/********************************************************
  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) 2009-2023 Fair Isaac Corporation
      author: S.Heipcke, Y.Colombani, rev. Dec. 2011
********************************************************/

import java.io.*;
import java.lang.*;
import java.util.*;
import com.dashoptimization.*;

public class foliomip3 {
    static final String DATAFILE = "folio10.cdat";

    static final int MAXNUM = 7;          /* Max. number of different assets */
    static final double MAXRISK = 1/3;  /* 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 {
        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 */

        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 */

            /* Create the decision variables */
            frac = new XPRBvar[NSHARES];
            buy = new XPRBvar[NSHARES];
            for(s=0;s<NSHARES;s++) frac[s]=p.newVar("frac", buy[s]=p.newVar("buy", Objective: total return Return=new for(s=0;s<NSHARES;s++) Set the objective function Limit percentage of high-risk values Risk=new Limits on geographical distribution MinReg=new MaxReg=new for(r=0;r<NREGIONS;r++) MinReg[r]=new MaxReg[r]=new Diversification across industry sectors LimSec=new for(t=0;t<NTYPES;t++) LimSec[t]=new Spend all capital Cap=new number assets Num=new Linking variables Solve problem status:=" + MIPSTATUS[p.getMIPStat()]);

            /* Solution printing */
            System.out.println(" Total return:>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 Input a table of doubles private static void throws IOException int n=0; Skip=':' while(st.nextToken()==st.TT_NUMBER) tbl[n++]=st.nval; sparse booleans boolean tbl[][]=new r=0;r<nrow;r++) tbl[r][(int)st.nval]=true; FileReader datafile=null; StreamTokenizer st=null; Open the data file Initialize stream tokenizer Use character='!' for comments Return end-of-line Read numbers as while st.nextToken()== st.TT_WORD if NSHARES==0) SHARES_n=read_str_list(st); else NREGIONS==0) REGIONS_n=read_str_list(st); NTYPES==0) TYPES_n=read_str_list(st); NRISK==0) RISK=read_int_list(st);>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();
    }
}