Portfolio Selection

    {  Exmpl13.3-1_PortfolioSelection.mpl  }

    {  Applications of Optimization with Xpress-MP  }

    {  Chapter 13.2, Portfolio Selection,  Size: 3x6,  Page 270 }


TITLE
    PortfolioSelection;

INDEX
    share := 1..6;
    tech[share] := (1,2,3);
    eu[share] := (4,5,6);

DATA
    Maxtech := 0.3;
    MinEu := 0.5;
    Vmin := 5000;
    Vmax := 40000;
    Ret[share] := (5.3%,6.2%,5.1%,4.9%,6.5%,3.4%);
    Capital := 100000;

VARIABLE
    Buy[share];

MODEL

    MAX Return = SUM(share: Buy * Ret);

SUBJECT TO

    TechCompositionRequirement -> TREQ:
        SUM(share IN tech: Buy) <= Maxtech * Capital;

    EuCompositionRequirement -> EREQ:
        SUM(share IN eu: Buy) >= MinEu * Capital;

    TotalCapitalInvest -> TINV:
        SUM(share: Buy) = Capital;

BOUNDS
    Buy >= Vmin;
    Buy <= Vmax;

END