Complete example

The complete model file foliodata.mos with all the features discussed in this chapter looks as follows:

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))*100,2,3), "%")
 fclose(F_OUTPUT)

end-model