Code Samples - Getting Started
Formulating the Model
foliodata.mos
model "Portfolio optimization with LP"
uses "mmxprs" ! Use Xpress-Optimizer
parameters
DATAFILE= "folio.dat" ! File with problem data
OUTFILE= "result.dat" ! Output file
MAXRISK = 1/3 ! Max. investment into high-risk values
MAXVAL = 0.3 ! Max. investment per share
MINAM = 0.5 ! Min. investment into N.-American values
end-parameters
declarations
SHARES: set of string ! Set of shares
RISK: set of string ! Set of high-risk values among shares
NA: set of string ! Set of shares issued in N.-America
RET: array(SHARES) of real ! Estimated return in investment
end-declarations
initializations from DATAFILE
RISK RET NA
end-initializations
declarations
frac: array(SHARES) of mpvar ! Fraction of capital used per share
end-declarations
! Objective: total return
Return:= sum(s in SHARES) RET(s)*frac(s)
! Limit the percentage of high-risk values
sum(s in RISK) frac(s) <= MAXRISK
! Minimum amount of North-American values
sum(s in NA) frac(s) >= MINAM
! Spend all the capital
sum(s in SHARES) frac(s) = 1
! Upper bounds on the investment per share
forall(s in SHARES) frac(s) <= MAXVAL
! Solve the problem
maximize(Return)
! Solution printing to a file
fopen(OUTFILE, F_OUTPUT)
writeln("Total return: ", getobjval)
forall(s in SHARES)
writeln(strfmt(s,-12), ": \t", strfmt(getsol(frac(s))*100,5,2), "%")
fclose(F_OUTPUT)
end-model
folio.dat
! Data file for ‘foliodata.mos’
RET: [("treasury") 5 ("hardware") 17 ("theater") 26 ("telecom") 12
("brewery") 8 ("highways") 9 ("cars") 7 ("bank") 6
("software") 31 ("electronics") 21 ]
RISK: ["hardware" "theater" "telecom" "software" "electronics"]
NA: ["treasury" "hardware" "theater" "telecom"]
Making the Minimum Mandatory Changes
foliodata.mos
model "Portfolio optimization with LP"
uses "mminsight" ! Mandatory for Xpress Insight
uses "mmxprs" ! Use Xpress-Optimizer
parameters
DATAFILE= "folio.dat" ! File with problem data
OUTFILE= "result.dat" ! Output file
MAXRISK = 1/3 ! Max. investment into high-risk values
MAXVAL = 0.3 ! Max. investment per share
MINAM = 0.5 ! Min. investment into N.-American values
end-parameters
declarations
SHARES: set of string ! Set of shares
RISK: set of string ! Set of high-risk values among shares
NA: set of string ! Set of shares issued in N.-America
RET: array(SHARES) of real ! Estimated return in investment
end-declarations
forward procedure datainput
case insightgetmode of
INSIGHT_MODE_LOAD: do
datainput
exit(0)
end-do
INSIGHT_MODE_RUN:
insightpopulate
else
datainput
end-case
procedure datainput
initializations from DATAFILE
RISK RET NA
end-initializations
end-procedure
declarations
frac: array(SHARES) of mpvar ! Fraction of capital used per share
end-declarations
! Objective: total return
Return:= sum(s in SHARES) RET(s)*frac(s)
! Limit the percentage of high-risk values
sum(s in RISK) frac(s) <= MAXRISK
! Minimum amount of North-American values
sum(s in NA) frac(s) >= MINAM
! Spend all the capital
sum(s in SHARES) frac(s) = 1
! Upper bounds on the investment per share
forall(s in SHARES) frac(s) <= MAXVAL
! Solve the problem
insightmaximize(Return)
! Solution printing to a file
fopen(OUTFILE, F_OUTPUT)
writeln("Total return: ", getobjval)
forall(s in SHARES)
writeln(strfmt(s,-12), ": \t", strfmt(getsol(frac(s))*100,5,2), "%")
fclose(F_OUTPUT)
end-model
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