Making the Minimum Mandatory Changes

01:	(!
02:	Portfolio optimization app example
03:	(c) 2020 Fair Isaac Corporation.
04:	!)
05:	model "Portfolio Optimization"
06:	  version 1.0.0
07:	
08:	  options noimplicit
09:	
10:	  uses "mminsight"
11:	  uses "mmxprs"
12:	
13:	  declarations
14:	    ! Constant
15:	    DATAFILE = "shares.csv"
16:	  end-declarations
17:	  
18:	  ! Declaration of the scenario data model for input and results
19:	  public declarations
20:	    ! Input entities
21:	    !@insight.manage input
22:	    !@insight.alias Maximum investment into high-risk values
23:	    MaxHighRisk: real
24:	
25:	    !@insight.manage input
26:	    !@insight.alias Maximum investment per share
27:	    MaxPerShare: real
28:	
29:	    !@insight.manage input
30:	    !@insight.alias Minimum investment into North-American values
31:	    MinNorthAmerica: real
32:	
33:	    !@insight.manage input
34:	    !@insight.alias Shares
35:	    ShareIds: set of string
36:	
37:	    ! Input and result entities indexed over ShareIds
38:	    !@insight.manage input
39:	    !@insight.alias Expected Return on Investment
40:	    !@insight.format $ 0.00
41:	    Shares_Return: array(ShareIds) of real
42:	
43:	    !@insight.manage input
44:	    !@insight.alias High-risk value
45:	    Shares_HighRisk: array(ShareIds) of boolean
46:	
47:	    !@insight.manage input
48:	    !@insight.alias Issued in North America
49:	    Shares_NorthAmerica: array(ShareIds) of boolean
50:	
51:	    !@insight.manage result
52:	    !@insight.alias Investment per share
53:	    !@insight.format 0.0%
54:	    Shares_fraction: array(ShareIds) of mpvar
55:	
56:	    ! Result entities
57:	    !@insight.manage result
58:	    !@insight.alias Total expected return on investment
59:	    TotalReturn: linctr
60:	  end-declarations
61:	
62:	  !@doc.descr Handler for the standard LOAD execution mode
63:	  !@doc.descr Load input data and initialize all input entities.
64:	  !@insight.execmodes.LOAD
65:	  public procedure loaddata
66:	    writeln("Loading data.")
67:	    MaxHighRisk := 0.33
68:	    MaxPerShare := 0.25
69:	    MinNorthAmerica := 0.45
70:	
71:	    initializations from "mmsheet.csv:skiph;" + DATAFILE
72:	      [Shares_Return, Shares_HighRisk, Shares_NorthAmerica] as '[A:D]'
73:	    end-initializations
74:	
75:	    writeln("Loading finished.")
76:	  end-procedure
77:	
78:	  !@doc.descr Handler for the standard RUN execution mode
79:	  !@doc.descr Create and solve model, then initialize all result entities.
80:	  !@insight.execmodes.RUN
81:	  public procedure solvemodel
82:	    declarations
83:	      LimitHighRisk, LimitNorthAmerica 
					 : linctr
84:	    end-declarations
85:	    
86:	    ! If running in Insight, this call will initialize the input entities with scenario data
87:	    insightpopulate
88:	
89:	    ! Objective: expected total return
90:	    TotalReturn := sum(s in ShareIds) Shares_Return(s) * Shares_fraction(s)
91:	
92:	    ! Limit the percentage of high-risk values
93:	    LimitHighRisk :=
94:	      sum(s in ShareIds | Shares_HighRisk(s)) Shares_fraction(s) <= MaxHighRisk
95:	
96:	    ! Minimum amount of North-American values
97:	    LimitNorthAmerica 
					  :=
98:	      sum(s in ShareIds | Shares_NorthAmerica(s)) Shares_fraction(s) >= MinNorthAmerica
99:	
100:	    ! Spend all the capital
101:	    sum(s in ShareIds) Shares_fraction(s) = 1
102:	
103:	    ! Upper bounds on the investment per share
104:	    forall(s in ShareIds) do
105:	      Shares_fraction(s) <= MaxPerShare
106:	    end-do
107:	
108:	    writeln('Starting optimization.')
109:	    
110:	    ! Solve optimization problem
111:	    insightmaximize(TotalReturn)
112:	
113:	    writeln('Optimization finished.')
114:	  end-procedure
115:	  
116:	  !@doc.descr Handler for when the model is executed outside of Insight
117:	  !@insight.execmodes.NONE
118:	  public procedure standalone
119:	      loaddata
120:	      solvemodel
121:	  end-procedure
122:	
123:	  ! invoke the handler procedure for the current execution mode
124:	  insightdispatch
125:	end-model