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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 foliomip1.cs /******************************************************** Xpress-BCL C# Example Problems ============================== file foliomip1.cs ````````````````` Modeling a small MIP problem to perform portfolio optimization. -- Limiting the total number of assets -- (c) 2008-2024 Fair Isaac Corporation authors: S.Heipcke, D.Brett. ********************************************************/ using System; using System.Text; using System.IO; using BCL; namespace Examples { public class TestUGFolioMip1 { const int MAXNUM = 4; // Max. number of different assets const int NSHARES = 10; // Number of shares const int NRISK = 5; // Number of high-risk shares const int 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 public static void Main() { XPRB.init(); int s; XPRBprob p = new XPRBprob("FolioMIP1"); // Initialize a new problem in BCL XPRBexpr Risk,Na,Return,Cap,Num; XPRBvar[] frac = new XPRBvar[NSHARES]; // Fraction of capital used per share XPRBvar[] buy = new XPRBvar[NSHARES]; // 1 if asset is in portfolio, 0 otherwise TestUGFolioMip1 TestInstance = new TestUGFolioMip1(); // Create the decision variables (including upper bounds for `frac') for(s=0;s<NSHARES;s++) { frac[s] = p.newVar("frac", BCLconstant.XPRB_PL, 0, 0.3); buy[s] = p.newVar("buy", BCLconstant.XPRB_BV); } // Objective: total return Return = new XPRBexpr(); for (s = 0; s < NSHARES; s++) Return += TestInstance.RET[s] * frac[s]; p.setObj(p.newCtr("Objective", Return)); // Set the objective function // Limit the percentage of high-risk values Risk = new XPRBexpr(); for (s = 0; s < NRISK; s++) Risk += frac[TestInstance.RISK[s]]; p.newCtr(Risk <= 1.0/3); // Minimum amount of North-American values Na = new XPRBexpr(); for (s = 0; s < NNA; s++) Na += frac[TestInstance.NA[s]]; p.newCtr(Na >= 0.5); // Spend all the capital Cap = new XPRBexpr(); for(s=0;s<NSHARES;s++) Cap += frac[s]; p.newCtr(Cap == 1); // Limit the total number of assets Num = new XPRBexpr(); for(s=0;s<NSHARES;s++) Num += buy[s]; p.newCtr(Num <= MAXNUM); // Linking the variables for(s=0;s<NSHARES;s++) p.newCtr(frac[s] <= buy[s]); // Solve the problem p.setSense(BCLconstant.XPRB_MAXIM); p.mipOptimize(); /* Solve the LP-problem */ string[] MIPSTATUS = {"not loaded", "not optimized", "LP optimized", "unfinished (no solution)", "unfinished (solution found)", "infeasible", "optimal"}; System.Console.WriteLine("Problem status: " + MIPSTATUS[p.getMIPStat()]); // Solution printing System.Console.WriteLine("Total return: " + p.getObjVal()); for(s=0;s<NSHARES;s++) System.Console.WriteLine(s + ": " + frac[s].getSol()*100 + "% (" + buy[s].getSol() + ")"); return; } } } | |||||||||
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