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Folio - Examples from 'Getting Started'

Description
Different versions of a portfolio optimization problem.

Basic modelling and solving tasks:
  • modeling and solving a small LP problem (foliolp)
  • performing explicit initialization (folioinit*)
  • data input from file, index sets (foliodata, requires foliocpplp.dat)
  • modeling and solving a small MIP problem with binary variables (foliomip1)
  • modeling and solving a small MIP problem with semi-continuous variables (foliomip2)
  • modeling and solving QP and MIQP problems (folioqp, requires foliocppqp.dat)
  • modeling and solving QCQP problems (folioqc, requires foliocppqp.dat)
  • heuristic solution of a MIP problem (folioheur)
Advanced modeling and solving tasks:
  • enlarged version of the basic MIP model (foliomip3, to be used with data sets folio5.cdat, folio10.cdat)
  • defining an integer solution callback (foliocb)
  • using the MIP solution pool (foliosolpool)
  • using the solution enumerator (folioenumsol)
  • handling infeasibility through deviation variables (folioinfeas)
  • retrieving IIS (folioiis, foliomiis)
  • using the built-in infeasibility repair functionality (foliorep)
Further explanation of this example: 'Getting Started with BCL' for the basic modelling and solving tasks; 'Advanced Evaluators Guide' for solution enumeration and infeasibilit handling

xbfoliojava.zip[download all files]

Source Files

Data Files





folio5.cdat

SHARES: treasury1 treasury2 treasury3 treasury4 treasury5 hardware1 hardware2 hardware3 hardware4 hardware5 theater1 theater2 theater3 theater4 theater5 telecom1 telecom2 telecom3 telecom4 telecom5 brewery1 brewery2 brewery3 brewery4 brewery5 highways1 highways2 highways3 highways4 highways5 cars1 cars2 cars3 cars4 cars5 bank1 bank2 bank3 bank4 bank5 software1 software2 software3 software4 software5 electronics1 electronics2 electronics3 electronics4 electronics5;
REGIONS: EU NA APAC;
TYPES: bonds technology entertainment telecom food construction manufacturing finance;

RISK: 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 40 41 42 43 44 45 46 47 48 49;
RET: 5.29 2.8 3.59 6.97 3.3 10.26 10.13 11.59 13.37 13.13 17.37 26.35 24.95 32.28 21.04 6.57 11.99 17.54 13.07 9.03 11.11 5.97 7.23 10.65 5.2 9.36 8.94 8.65 12.77 10.98 6.35 10.49 7.18 3.81 3.56 7.94 6.23 5.55 8.3 6.97 34.08 36.22 34.4 45.07 24.07 24.3 12.52 15.71 28.66 13.81;

LOC:
 0 9 16 18 27 29 32 38 39 40 43 45 46 47;
 1 5 6 7 13 15 20 22 26 28 31 33 37;
 3 4 8 10 11 14 17 19 21 23 30 34 35 36 48 49;

SEC:
 0 1 2 3 4;
 5 6 7 8 9 40 41 42 43 44 45 46 47 48 49;
 10 11 12 13 14;
 15 16 17 18 19;
 20 21 22 23 24;
 25 26 27 28 29;
 30 31 32 33 34;
 35 36 37 38 39;

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