/********************************************************
  Xpress-BCL C++ Example Problems
  ===============================

  file foliomip2.cpp
  ``````````````````
  Modeling a small MIP problem
  to perform portfolio optimization.
   -- Imposing a minimum investment per share --

  (c) 2008 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("FolioSC");              // 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", Objective: total return for(s=0;s<NSHARES;s++) Return +=RET[s]*frac[s]; Set the objective function Limit percentage of high-risk values Risk <=1.0/3); Minimum amount North-American Na>= 0,5);

// Spend all the capital
 for(s=0;s<NSHARES;s++) Cap += frac[s];
 p.newCtr(Cap == 1);

// Solve the problem
 p.setSense(XPRB_MAXIM);
 p.mipOptimize("");

// Solution printing
 cout << "Total return: " << p.getObjVal() << endl;
 for(s=0;s<NSHARES;s++)
  cout << s << ": " << frac[s].getSol()*100 << "%" << endl;

 return 0;
}