Portfolio Optimization (qpsole02)
/***************************************************************/
/* */
/* S A S S A M P L E L I B R A R Y */
/* */
/* NAME: qpsole02 */
/* TITLE: Portfolio Optimization (qpsole02) */
/* PRODUCT: OR */
/* SYSTEM: ALL */
/* KEYS: OR */
/* PROCS: OPTMODEL */
/* DATA: */
/* */
/* SUPPORT: UPDATE: */
/* REF: */
/* MISC: Example 2 from the Quadratic Programming Solver */
/* chapter of Mathematical Programming. */
/* */
/***************************************************************/
/* example 2: portfolio optimization */
proc optmodel;
/* let x1, x2, x3, x4 be the amount invested in each asset */
var x{1..4} >= 0;
num coeff{1..4, 1..4} = [0.08 -.05 -.05 -.05
-.05 0.16 -.02 -.02
-.05 -.02 0.35 0.06
-.05 -.02 0.06 0.35];
num r{1..4}=[0.05 -.20 0.15 0.30];
/* minimize the variance of the portfolio's total return */
minimize f = sum{i in 1..4, j in 1..4}coeff[i,j]*x[i]*x[j];
/* subject to the following constraints */
con BUDGET: sum{i in 1..4}x[i] <= 10000;
con GROWTH: sum{i in 1..4}r[i]*x[i] >= 1000;
solve with qp;
/* print the optimal solution */
print x;
/* example 2: portfolio optimization with short-sale option */
/* dropping nonnegativity assumption */
for {i in 1..4} x[i].lb=-x[i].ub;
solve with qp;
/* print the optimal solution */
print x;
quit;
