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Folio - Examples from 'Getting Started' Description Different versions of a portfolio optimization problem. Basic modelling and solving tasks:
Source Files By clicking on a file name, a preview is opened at the bottom of this page. Data Files foliolp.cpp /******************************************************** Xpress-BCL C++ Example Problems =============================== file foliolp.cpp ```````````````` Modeling a small LP problem to perform portfolio optimization. (c) 2008-2024 Fair Isaac Corporation author: S.Heipcke, Aug. 2003, rev. Mar. 2011 ********************************************************/ #include <iostream> #include "xprb_cpp.h" using namespace std; using namespace ::dashoptimization; #define NSHARES 10 // Number of shares #define NRISK 5 // Number of high-risk shares #define NNA 4 // Number of North-American shares double RET[] = {5,17,26,12,8,9,7,6,31,21}; // Estimated return in investment int RISK[] = {1,2,3,8,9}; // High-risk values among shares int NA[] = {0,1,2,3}; // Shares issued in N.-America int main(int argc, char **argv) { int s; XPRBprob p("FolioLP"); // Initialize a new problem in BCL XPRBexpr Risk,Na,Return,Cap; XPRBvar frac[NSHARES]; // Fraction of capital used per share // Create the decision variables for(s=0;s<NSHARES;s++) frac[s] = p.newVar("frac"); //, XPRB_PL, 0, 0.3); // Objective: total return for(s=0;s<NSHARES;s++) Return += RET[s]*frac[s]; p.setObj(Return); // Set the objective function // Limit the percentage of high-risk values for(s=0;s<NRISK;s++) Risk += frac[RISK[s]]; p.newCtr("Risk", Risk <= 1.0/3); /* Equivalent: XPRBctr CRisk; CRisk = p.newCtr("Risk"); for(s=0;s<NRISK;s++) CRisk.addTerm(frac[RISK[s]], 1); CRisk.setType(XPRB_L); CRisk.addTerm(1.0/3); */ // Minimum amount of North-American values for(s=0;s<NNA;s++) Na += frac[NA[s]]; p.newCtr("NA", Na >= 0.5); // Spend all the capital for(s=0;s<NSHARES;s++) Cap += frac[s]; p.newCtr("Cap", Cap == 1); // Upper bounds on the investment per share for(s=0;s<NSHARES;s++) frac[s].setUB(0.3); // Export matrix to a file /* p.exportProb(XPRB_MPS, "Folio"); p.setSense(XPRB_MAXIM); p.exportProb(XPRB_LP, "Folio"); */ // Disable all BCL and Optimizer message printing, except error messages // p.setMsgLevel(1); // Solve the problem p.setSense(XPRB_MAXIM); p.lpOptimize(""); char *LPSTATUS[] = {"not loaded", "optimal", "infeasible", "worse than cutoff", "unfinished", "unbounded", "cutoff in dual", "unsolved", "nonconvex"}; cout << "Problem status: " << LPSTATUS[p.getLPStat()] << endl; // Solution printing cout << "Total return: " << p.getObjVal() << endl; for(s=0;s<NSHARES;s++) cout << s << ": " << frac[s].getSol()*100 << "%" << endl; return 0; } | |||||||||
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