Portfolio Optimization (optqpe02)

/***************************************************************/
/*                                                             */
/*          S A S   S A M P L E   L I B R A R Y                */
/*                                                             */
/*    NAME: optqpe02                                           */
/*   TITLE: Portfolio Optimization (optqpe02)                  */
/* PRODUCT: OR                                                 */
/*  SYSTEM: ALL                                                */
/*    KEYS: OR                                                 */
/*   PROCS: OPTQP                                              */
/*    DATA:                                                    */
/*                                                             */
/* SUPPORT:                             UPDATE:                */
/*     REF:                                                    */
/*    MISC: Example 2 from the OPTQP chapter of                */
/*          Mathematical Programming.                          */
/*                                                             */
/***************************************************************/


data portdata;
   input field1 $ field2 $ field3 $ field4 field5 $ field6 @;
datalines;
NAME  .         PORT     .          .         .
ROWS  .         .        .          .         .
N     OBJ.FUNC  .        .          .         .
L     BUDGET    .        .          .         .
G     GROWTH    .        .          .         .
COLUMNS .       .        .          .         .
.     X1        BUDGET   1.0        GROWTH    0.05
.     X2        BUDGET   1.0        GROWTH    -.20
.     X3        BUDGET   1.0        GROWTH    0.15
.     X4        BUDGET   1.0        GROWTH    0.30
RHS   .         .        .          .         .
.     RHS       BUDGET   10000      .         .
.     RHS       GROWTH   1000       .         .
RANGES .        .        .          .         .
BOUNDS .        .        .          .         .
QUADOBJ .        .       .           .        .
.     X1        X1       0.16       .         .
.     X1        X2       -.10       .         .
.     X1        X3       -.10       .         .
.     X1        X4       -.10       .         .
.     X2        X2       0.32       .         .
.     X2        X3       -.04       .         .
.     X2        X4       -.04       .         .
.     X3        X3       0.70       .         .
.     X3        X4       0.12       .         .
.     X4        X4       0.70       .         .
ENDATA .        .        .          .         .
;



title1 'The OPTQP Procedure';
proc optqp data=portdata
  primalout = portpout
  printlevel = 0
  dualout   = portdout;
run;


title2 'Primal Solution';
proc print data=portpout label;
run;


data possdata;
   input field1 $ field2 $ field3 $ field4 field5 $ field6 @;
datalines;
NAME    .         PORTSS   .          .         .
ROWS    .         .        .          .         .
N       OBJ.FUNC  .        .          .         .
L       R1        .        .          .         .
G       R2        .        .          .         .
COLUMNS .         .        .          .         .
.       X1        R1       1.0        R2        0.05
.       X2        R1       1.0        R2        -.20
.       X3        R1       1.0        R2        0.15
.       X4        R1       1.0        R2        0.30
RHS     .         .        .          .         .
.       RHS       R1       10000      .         .
.       RHS       R2       1000       .         .
RANGES  .         .        .          .         .
BOUNDS  .         .        .          .         .
FR      BND1      X1       .          .         .
FR      BND1      X2       .          .         .
FR      BND1      X3       .          .         .
FR      BND1      X4       .          .         .
QUADOBJ .         .        .          .         .
.       X1        X1       0.16       .         .
.       X1        X2       -.10       .         .
.       X1        X3       -.10       .         .
.       X1        X4       -.10       .         .
.       X2        X2       0.32       .         .
.       X2        X3       -.04       .         .
.       X2        X4       -.04       .         .
.       X3        X3       0.70       .         .
.       X3        X4       0.12       .         .
.       X4        X4       0.70       .         .
ENDATA  .         .        .          .         .
;


title1 'The OPTQP Procedure';
proc optqp data=possdata
   primalout = posspout
   printlevel = 0
   dualout   = possdout;
run;

title2 'Primal Solution';
proc print data=posspout label;
run;