Folio - Insight example from 'Getting started'
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| Type: | Portfolio optimization |
| Rating: | 2 (easy-medium) |
| Description: |
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| File(s): | application.py, folio.vdl, foliocompare.vdl, folioinsightxml.xml |
| Data file(s): | shares.csv |
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| application.py |
# Xpress Insight Portfolio Optimization - Getting started example
# Copyright (c) 2025 Fair Isaac Corporation. All rights reserved.
import xpressinsight as xi
import xpress as xp
import pandas as pd
import sys
@xi.AppConfig(name="Portfolio Optimization", version=xi.AppVersion(1, 0, 0))
class InsightApp(xi.AppBase):
# Input entities
MaxHighRisk: xi.types.Param(default=1/3)
MaxPerShare: xi.types.Param(default=0.3)
MinNorthAmerica: xi.types.Param(default=0.5)
ShareIds: xi.types.Index(dtype=xi.string, alias="Shares")
# Input and result entities indexed over ShareIds
Shares: xi.types.DataFrame(index="ShareIds", columns=[
xi.types.Column("Return", dtype=xi.real, alias="Expected Return on Investment"),
xi.types.Column("HighRisk", dtype=xi.boolean, alias="High-risk value"),
xi.types.Column("NorthAmerica", dtype=xi.boolean, alias="Issued in North America"),
xi.types.Column("fraction", dtype=xi.real, alias="Fraction used", manage=xi.Manage.RESULT)
])
# Result entities
TotalReturn: xi.types.Scalar(dtype=xi.real, alias="Total expected return on investment", manage=xi.Manage.RESULT)
CtrSolIds: xi.types.Index(dtype=xi.string, alias="Constraints", manage=xi.Manage.RESULT)
CtrSol: xi.types.DataFrame(index="CtrSolIds", columns=[
xi.types.Column("Activity", dtype=xi.real, alias="Activity", manage=xi.Manage.RESULT),
xi.types.Column("LowerLimit", dtype=xi.real, alias="Lower limit", manage=xi.Manage.RESULT),
xi.types.Column("UpperLimit", dtype=xi.real, alias="Upper limit", manage=xi.Manage.RESULT),
])
CtrSumIds: xi.types.Index(dtype=xi.string, alias="Constraints", manage=xi.Manage.RESULT)
CtrSummary: xi.types.Series(index="CtrSumIds", dtype=xi.real, manage=xi.Manage.RESULT)
# Constant class attribute
DATAFILE = "shares.csv"
@xi.ExecModeLoad(descr="Load input data and initialize all input entities.")
def load(self):
print("Loading data.")
self.Shares = pd.read_csv(InsightApp.DATAFILE, index_col=['ShareIds'])
self.ShareIds = self.Shares.index
print("Loading finished.")
@xi.ExecModeRun(descr="Solve problem and initialize all result entities.")
def run(self):
print('Starting optimization.')
# Create Xpress problem and variables
p = xp.problem("portfolio")
self.Shares['fractionVar'] = pd.Series(p.addVariables(self.ShareIds, vartype=xp.continuous, name='fractionVar'))
# Objective: expected total return
objective = xp.Sum(self.Shares.Return * self.Shares.fractionVar)
p.setObjective(objective, sense=xp.maximize)
# Limit the percentage of high-risk values
limit_high_risk = \
xp.Sum(self.Shares.loc[self.Shares.HighRisk, 'fractionVar']) \
<= self.MaxHighRisk
p.addConstraint(limit_high_risk)
# Minimum amount of North-American values
limit_north_america = \
xp.Sum(self.Shares.loc[self.Shares.NorthAmerica, 'fractionVar']) \
>= self.MinNorthAmerica
p.addConstraint(limit_north_america)
# Spend all the capital
p.addConstraint(xp.Sum(self.Shares.fractionVar) == 1)
# Upper bounds on the investment per share
p.addConstraint(share.fractionVar <= self.MaxPerShare for share_id, share in self.Shares.iterrows())
# Solve optimization problem
p.optimize()
# Save results and key indicator values for GUI display
self.Shares["fraction"] = pd.Series(p.getSolution(), index=self.ShareIds)
self.TotalReturn = p.attributes.objval
# Programmatic logic to compute evaluation metrics for constraints
self.CtrSol = pd.DataFrame(columns=["Activity", "LowerLimit", "UpperLimit"])
self.CtrSol.loc["Limit high risk shares"] = {
"Activity": sum(self.Shares.loc[self.Shares.HighRisk, 'fraction']),
"LowerLimit": 0,
"UpperLimit": self.MaxHighRisk}
self.CtrSol.loc["Limit North-American"] = {
"Activity": sum(self.Shares.loc[self.Shares.NorthAmerica, 'fraction']),
"LowerLimit": self.MinNorthAmerica,
"UpperLimit": 1}
for s in self.ShareIds:
if self.Shares.loc[s, 'fraction'] > 0:
self.CtrSol.loc[f"Limit per value: {s}"] = {
"Activity": self.Shares.loc[s, 'fraction'],
"LowerLimit": 0,
"UpperLimit": self.MaxPerShare}
self.CtrSolIds = self.CtrSol.index
self.CtrSummary = pd.Series()
self.CtrSummary.loc["Largest position"] = max(self.Shares.fraction)
self.CtrSummary.loc["Total high risk shares"] = sum(self.Shares.loc[self.Shares.HighRisk, 'fraction'])
self.CtrSummary.loc["Total North-American"] = sum(self.Shares.loc[self.Shares.NorthAmerica, 'fraction'])
self.CtrSummary.loc["Total return"] = p.attributes.objval
self.CtrSumIds = self.CtrSummary.index
print('Optimization finished.')
if __name__ == "__main__":
app = xi.create_app(InsightApp)
sys.exit(app.call_exec_modes(["LOAD", "RUN"]))
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| folio.vdl |
<!--
Xpress Insight - Portfolio optimization example from 'Getting Started' guide
Copyright (c) 2025 Fair Isaac Corporation. All rights reserved.
-->
<vdl version="5">
<!-- Optional: number formatting function -->
<script>
function formatRender(data) {
return insight.Formatter.formatNumber(data, '0.#%');
}
</script>
<vdl-page class="compact">
<!-- 'vdl' and 'vdl-page' tags must always be present -->
<!-- 'header' element: container for any vdl elements that are not part
of the page layout -->
<vdl-header>
<vdl-action-group name="runModel">
<vdl-action-execute></vdl-action-execute>
</vdl-action-group>
</vdl-header>
<!-- Structural element 'section': print header text for a section -->
<vdl-section heading="Configuration">
<vdl-row>
<vdl-column size="5">
<vdl-form>
<vdl-field label="Maximum investment into high-risk values" size="3" label-size="9" parameter="MaxHighRisk" type="number"></vdl-field>
<vdl-field label="Maximum investment per share" type="number" size="3" label-size="9" parameter="MaxPerShare"></vdl-field>
<vdl-field label="Minimum investment into North-American values" type="number" size="3" label-size="9" parameter="MinNorthAmerica"></vdl-field>
</vdl-form>
</vdl-column>
<vdl-column size="4">
<vdl-table>
<vdl-table-column entity="Shares_Return" editable="true"></vdl-table-column>
</vdl-table>
</vdl-column>
<vdl-column size="3">
<vdl-form>
<!-- 'Run' button to launch optimization -->
<vdl-button vdl-event="click:actions.runModel" label="Run optimization"></vdl-button>
</vdl-form>
</vdl-column>
</vdl-row>
</vdl-section>
<vdl-section heading="Results">
<!-- Display inline text element with objective value -->
<vdl-row>
<vdl-column><span vdl-text="= 'Total expected return: £' +
insight.Formatter.formatNumber(scenario.entities.TotalReturn.value, '##.00')"></span></vdl-column>
</vdl-row>
<vdl-row>
<vdl-column size="4" heading="Portfolio composition">
<vdl-table>
<vdl-table-column entity="Shares_fraction" render="=formatRender"></vdl-table-column>
</vdl-table>
</vdl-column>
<vdl-column size="8" heading="Evaluation of constraints">
<vdl-table>
<vdl-table-column entity="CtrSol_Activity"></vdl-table-column>
<vdl-table-column entity="CtrSol_LowerLimit"></vdl-table-column>
<vdl-table-column entity="CtrSol_UpperLimit"></vdl-table-column>
</vdl-table>
</vdl-column>
</vdl-row>
<vdl-row>
<vdl-column size="4">
<vdl-chart style="width:500px;">
<!-- Filtering out 0-valued entries -->
<script>
function getFracData(frac, shares) {
if (!shares.length || !(frac && frac.toObjectArray && frac.toObjectArray().length)) {
return [];
}
var result = shares
.filter(function(share) {
return frac(share.value).value > 0;
})
.map(function(share) {
return [share.label, frac(share.value).value];
});
return result;
}
</script>
<vdl-chart-series type="pie" data="=getFracData(scenario.entities.Shares_fraction, scenario.entities.ShareIds)"></vdl-chart-series>
<!-- Simple pie chart:-->
<!-- <vdl-chart-series entity="frac" type="pie"></vdl-chart-series>--></vdl-chart>
</vdl-column>
<vdl-column size="8">
<vdl-chart modifier="=function(config) {config.layout.xaxis.tickangle = 5; return config; }" style="width:900px;">
<vdl-chart-series entity="CtrSol_Activity" type="line"></vdl-chart-series>
<vdl-chart-series entity="CtrSol_LowerLimit" type="line"></vdl-chart-series>
<vdl-chart-series entity="CtrSol_UpperLimit" type="line"></vdl-chart-series>
<vdl-chart-axis axis="x" type="category"></vdl-chart-axis>
</vdl-chart>
</vdl-column>
</vdl-row>
</vdl-section>
</vdl-page>
</vdl> |
| foliocompare.vdl |
<!--
Xpress Insight - Portfolio optimization example from 'Getting Started' guide
Copyright (c) 2025 Fair Isaac Corporation. All rights reserved.
-->
<vdl version="5">
<vdl-page> <!-- 'vdl' and 'vdl-page' must always be present -->
<!-- Structural element 'section': print header text for a section -->
<vdl-section heading="Comparison of scenario results">
<vdl-row>
<vdl-column>
<p><span vdl-text="Viewing "></span><span vdl-text="=scenarios.length"></span><span vdl-text=" scenario(s)."></span></p>
</vdl-column>
</vdl-row>
<vdl-row>
<!-- Display the solution values of constraints -->
<vdl-column heading="Constraints and objective" size="6">
<vdl-table>
<!--<vdl-table-column set="CTRS"></vdl-table-column>-->
<vdl-table-column entity="CtrSummary" heading="='Results ' + s.props.name" vdl-repeat="=s,i in scenarios" scenario="=i"></vdl-table-column>
</vdl-table>
</vdl-column>
<!-- Display the 'frac' solution values -->
<vdl-column heading="Portfolio composition" size="6">
<vdl-table>
<vdl-table-column entity="Shares_fraction" heading="=s.props.name" vdl-repeat="=s,i in scenarios" scenario="=i"></vdl-table-column>
</vdl-table>
</vdl-column>
</vdl-row>
<vdl-row>
<!-- Display the objective values in a bar chart -->
<vdl-column heading="Expected total return" size="6">
<vdl-chart>
<vdl-preload entities="TotalReturn" scenarios="all"></vdl-preload>
<script>
function getData(scenarios) {
return scenarios.map(function(s) {
return [s.props().name, s.entities.TotalReturn().value];
});
}
</script>
<vdl-chart-series data="=getData(scenarios)"></vdl-chart-series>
<!-- Alternative formulation using a new array 'TotalReturn'
<vdl-preload entities="TotalReturn" scenarios="all"></vdl-preload>
<script>
function getData(scenarios) {
return scenarios.map(function (s) {
return [s.props().name, s.entities.TotalReturn().value];
});
}
</script>
<vdl-chart-series data="=getData(scenarios)"></vdl-chart-series>
-->
</vdl-chart>
</vdl-column>
</vdl-row>
</vdl-section>
</vdl-page>
</vdl>
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| folioinsightxml.xml |
<?xml version="1.0" encoding="UTF-8"?>
<model-companion xmlns="http://www.fico.com/xpress/optimization-modeler/model-companion" version="5.0">
<client>
<view-group title="Main">
<vdl-view title="Portfolio data" path="folio.vdl" />
<vdl-view title="Scenario comparison" default="false" path="foliocompare.vdl" />
</view-group>
</client>
</model-companion> |
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