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Examples

This section presents examples that illustrate the use of the OPTMODEL procedure to solve quadratic programming problems. Example 12.1 illustrates how to model a linear least-squares problem and solve it by using PROC OPTMODEL. Example 12.2 and Example 12.3 show in detail how to model the portfolio optimization/selection problem.

Example 12.1: Linear Least-Squares Problem

Example 12.2: Portfolio Optimization

Example 12.3: Portfolio Selection with Transactions