end-initializations ! Objective: total return Return:= sum(s in SHARES) RET(s)/100*buy(s) ! Requirements concerning portfolio composition sum(s in TECHNOLOGY) buy(s) <= MAXTECH*CAPITAL sum(s in EU) buy(s) >= MINEU*CAPITAL ! Total capital to invest sum(s in SHARES) buy(s) = CAPITAL forall(s in SHARES) do VMIN <= buy(s); ! buy(s) is_semcont(VMIN) buy(s) <= VMAX end-do ! Solve the problem maximize(Return) ! Solution printing writeln("Total return: ", getobjval) forall(s in SHARES) writeln(s, ": ", getsol(buy(s))) end-model | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||

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