Making the Minimum Mandatory Changes

01:(!
02:    File Type: Mosel model.
03:    Purpose: mminsight Mosel module example: Portfolio optimization app.
04:    (c) 2020 Fair Isaac Corporation.
05:!)
06:model "Portfolio Optimization with Mosel"
07:    version 1.0.0
08:
09:    options noimplicit
10:	   uses "mminsight"
11:    uses "mmxprs"
12:    uses "mmsystem"
13:
14:    public declarations
15:        ! Input entities
16:        MaxHighRisk: real
17:        MaxPerShare: real
18:        MinNorthAmerica: real
19:        ShareIds: set of string
20:
21:        ! Input and result entities indexed over ShareIds
22:        Shares_Return: array (ShareIds) of real
23:        Shares_HighRisk: array (ShareIds) of boolean
24:        Shares_NorthAmerica: array(ShareIds) of boolean
25:        Shares_fraction: array(ShareIds) of mpvar
26:
27:        ! Result entities
28:        TotalReturn: linctr
29:        SummaryIds: set of string
30:        SummaryValues: array (SummaryIds) of real
31:
32:        ! Constant<
33:        DATAFILE = "shares.csv"
34:    end-declarations
35:
36:    
37:    procedure read_data
38:        writeln("Loading data.")
39:        MaxHighRisk := 0.33  ! Max. investment into high-risk values
40:        MaxPerShare := 0.25    ! Max. investment per share
41:        MinNorthAmerica := 0.45				! Min. investment into N.-American values
42:
43:        initializations from "mmsheet.csv:skiph;" + DATAFILE
44:            [Shares_Return, Shares_HighRisk, Shares_NorthAmerica] as '[A:D]'
45:        end-initializations
46:
47:        writeln("Loading finished.")
48:    end-procedure
49:
50:    procedure solve_model
51:        declarations
52:            LimitHighRisk, LimitNorthAmerica 
					 : linctr
53:        end-declarations
54:
55:        writeln('Starting optimization.')
56:
57:        ! Objective: expected total return
58:        TotalReturn := sum (s in ShareIds) Shares_Return(s) * Shares_fraction(s)
59:
60:        ! Limit the percentage of high-risk values
61:        LimitHighRisk :=
62:            sum (s in ShareIds | Shares_HighRisk(s)) Shares_fraction(s) <= MaxHighRisk
63:
64:        ! Minimum amount of North-American values
65:        LimitNorthAmerica 
					  :=
66:            sum (s in ShareIds | Shares_NorthAmerica(s)) Shares_fraction(s) >= MinNorthAmerica
67:
68:        ! Spend all the capital
69:        sum (s in ShareIds) Shares_fraction(s) = 1
70:
71:        ! Upper bounds on the investment per share
72:        forall (s in ShareIds) do
73:            Shares_fraction(s) <= MaxPerShare
74:        end-do
75:
76:        ! Solve optimization problem
77:        insightmaximize(TotalReturn)
78:
79:        ! Save key indicator values for GUI display
80:        SummaryValues("Expected total return") := TotalReturn.sol
81:        SummaryValues("Total high risk shares") := LimitHighRisk.act
82:        SummaryValues("Total North-American") := LimitNorthAmerica 
					 .act
83:        SummaryValues("Largest position") := max (s in ShareIds) Shares_fraction(s).sol
84:
85:        forall (SummaryId in SummaryIds) do
86:            writeln(formattext("%-23s%7.2f", SummaryId, SummaryValues(SummaryId)))
87:        end-do
88:
89:        writeln('Optimization finished.')
90:    end-procedure
91:
92:    case insightgetmode of
93:        INSIGHT_MODE_LOAD: do
94:            read_data
95:        end-do
96:
97:        INSIGHT_MODE_RUN: do
98:            insightpopulate
99:            solve_model
100:       end-do
101:    else
102:        read_data
103:        solve_model
104:    end-case
105:
105:end-model