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 Load input data and initialize all input entities
63:	  procedure loaddata
64:	    writeln("Loading data.")
65:	    MaxHighRisk := 0.33
66:	    MaxPerShare := 0.25
67:	    MinNorthAmerica := 0.45
68:	
69:	    initializations from "mmsheet.csv:skiph;" + DATAFILE
70:	      [Shares_Return, Shares_HighRisk, Shares_NorthAmerica] as '[A:D]'
71:	    end-initializations
72:	
73:	    writeln("Loading finished.")
74:	  end-procedure  
75:	  
76:	  !@doc.descr Create and solve model, then initialize all result entities.
77:	  procedure solvemodel
78:	    declarations
79:	      LimitHighRisk, LimitNorthAmerica 
					 : linctr
80:	    end-declarations
81:	
82:	    ! Objective: expected total return
83:	    TotalReturn := sum(s in ShareIds) Shares_Return(s) * Shares_fraction(s)
84:	
85:	    ! Limit the percentage of high-risk values
86:	    LimitHighRisk :=
87:	    sum(s in ShareIds | Shares_HighRisk(s)) Shares_fraction(s) <= MaxHighRisk
88:	
89:	    ! Minimum amount of North-American values
90:	    LimitNorthAmerica 
					  :=
91:	    sum(s in ShareIds | Shares_NorthAmerica(s)) Shares_fraction(s) >= MinNorthAmerica
92:	
93:	    ! Spend all the capital
94:	     sum(s in ShareIds) Shares_fraction(s) = 1
95:	
96:	    ! Upper bounds on the investment per share
97:	    forall(s in ShareIds) do
98: 	      Shares_fraction(s) <= MaxPerShare
99:	    end-do
100:	
101:	   writeln('Starting optimization.')
102:	    
103:	   ! Solve optimization problem
104:	   insightmaximize(TotalReturn)
105:	
106:	   writeln('Optimization finished.')
107:	 end-procedure
108:	  
109:	 !@doc.descr Handler for the standard LOAD execution mode
110:	 !@doc.descr Define actions to perform in 'load' execution mode
111:	 !@insight.execmodes.LOAD
112:	 public procedure doload
113:	  ! Scenario is being 'loaded' through Xpress Insight
114:	  ! Initialize input arrays and then terminate
115:	  loaddata
116:	 end-procedure
117:	  
118:	 !@doc.descr Handler for the standard RUN execution mode
119:	 !@doc.descr Define actions to perform in 'run' execution mode
120:	 !@insight.execmodes.RUN
121:	 public procedure dorun
122:	  ! Scenario is being 'run' through Xpress Insight
123:	  ! Populate with Insight scenario data and then solve optimization
124:	 	insightpopulate
125:	 	solvemodel
126:	 end-procedure
127:	 
128:	 !@doc.descr Handler for the standalone (NONE) execution mode
129:	 !@doc.descr Define actions to perform when model is run standalone (without Xpress Insight)
130:	 !@insight.execmodes.NONE
131:	 public procedure doloadandrun
132:	  ! Model is being run outside of Xpress Insight, e.g. from the Mosel command-line tool
133:	  ! Initialize input arrays then solve optimization
134:	 	loaddata
135:	 	solvemodel
136:	 end-procedure
137:	  
138:	 ! Automatically call the procedure with annotation matching the current execution mode
139:	 insightdispatch
140:
141:	end-model