exmpl1-3_portfolioselect.gms
<![CDATA[
* LP written by GAMS Convert at 06/27/07 15:16:32
*
* Equation counts
* Total E G L N X C
* 5 1 0 4 0 0 0
*
* Variable counts
* x b i s1s s2s sc si
* Total cont binary integer sos1 sos2 scont sint
* 6 6 0 0 0 0 0 0
* FX 0 0 0 0 0 0 0 0
*
* Nonzero counts
* Total const NL DLL
* 23 23 0 0
*
* Solve m using LP maximizing objvar;
Variables x1,x2,x3,x4,x5,objvar;
Positive Variables x1,x2,x3,x4,x5;
Equations e1,e2,e3,e4,e5;
e1.. x1 + x2 + x3 + x4 + x5 =L= 10;
e2.. x1 + x5 =L= 3;
e3.. 0.6*x1 + 0.6*x2 - 0.4*x3 - 0.4*x4 + 3.6*x5 =L= 0;
e4.. 4*x1 + 10*x2 - x3 - 2*x4 - 3*x5 =L= 0;
e5.. - 0.086*x1 - 0.054*x2 - 0.05*x3 - 0.044*x4 - 0.09*x5 + objvar =E= 0;
* set non default bounds
* set non default levels
* set non default marginals
Model m / all /;
m.limrow=0; m.limcol=0;
$if NOT '%gams.u1%' == '' $include %gams.u1%
Solve m using LP maximizing objvar;
]]></plaintext></body>