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Examples: OPTQP Procedure

This section contains examples that illustrate the use of the OPTQP procedure. Example 17.1 illustrates how to model a linear least-squares problem and solve it by using PROC OPTQP. Example 17.2 and Example 17.3 explain in detail how to model the portfolio optimization/selection problem.

Example 17.1: Linear Least-Squares Problem

Example 17.2: Portfolio Optimization

Example 17.3: Portfolio Selection with Transactions