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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 foliomip3.java /******************************************************** * Xpress-BCL Java Example Problems * ================================ * * file foliomip3.java * ``````````````````` * Modeling a MIP problem * to perform portfolio optimization. * -- Extending the problem with constraints on * the geographical and sectorial distributions -- * -- Working with a larger data set -- * * (c) 2009-2024 Fair Isaac Corporation * author: S.Heipcke, Y.Colombani, rev. Dec. 2011 ********************************************************/ import com.dashoptimization.*; import java.io.*; import java.util.*; public class foliomip3 { static final String DATAFILE = "folio10.cdat"; static final int MAXNUM = 7; /* Max. number of different assets */ static final double MAXRISK = 1.0 / 3; /* Max. investment into high-risk values */ static final double MINREG = 0.2; /* Min. investment per geogr. region */ static final double MAXREG = 0.5; /* Max. investment per geogr. region */ static final double MAXSEC = 0.25; /* Max. investment per ind. sector */ static final double MAXVAL = 0.2; /* Max. investment per share */ static final double MINVAL = 0.1; /* Min. investment per share */ static int NSHARES; /* Number of shares */ static int NRISK; /* Number of high-risk shares */ static int NREGIONS; /* Number of geographical regions */ static int NTYPES; /* Number of share types */ static double[] RET; /* Estimated return in investment */ static int[] RISK; /* High-risk values among shares */ static boolean LOC[][]; /* Geogr. region of shares */ static boolean SEC[][]; /* Industry sector of shares */ static String SHARES_n[]; static String REGIONS_n[]; static String TYPES_n[]; static final String[] MIPSTATUS = { "not loaded", "not optimized", "LP optimized", "unfinished (no solution)", "unfinished (solution found)", "infeasible", "optimal", "unbounded" }; public static void main(String[] args) throws IOException { try { readData(); /* Read data from file */ } catch (IOException e) { System.err.println(e.getMessage()); System.exit(1); } try (XPRBprob p = new XPRBprob("FolioMIP3"); /* Initialize BCL and create a new problem */ XPRBexprContext context = new XPRBexprContext() /* Release XPRBexpr instances at end of block. */) { int s, t, r; XPRBexpr Risk, Return, Cap, Num, LinkL, LinkU; XPRBexpr[] MinReg, MaxReg, LimSec; XPRBvar[] frac; /* Fraction of capital used per share */ XPRBvar[] buy; /* 1 if asset is in portfolio, 0 otherwise */ /* Create the decision variables */ frac = new XPRBvar[NSHARES]; buy = new XPRBvar[NSHARES]; for (s = 0; s < NSHARES; s++) { frac[s] = p.newVar("frac", XPRB.PL, 0, MAXVAL); buy[s] = p.newVar("buy", XPRB.BV); } /* Objective: total return */ Return = new XPRBexpr(); for (s = 0; s < NSHARES; s++) Return.add(frac[s].mul(RET[s])); p.setObj(Return); /* Set the objective function */ /* Limit the percentage of high-risk values */ Risk = new XPRBexpr(); for (s = 0; s < NRISK; s++) Risk.add(frac[RISK[s]]); p.newCtr(Risk.lEql(MAXRISK)); /* Limits on geographical distribution */ MinReg = new XPRBexpr[NREGIONS]; MaxReg = new XPRBexpr[NREGIONS]; for (r = 0; r < NREGIONS; r++) { MinReg[r] = new XPRBexpr(); MaxReg[r] = new XPRBexpr(); for (s = 0; s < NSHARES; s++) if (LOC[r][s]) { MinReg[r].add(frac[s]); MaxReg[r].add(frac[s]); } p.newCtr(MinReg[r].gEql(MINREG)); p.newCtr(MaxReg[r].lEql(MAXREG)); } /* Diversification across industry sectors */ LimSec = new XPRBexpr[NTYPES]; for (t = 0; t < NTYPES; t++) { LimSec[t] = new XPRBexpr(); for (s = 0; s < NSHARES; s++) if (SEC[t][s]) LimSec[t].add(frac[s]); p.newCtr(LimSec[t].lEql(MAXSEC)); } /* Spend all the capital */ Cap = new XPRBexpr(); for (s = 0; s < NSHARES; s++) Cap.add(frac[s]); p.newCtr(Cap.eql(1)); /* Limit the total number of assets */ Num = new XPRBexpr(); for (s = 0; s < NSHARES; s++) Num.add(buy[s]); p.newCtr(Num.lEql(MAXNUM)); /* Linking the variables */ for (s = 0; s < NSHARES; s++) p.newCtr(frac[s].lEql(buy[s].mul(MAXVAL))); for (s = 0; s < NSHARES; s++) p.newCtr(frac[s].gEql(buy[s].mul(MINVAL))); /* p.exportProb("javamat.lp"); */ /* Solve the problem */ p.setSense(XPRB.MAXIM); p.mipOptimize(""); System.out.println("Problem status: " + MIPSTATUS[p.getMIPStat()]); /* Solution printing */ System.out.println("Total return: " + p.getObjVal()); for (s = 0; s < NSHARES; s++) if (buy[s].getSol() > 0.5) System.out.println( " " + s + ": " + frac[s].getSol() * 100 + "% (" + buy[s].getSol() + ")"); } } /***********************Data input routines***************************/ /***************************/ /* Input a list of strings */ /***************************/ private static String[] read_str_list(StreamTokenizer st) throws IOException { LinkedList<String> l = new LinkedList<String>(); st.nextToken(); /* Skip ':' */ while (st.nextToken() == st.TT_WORD) { l.addLast(st.sval); } String a[] = new String[l.size()]; l.toArray(a); return a; } /************************/ /* Input a list of ints */ /************************/ private static int[] read_int_list(StreamTokenizer st) throws IOException { LinkedList<Integer> l = new LinkedList<Integer>(); st.nextToken(); /* Skip ':' */ while (st.nextToken() == st.TT_NUMBER) { l.addLast((int) st.nval); } int a[] = new int[l.size()]; for (int i = 0; i < l.size(); i++) a[i] = ((Integer) l.get(i)).intValue(); return a; } /****************************/ /* Input a table of doubles */ /****************************/ private static void read_dbl_table(StreamTokenizer st, double tbl[]) throws IOException { int n = 0; st.nextToken(); /* Skip ':' */ while (st.nextToken() == st.TT_NUMBER) { tbl[n++] = st.nval; } } /************************************/ /* Input a sparse table of booleans */ /************************************/ private static boolean[][] read_bool_table(StreamTokenizer st, int nrow, int ncol) throws IOException { int i; boolean tbl[][] = new boolean[nrow][ncol]; st.nextToken(); /* Skip ':' */ for (int r = 0; r < nrow; r++) { while (st.nextToken() == st.TT_NUMBER) tbl[r][(int) st.nval] = true; } return tbl; } private static void readData() throws IOException { int s; FileReader datafile = null; StreamTokenizer st = null; datafile = new FileReader(DATAFILE); /* Open the data file */ st = new StreamTokenizer(datafile); /* Initialize the stream tokenizer */ st.commentChar('!'); /* Use the character '!' for comments */ st.eolIsSignificant(false); /* Return end-of-line character */ st.parseNumbers(); /* Read numbers as numbers (not strings) */ while (st.nextToken() == st.TT_WORD) { if (st.sval.equals("SHARES") && NSHARES == 0) { SHARES_n = read_str_list(st); NSHARES = SHARES_n.length; } else if (st.sval.equals("REGIONS") && NREGIONS == 0) { REGIONS_n = read_str_list(st); NREGIONS = REGIONS_n.length; } else if (st.sval.equals("TYPES") && NTYPES == 0) { TYPES_n = read_str_list(st); NTYPES = TYPES_n.length; } else if (st.sval.equals("RISK") && NRISK == 0) { RISK = read_int_list(st); NRISK = RISK.length; } else if (st.sval.equals("RET") && NSHARES > 0) { RET = new double[NSHARES]; read_dbl_table(st, RET); } else if (st.sval.equals("LOC") && NSHARES > 0 && NREGIONS > 0) LOC = read_bool_table(st, NREGIONS, NSHARES); else if (st.sval.equals("SEC") && NSHARES > 0 && NTYPES > 0) SEC = read_bool_table(st, NTYPES, NSHARES); else break; } /* for(int i=0;i<NREGIONS;i++) { for(int j=0;j<NSHARES;j++) System.out.print(" "+LOC[i][j]); System.out.println(); } */ datafile.close(); } } | |||||||||
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