Making the Minimum Mandatory Changes
01: model "Portfolio optimization with LP"
02:
03: uses "mminsight" ! Mandatory for Xpress insight
04: uses "mmxprs" ! Use Xpress Optimizer
05:
06: parameters
07: DATAFILE= "folio.dat" ! File with problem data
08: OUTFILE= "result.dat" ! Output file
09: MAXRISK = 1/3 ! Max. investment into high-risk values
10: MAXVAL = 0.3 ! Max. investment per share
11: MINAM = 0.5 ! Min. investment into N.-American values
12: end-parameters
13:
14: public declarations
15: SHARES: set of string ! Set of shares
16: RISK: set of string ! Set of high-risk values among shares
17: NA: set of string ! Set of shares issued in N.-America
18: RET: array(SHARES) of real ! Estimated return in investment
19: end-declarations
20:
21: forward procedure datainput
22:
23: case insightgetmode of
24: INSIGHT_MODE_LOAD: do
25: datainput
26: exit(0)
27: end-do
28: INSIGHT_MODE_RUN:
29: insightpopulate
30: else
31: datainput
32: end-case
33:
34: procedure datainput
35: initializations from DATAFILE
36: RISK RET NA
37: end-initializations
38: end-procedure
39:
40: public declarations
41: frac: array(SHARES) of mpvar ! Fraction of capital used per share
42: end-declarations
43:
44: ! Objective: total return
45: Return:= sum(s in SHARES) RET(s)*frac(s)
46:
47: ! Limit the percentage of high-risk values
48: sum(s in RISK) frac(s) <= MAXRISK
49:
50: ! Minimum amount of North-American values
51: sum(s in NA) frac(s) >= MINAM
52:
53: ! Spend all the capital
54: sum(s in SHARES) frac(s) = 1
55:
56: ! Upper bounds on the investment per share
57: forall(s in SHARES) frac(s) <= MAXVAL
58:
59: ! Solve the problem
60: insightmaximize(Return)
61:
62: ! Solution printing to a file
63: fopen(OUTFILE, F_OUTPUT)
64: writeln("Total return: ", getobjval)
65: forall(s in SHARES)
66: writeln(strfmt(s,-12), ": \t", strfmt(getsol(frac(s))*100,5,2), "%")
67: fclose(F_OUTPUT)
68:
69: end-model
Commentary
Line 3 loads the mminsight package.
Line 21 contains a forward declaration of a procedure called datainput, which has been defined so that it can be invoked from a later case statement, which takes one of three code paths depending on the value of insightgetmode.
Lines 23-32 contain the LOAD mode code. If Xpress Insight is loading data, then datainput is called (line 25). If it is simply starting a run, then insightpopulate is called (line 29). If neither of these is true (i.e. the model is running in non-Xpress Insight mode) then datainput is called and execution continues with the next statements.
Lines 34-38 wrap the original initializations block as the datainput procedure so it is only run if invoked explicitly (and it avoids repeating the code under the different execution modes.)
Line 60 now contains a call to insightmaximize instead of maximize.
A copy of this code without line numbers is available in Code Samples for you to cut and paste into your own editor.
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