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

  file folioqp.cs
  ```````````````
  Modeling a small QP problem 
  to perform portfolio optimization.
   -- 1. QP: minimize variance
      2. MIQP: limited number of assets ---

  (c) 2008 Fair Isaac Corporation
      authors: S.Heipcke, D.Brett.
********************************************************/

using System;
using System.Text;
using System.IO;
using BCL;


namespace Examples
{

    public class TestUGFolioQp
    {

        //Define XPRBDATAPATH to wherever you have placed the data folder; here we expect it to be same directory as compiled example.
        static string XPRBDATAPATH = Directory.GetParent(System.Reflection.Assembly.GetExecutingAssembly().Location).FullName + "/Data";
        static string DATAFILE = XPRBDATAPATH + "/GS/foliocppqp.dat";

        const int TARGET = 9;                   // Target yield
        const int MAXNUM = 4;                   // Max. number of different assets

        const int NSHARES = 10;                 // Number of 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[] NA = {0,1,2,3};              // Shares issued in N.-America
        double[,] VAR = new double[NSHARES,NSHARES];      // Variance/covariance matrix of
               // estimated returns

        public static void Main()
        {
            XPRB.init();
            int s,t;
            XPRBprob p = new XPRBprob("FolioQP");            // Initialize a new problem in BCL
            XPRBexpr Na,Return,Cap,Num;
            XPRBexpr Variance;
            XPRBvar[] frac = new XPRBvar[NSHARES];            // Fraction of capital used per share
            XPRBvar[] buy = new XPRBvar[NSHARES];             // 1 if asset is in portfolio, 0 otherwise
            FileStream file;
            StreamReader fileStreamIn;
            TestUGFolioQp TestInstance = new TestUGFolioQp();

            // Read `VAR' data from file
            file = new FileStream(DATAFILE, FileMode.Open, FileAccess.Read);
            fileStreamIn = new StreamReader(file);
            object[] outdata = new object[NSHARES];
            for (s = 0; s < NSHARES; s++)
            {
                p.XPRBreadarrline(fileStreamIn, 200, "{g} ", out outdata, NSHARES);
                for(t=0; t<NSHARES; t]=(double)outdata[t]; First problem: unlimited number of assets Create the decision variables for(s=0;s<NSHARES;s++) frac[s]=p.newVar("frac(" +=")" Objective: mean variance Variance=new for (t=0; t Set objective function Minimum amount North-American values Na=new (s=0; s>= 0,5);

            // Spend all the capital
            Cap = new XPRBexpr();
            for(s=0;s<NSHARES;s++) Cap +=frac[s]; p.newCtr(Cap== Target yield Return=new for (s=0; s>= TARGET);

            // Solve the problem
            p.setSense(BCLconstant.XPRB_MINIM);
            p.lpOptimize();              /* Solve the LP-problem */

            // Solution printing
            System.Console.WriteLine("With a target of " + TARGET + " minimum variance is " + p.getObjVal());
            for(s=0;s<NSHARES;s++) 
                System.Console.WriteLine(s + ": " + frac[s].getSol()*100 + "%");  

            // **** Second problem: limit total number of assets ****

            // Create the decision variables
            for(s=0;s<NSHARES;s++)
                buy[s] = p.newVar("buy(" + (s+1) + ")", BCLconstant.XPRB_BV);

            // 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.mipOptimize();

            // Solution printing
            System.Console.WriteLine("With a target of " + TARGET + " and at most " + MAXNUM +
                                    " assets, minimum variance is " + p.getObjVal());
            for(s=0;s<NSHARES;s++) 
                System.Console.WriteLine(s + ": " + frac[s].getSol()*100 + "% (" + buy[s].getSol() + ")");  

            return;
        } 

    }

}