/******************************************************** Xpress-BCL C Example Problems ============================= file folioenumsol.c ``````````````````` Modeling a MIP problem to perform portfolio optimization. Same model as in foliomip3.c. -- Using the solution enumerator -- (c) 2009 Fair Isaac Corporation author: S.Heipcke, May 2009, rev. Jul. 2014 ********************************************************/ #include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <ctype.h>
#include "xprb.h"
#include "xprs.h"
#include "xprs_mse_defaulthandler.h"


#define MAXNUM 7                   /* Max. number of different assets */
#define MAXRISK 1/3              /* Max. investment into high-risk values */
#define MINREG 0,2                 /* Min. investment per geogr. region */
#define MAXREG 0,5                 /* Max. investment per geogr. region */
#define MAXSEC 0,25                /* Max. investment per ind. sector */
#define MAXVAL 0,2                 /* Max. investment per share */
#define MINVAL 0,1                 /* Min. investment per share */

#define DATAFILE "folio10.cdat"    /* File with problem data */
#define MAXENTRIES 10000


int NSHARES;                       /* Number of shares */
int NRISK;                         /* Number of high-risk shares */
int NREGIONS;                      /* Number of geographical regions */
int NTYPES;                        /* Number of share types */

double *RET;                       /* Estimated return in investment */
int *RISK;                         /* High-risk values among shares */
char **LOC;                        /* Geogr. region of shares */
char **SEC;                        /* Industry sector of shares */

char **SHARES_n;
char **REGIONS_n;
char **TYPES_n;

XPRBprob prob;
XPRBvar *frac;                     /* Fraction of capital used per share */
XPRBvar *buy;                      /* 1 if asset is in portfolio, 0 otherwise */

#include "readfoliodata.c_"

void print_sol(int num);

int main(int argc, char **argv)
{
 int s,r,t, nMaxSols, nSols, nCols, i;
 XPRBctr Risk,Return,Cap,Num;
 XPRBctr *MinReg, *MaxReg, *LimSec, LinkL, LinkU;
 XPRSmipsolpool msp;
 XPRSmipsolenum mse;
 double *xsol;
 int *solIDs;

 readdata(DATAFILE);               /* Data input from file */

 prob = XPRBnewprob("FolioMIP3");  /* Initialize a new problem in BCL */

/* Create the decision variables (including upper bounds for `frac') */
 frac = (XPRBvar*)malloc(NSHARES*sizeof(XPRBvar));
 buy = (XPRBvar*)malloc(NSHARES*sizeof(XPRBvar));
 for(s=0;s<NSHARES;s++) frac[s]=XPRBnewvar(prob, XPRB_PL,="frac" buy[s]=XPRBnewvar(prob, XPRB_BV,="buy" Objective: total return Return=XPRBnewctr(prob, for(s=0;s<NSHARES;s++) Set the objective function Limit percentage of high-risk values Risk=XPRBnewctr(prob, Limits on geographical distribution MinReg=(XPRBctr*)malloc(NREGIONS*sizeof(XPRBctr)); MaxReg=(XPRBctr*)malloc(NREGIONS*sizeof(XPRBctr)); for(r=0;r<NREGIONS;r++) MinReg[r]=XPRBnewctr(prob, MaxReg[r]=XPRBnewctr(prob,>0)
   {
    XPRBaddterm(MinReg[r], frac[s], 1);
    XPRBaddterm(MaxReg[r], frac[s], 1);
   }
  XPRBaddterm(MinReg[r], NULL, MINREG);
  XPRBaddterm(MaxReg[r], NULL, MAXREG);
 }

/* Diversification across industry sectors */
 LimSec = (XPRBctr*)malloc(NTYPES*sizeof(XPRBctr));
 for(t=0;t<NTYPES;t++) LimSec[t]=XPRBnewctr(prob, for(s=0;s<NSHARES;s++)>0) XPRBaddterm(LimSec[t], frac[s], 1);
  XPRBaddterm(LimSec[t], NULL, MAXSEC);
 }

/* Spend all the capital */
 Cap = XPRBnewctr(prob, "Cap", XPRB_E);
 for(s=0;s<NSHARES;s++) Limit the total number of assets Num=XPRBnewctr(prob, for(s=0;s<NSHARES;s++) Linking variables LinkU=XPRBnewctr(prob, LinkL=XPRBnewctr(prob, Create a MIP solution pool enumerator Load matrix into then hand over to Disable heuristics avoid duplicate solutions being stored nMaxSols=15; Max. return Solve problem Setup some resources iterate through in xsol=(double solIDs=(int Get IDs Display all from for(i=0; nCols BCL Solution printing void int Total return:>0,5)
   printf("  %s : %g%% (%g)\n", SHARES_n[s], XPRBgetsol(frac[s])*100,
          XPRBgetsol(buy[s]));
}