******************************************************* * Mosel QP Examples * ================= * * Origin file portf1.mos * ``````````````` * Portfolio Management. * * (c) 2002 Dash Associates * author: S. Heipcke ******************************************************** * model "Portfolio" * Total number of values $Set NVAL 30 Set RV / r1*r%NVAL% / ; Alias(RV,RV1) ; * Maximum number to be chosen Scalar LIMIT / 20 / * Coeff. of lin. part of the obj. Parameter LCOST[RV] ; LCOST['r1'] = -0.0107349 ; LCOST['r2'] = -0.0166766 ; LCOST['r3'] = 0.0115281 ; LCOST['r4'] = -0.00819545 ; LCOST['r5'] = -0.035116 ; LCOST['r6'] = -0.00998091 ; LCOST['r7'] = -0.00455236 ; LCOST['r8'] = -0.00578094 ; LCOST['r9'] = 0.00041501 ; LCOST['r10']= -0.0103963 ; LCOST['r11']= -0.003963 ; LCOST['r12']= -0.0043625 ; LCOST['r13']= 0.00769314 ; LCOST['r14']= 0.00240079 ; LCOST['r15']= 0.00189343 ; LCOST['r16']= -0.0116143 ; LCOST['r17']= -0.00425423 ; LCOST['r18']= -0.0184772 ; LCOST['r19']= -0.0137747 ; LCOST['r20']= 0.0092521 ; LCOST['r21']= -0.0130919 ; LCOST['r22']= 0.0116464 ; LCOST['r23']= 0.00105153 ; LCOST['r24']= -0.00392904 ; LCOST['r25']= -0.0294909 ; LCOST['r26']= 0.0000983251; LCOST['r27']= -0.000195027 ; LCOST['r28']= -0.00889261 ; LCOST['r29']= -0.00550197 ; LCOST['r30']= 0.000946391 ; * Coeff. of quad. part of the obj. Parameter QCOST[RV,RV1] ; QCOST['r1','r1'] = 0.236475 ; QCOST['r1','r2'] = 0.00544959 ; QCOST['r1','r3'] = -0.0015938 ; QCOST['r1','r4'] = 0.00385949 ; QCOST['r1','r5'] = 0.00998779 ; QCOST['r1','r6'] = 0.0272276 ; QCOST['r1','r7'] = 0.00678626 ; QCOST['r1','r8'] = 0.00812755 ; QCOST['r1','r9'] = 0.00721685 ; QCOST['r1','r10'] = -0.00577065 ; QCOST['r1','r11'] = -0.00438916 ; QCOST['r1','r12'] = 0.000579788 ; QCOST['r1','r13'] = 0.00544991 ; QCOST['r1','r14'] = 0.000948946 ; QCOST['r1','r15'] = 0.00120301 ; QCOST['r1','r16'] = 0.00196386 ; QCOST['r1','r17'] = -0.0000292893; QCOST['r1','r18'] = 0.00606698 ; QCOST['r1','r19'] = 0.0171756 ; QCOST['r1','r20'] = 0.00857961 ; QCOST['r1','r21'] = 0.01653 ; QCOST['r1','r22'] = -0.000416145 ; QCOST['r1','r23'] = 0.00273993 ; QCOST['r1','r24'] = -0.00663182 ; QCOST['r1','r25'] = 0.00122421 ; QCOST['r1','r26'] = 0.00563303 ; QCOST['r1','r27'] = 0.00260822 ; QCOST['r1','r28'] = -0.00296743 ; QCOST['r1','r29'] = -0.00839848 ; QCOST['r1','r30'] = -0.00109581 ; QCOST['r2','r2'] = 0.0517845 ; QCOST['r2','r3'] = 0.00253126 ; QCOST['r2','r4'] = 0.00954259 ; QCOST['r2','r5'] = -0.000442303 ; QCOST['r2','r6'] = 0.00477891 ; QCOST['r2','r7'] = 0.000914074 ; QCOST['r2','r8'] = 0.00173405 ; QCOST['r2','r9'] = -0.00131021 ; QCOST['r2','r10'] = 0.00621714 ; QCOST['r2','r11'] = 0.00208502 ; QCOST['r2','r12'] = 0.0026556 ; QCOST['r2','r13'] = 0.00251188 ; QCOST['r2','r14'] = 0.000906543 ; QCOST['r2','r15'] = -0.000643062 ; QCOST['r2','r16'] = 0.00381154 ; QCOST['r2','r17'] = 0.0000733602; QCOST['r2','r18'] = 0.00313963 ; QCOST['r2','r19'] = 0.0020433 ; QCOST['r2','r20'] = -0.0000637777; QCOST['r2','r21'] = -0.0029619 ; QCOST['r2','r22'] = 0.00140341 ; QCOST['r2','r23'] = -0.000218917 ; QCOST['r2','r24'] = 0.00664863 ; QCOST['r2','r25'] = -0.00606271 ; QCOST['r2','r26'] = 0.000119431 ; QCOST['r2','r27'] = 0.00125863 ; QCOST['r2','r28'] = -0.00203463 ; QCOST['r2','r29'] = -0.00344363 ; QCOST['r2','r30'] = 0.00406614 ; QCOST['r3','r3'] = 0.0444054 ; QCOST['r3','r4'] = 0.00125664 ; QCOST['r3','r5'] = -0.00563838 ; QCOST['r3','r6'] = 0.00126228 ; QCOST['r3','r7'] = -0.0035819 ; QCOST['r3','r8'] = -0.00686847 ; QCOST['r3','r9'] = 0.00155998 ; QCOST['r3','r10'] = 0.00350724 ; QCOST['r3','r11'] = 0.00302103 ; QCOST['r3','r12'] = -0.000955364 ; QCOST['r3','r13'] = -0.000202571 ; QCOST['r3','r14'] = 0.00105226 ; QCOST['r3','r15'] = -0.00136965 ; QCOST['r3','r16'] = -0.000915062 ; QCOST['r3','r17'] = 0.00080061 ; QCOST['r3','r18'] = 0.00438 ; QCOST['r3','r19'] = 0.000820906 ; QCOST['r3','r20'] = -0.002119 ; QCOST['r3','r21'] = -0.00354206 ; QCOST['r3','r22'] = 0.000091182 ; QCOST['r3','r23'] = -0.000509974 ; QCOST['r3','r24'] = 0.00130856 ; QCOST['r3','r25'] = 0.000684495 ; QCOST['r3','r26'] = -0.000606097 ; QCOST['r3','r27'] = 0.000875474 ; QCOST['r3','r28'] = -0.00167704 ; QCOST['r3','r29'] = -0.00203656 ; QCOST['r3','r30'] = -0.00189238 ; QCOST['r4','r4'] = 0.0291515 ; QCOST['r4','r5'] = 0.0083994 ; QCOST['r4','r6'] = 0.00604535 ; QCOST['r4','r7'] = 0.00159876 ; QCOST['r4','r8'] = 0.000226675 ; QCOST['r4','r9'] = -0.00000672605; QCOST['r4','r10'] = 0.00468009 ; QCOST['r4','r11'] = -0.000997633 ; QCOST['r4','r12'] = -0.00149751 ; QCOST['r4','r13'] = -0.0024307 ; QCOST['r4','r14'] = -0.000590726 ; QCOST['r4','r15'] = 0.00102328 ; QCOST['r4','r16'] = 0.00439125 ; QCOST['r4','r17'] = 0.00144483 ; QCOST['r4','r18'] = 0.00570689 ; QCOST['r4','r19'] = 0.0026257 ; QCOST['r4','r20'] = 0.00115539 ; QCOST['r4','r21'] = -0.00148213 ; QCOST['r4','r22'] = -0.000403109 ; QCOST['r4','r23'] = -0.000321132 ; QCOST['r4','r24'] = 0.00644091 ; QCOST['r4','r25'] = 0.000293312 ; QCOST['r4','r26'] = 0.00142982 ; QCOST['r4','r27'] = 0.000445827 ; QCOST['r4','r28'] = -0.00305771 ; QCOST['r4','r29'] = -0.00227687 ; QCOST['r4','r30'] = 0.00393261 ; QCOST['r5','r5'] = 0.103515 ; QCOST['r5','r6'] = 0.0128569 ; QCOST['r5','r7'] = 0.00604964 ; QCOST['r5','r8'] = 0.00484167 ; QCOST['r5','r9'] = 0.00404744 ; QCOST['r5','r10'] = 0.00523736 ; QCOST['r5','r11'] = 0.00613228 ; QCOST['r5','r12'] = 0.00303305 ; QCOST['r5','r13'] = -0.00416038 ; QCOST['r5','r14'] = 0.00206946 ; QCOST['r5','r15'] = 0.0102645 ; QCOST['r5','r16'] = 0.0284519 ; QCOST['r5','r17'] = 0.00392357 ; QCOST['r5','r18'] = 0.024965 ; QCOST['r5','r19'] = 0.0150469 ; QCOST['r5','r20'] = 0.00836841 ; QCOST['r5','r21'] = 0.000431411 ; QCOST['r5','r22'] = 0.00793669 ; QCOST['r5','r23'] = 0.00272943 ; QCOST['r5','r24'] = 0.00712863 ; QCOST['r5','r25'] = 0.00403823 ; QCOST['r5','r26'] = 0.00256886 ; QCOST['r5','r27'] = 0.00217576 ; QCOST['r5','r28'] = 0.00502332 ; QCOST['r5','r29'] = -0.000316213 ; QCOST['r5','r30'] = 0.000107124 ; QCOST['r6','r6'] = 0.028317 ; QCOST['r6','r7'] = 0.00525451 ; QCOST['r6','r8'] = 0.00374616 ; QCOST['r6','r9'] = 0.00168214 ; QCOST['r6','r10'] = 0.00284142 ; QCOST['r6','r11'] = 0.00328182 ; QCOST['r6','r12'] = -0.000143434 ; QCOST['r6','r13'] = -0.00186804 ; QCOST['r6','r14'] = 0.000944349 ; QCOST['r6','r15'] = 0.00123509 ; QCOST['r6','r16'] = 0.00613963 ; QCOST['r6','r17'] = 0.00142481 ; QCOST['r6','r18'] = 0.0177393 ; QCOST['r6','r19'] = 0.00993464 ; QCOST['r6','r20'] = 0.00266746 ; QCOST['r6','r21'] = 0.00143482 ; QCOST['r6','r22'] = 0.00213595 ; QCOST['r6','r23'] = 0.000486056 ; QCOST['r6','r24'] = 0.0101648 ; QCOST['r6','r25'] = 0.00018091 ; QCOST['r6','r26'] = 0.00289631 ; QCOST['r6','r27'] = 0.00382865 ; QCOST['r6','r28'] = 0.00207596 ; QCOST['r6','r29'] = -0.00563002 ; QCOST['r6','r30'] = -0.000366799 ; QCOST['r7','r7'] = 0.0301226 ; QCOST['r7','r8'] = 0.00350901 ; QCOST['r7','r9'] = 0.000321882 ; QCOST['r7','r10'] = 0.00546529 ; QCOST['r7','r11'] = 0.00177331 ; QCOST['r7','r12'] = 0.000531306 ; QCOST['r7','r13'] = 0.000329739 ; QCOST['r7','r14'] = 0.000755232 ; QCOST['r7','r15'] = -0.000123884 ; QCOST['r7','r16'] = 0.00450664 ; QCOST['r7','r17'] = 0.00219229 ; QCOST['r7','r18'] = -0.00200455 ; QCOST['r7','r19'] = 0.00651742 ; QCOST['r7','r20'] = 0.0046853 ; QCOST['r7','r21'] = 0.0016103 ; QCOST['r7','r22'] = 0.000606873 ; QCOST['r7','r23'] = 0.00162265 ; QCOST['r7','r24'] = -0.000966698 ; QCOST['r7','r25'] = -0.000140822 ; QCOST['r7','r26'] = 0.00105496 ; QCOST['r7','r27'] = 0.000480689 ; QCOST['r7','r28'] = 0.00160129 ; QCOST['r7','r29'] = 0.000619142 ; QCOST['r7','r30'] = 0.000744012 ; QCOST['r8','r8'] = 0.017741 ; QCOST['r8','r9'] = 0.000579612 ; QCOST['r8','r10'] = -0.00085981 ; QCOST['r8','r11'] = -0.000955661 ; QCOST['r8','r12'] = -0.000505322 ; QCOST['r8','r13'] = 0.0014132 ; QCOST['r8','r14'] = 0.0000248659; QCOST['r8','r15'] = -0.000671757 ; QCOST['r8','r16'] = 0.0036867 ; QCOST['r8','r17'] = 0.00144337 ; QCOST['r8','r18'] = 0.00693608 ; QCOST['r8','r19'] = 0.00371885 ; QCOST['r8','r20'] = 0.00101417 ; QCOST['r8','r21'] = 0.00172974 ; QCOST['r8','r22'] = 0.00194226 ; QCOST['r8','r23'] = 0.00103851 ; QCOST['r8','r24'] = 0.00456858 ; QCOST['r8','r25'] = 0.00209789 ; QCOST['r8','r26'] = 0.0029937 ; QCOST['r8','r27'] = 0.0000320765; QCOST['r8','r28'] = 0.000583955 ; QCOST['r8','r29'] = -0.00756808 ; QCOST['r8','r30'] = -0.00236377 ; QCOST['r9','r9'] = 0.0164841 ; QCOST['r9','r10'] = -0.000181563 ; QCOST['r9','r11'] = -0.00132336 ; QCOST['r9','r12'] = 0.000854082 ; QCOST['r9','r13'] = 0.000748549 ; QCOST['r9','r14'] = 0.00131231 ; QCOST['r9','r15'] = 0.00026936 ; QCOST['r9','r16'] = 0.000403297 ; QCOST['r9','r17'] = 0.00360996 ; QCOST['r9','r18'] = 0.0064885 ; QCOST['r9','r19'] = 0.00219873 ; QCOST['r9','r20'] = 0.00215557 ; QCOST['r9','r21'] = -0.000447774 ; QCOST['r9','r22'] = -0.000397157 ; QCOST['r9','r23'] = 0.000326919 ; QCOST['r9','r24'] = 0.00343489 ; QCOST['r9','r25'] = 0.00283286 ; QCOST['r9','r26'] = 0.000402049 ; QCOST['r9','r27'] = 0.000832728 ; QCOST['r9','r28'] = 0.000379563 ; QCOST['r9','r29'] = 0.00473798 ; QCOST['r9','r30'] = -0.000198599 ; QCOST['r10','r10'] = 0.0340876 ; QCOST['r10','r11'] = 0.00000733691; QCOST['r10','r12'] = -0.000591344 ; QCOST['r10','r13'] = -0.000187349 ; QCOST['r10','r14'] = 0.00103895 ; QCOST['r10','r15'] = -0.00112531 ; QCOST['r10','r16'] = 0.00112036 ; QCOST['r10','r17'] = 0.0021299 ; QCOST['r10','r18'] = -0.00407292 ; QCOST['r10','r19'] = 0.000791014 ; QCOST['r10','r20'] = -0.000582485 ; QCOST['r10','r21'] = 0.00455429 ; QCOST['r10','r22'] = 0.00428857 ; QCOST['r10','r23'] = 0.000609382 ; QCOST['r10','r24'] = 0.0060331 ; QCOST['r10','r25'] = -0.00144271 ; QCOST['r10','r26'] = 0.00202185 ; QCOST['r10','r27'] = 0.000293159 ; QCOST['r10','r28'] = -0.00114721 ; QCOST['r10','r29'] = 0.0000443534; QCOST['r10','r30'] = 0.00237135 ; QCOST['r11','r11'] = 0.0180597 ; QCOST['r11','r12'] = 0.000235298 ; QCOST['r11','r13'] = -0.00282883 ; QCOST['r11','r14'] = 0.000598103 ; QCOST['r11','r15'] = 0.00116408 ; QCOST['r11','r16'] = -0.000107248 ; QCOST['r11','r17'] = -0.00103619 ; QCOST['r11','r18'] = -0.00407551 ; QCOST['r11','r19'] = 0.00110385 ; QCOST['r11','r20'] = -0.00136891 ; QCOST['r11','r21'] = -0.00108626 ; QCOST['r11','r22'] = 0.00226889 ; QCOST['r11','r23'] = 0.000374374 ; QCOST['r11','r24'] = -0.00120594 ; QCOST['r11','r25'] = -0.0000987068; QCOST['r11','r26'] = 0.00115986 ; QCOST['r11','r27'] = 0.000744447 ; QCOST['r11','r28'] = -0.000282603 ; QCOST['r11','r29'] = 0.00219711 ; QCOST['r11','r30'] = 0.00222832 ; QCOST['r12','r12'] = 0.0133229 ; QCOST['r12','r13'] = -0.0000994057; QCOST['r12','r14'] = -0.000645447 ; QCOST['r12','r15'] = 0.000172304 ; QCOST['r12','r16'] = 0.000994781 ; QCOST['r12','r17'] = -0.000391554 ; QCOST['r12','r18'] = -0.00193678 ; QCOST['r12','r19'] = 0.00270901 ; QCOST['r12','r20'] = 0.00299088 ; QCOST['r12','r21'] = 0.00153043 ; QCOST['r12','r22'] = 0.000126212 ; QCOST['r12','r23'] = -0.0000838202; QCOST['r12','r24'] = -0.00161802 ; QCOST['r12','r25'] = -0.00170556 ; QCOST['r12','r26'] = -0.0004278 ; QCOST['r12','r27'] = 0.0000682762; QCOST['r12','r28'] = -0.00000993458; QCOST['r12','r29'] = -0.0000407196; QCOST['r12','r30'] = -0.0000547333; QCOST['r13','r13'] = 0.0222961 ; QCOST['r13','r14'] = 0.00118185 ; QCOST['r13','r15'] = -0.000905727 ; QCOST['r13','r16'] = -0.0000285897; QCOST['r13','r17'] = 0.000847404 ; QCOST['r13','r18'] = -0.00189592 ; QCOST['r13','r19'] = -0.000442173 ; QCOST['r13','r20'] = 0.000199973 ; QCOST['r13','r21'] = 0.00277389 ; QCOST['r13','r22'] = 0.0012039 ; QCOST['r13','r23'] = 0.0000923215; QCOST['r13','r24'] = 0.00143368 ; QCOST['r13','r25'] = -0.000403862 ; QCOST['r13','r26'] = 0.000625699 ; QCOST['r13','r27'] = -0.000377629 ; QCOST['r13','r28'] = 0.000760751 ; QCOST['r13','r29'] = -0.00108867 ; QCOST['r13','r30'] = -0.00251413 ; QCOST['r14','r14'] = 0.0112684 ; QCOST['r14','r15'] = -0.000389168 ; QCOST['r14','r16'] = 0.00150449 ; QCOST['r14','r17'] = 0.00161708 ; QCOST['r14','r18'] = 0.00305877 ; QCOST['r14','r19'] = 0.00213183 ; QCOST['r14','r20'] = 0.0000151212; QCOST['r14','r21'] = -0.000454376 ; QCOST['r14','r22'] = 0.000087176 ; QCOST['r14','r23'] = 0.000078824 ; QCOST['r14','r24'] = 0.00587919 ; QCOST['r14','r25'] = 0.00323779 ; QCOST['r14','r26'] = 0.000896134 ; QCOST['r14','r27'] = -0.0000400425; QCOST['r14','r28'] = -0.00014763 ; QCOST['r14','r29'] = 0.00345623 ; QCOST['r14','r30'] = -0.000627914 ; QCOST['r15','r15'] = 0.00908971 ; QCOST['r15','r16'] = 0.00180873 ; QCOST['r15','r17'] = -0.000549469 ; QCOST['r15','r18'] = -0.00178818 ; QCOST['r15','r19'] = 0.00170504 ; QCOST['r15','r20'] = 0.00105685 ; QCOST['r15','r21'] = -0.00077655 ; QCOST['r15','r22'] = 0.000417455 ; QCOST['r15','r23'] = -0.0000590117; QCOST['r15','r24'] = -0.00039651 ; QCOST['r15','r25'] = -0.000123953 ; QCOST['r15','r26'] = -0.000620681 ; QCOST['r15','r27'] = -0.0000596117; QCOST['r15','r28'] = 0.00262604 ; QCOST['r15','r29'] = -0.000676033 ; QCOST['r15','r30'] = -0.000589348 ; QCOST['r16','r16'] = 0.0487416 ; QCOST['r16','r17'] = 0.00377471 ; QCOST['r16','r18'] = 0.0179175 ; QCOST['r16','r19'] = 0.00759402 ; QCOST['r16','r20'] = 0.0035489 ; QCOST['r16','r21'] = 0.00126008 ; QCOST['r16','r22'] = 0.00436067 ; QCOST['r16','r23'] = 0.00122413 ; QCOST['r16','r24'] = 0.000893908 ; QCOST['r16','r25'] = 0.0019956 ; QCOST['r16','r26'] = -0.0000184544; QCOST['r16','r27'] = 0.00477747 ; QCOST['r16','r28'] = -0.00361283 ; QCOST['r16','r29'] = -0.00283427 ; QCOST['r16','r30'] = -0.00126415 ; QCOST['r17','r17'] = 0.0081566 ; QCOST['r17','r18'] = 0.0038504 ; QCOST['r17','r19'] = 0.00183483 ; QCOST['r17','r20'] = -0.000309999 ; QCOST['r17','r21'] = 0.00213784 ; QCOST['r17','r22'] = 0.000718204 ; QCOST['r17','r23'] = 0.00100328 ; QCOST['r17','r24'] = 0.00302632 ; QCOST['r17','r25'] = 0.00115021 ; QCOST['r17','r26'] = 0.00105239 ; QCOST['r17','r27'] = 0.000620865 ; QCOST['r17','r28'] = -0.000298084 ; QCOST['r17','r29'] = 0.00114622 ; QCOST['r17','r30'] = 0.000241247 ; QCOST['r18','r18'] = 0.147637 ; QCOST['r18','r19'] = 0.0134744 ; QCOST['r18','r20'] = 0.00837399 ; QCOST['r18','r21'] = -0.00186619 ; QCOST['r18','r22'] = 0.0119045 ; QCOST['r18','r23'] = 0.000493323 ; QCOST['r18','r24'] = 0.0165146 ; QCOST['r18','r25'] = 0.00503409 ; QCOST['r18','r26'] = 0.00249401 ; QCOST['r18','r27'] = 0.00628627 ; QCOST['r18','r28'] = 0.00161623 ; QCOST['r18','r29'] = -0.00658964 ; QCOST['r18','r30'] = 0.000954727 ; QCOST['r19','r19'] = 0.0203434 ; QCOST['r19','r20'] = 0.00548736 ; QCOST['r19','r21'] = 0.00132499 ; QCOST['r19','r22'] = 0.00504226 ; QCOST['r19','r23'] = 0.0015643 ; QCOST['r19','r24'] = 0.00630398 ; QCOST['r19','r25'] = 0.00185118 ; QCOST['r19','r26'] = 0.0011596 ; QCOST['r19','r27'] = 0.00188612 ; QCOST['r19','r28'] = 0.00133663 ; QCOST['r19','r29'] = -0.000314744 ; QCOST['r19','r30'] = 0.000651858 ; QCOST['r20','r20'] = 0.017495 ; QCOST['r20','r21'] = 0.000530339 ; QCOST['r20','r22'] = 0.00324318 ; QCOST['r20','r23'] = 0.000747204 ; QCOST['r20','r24'] = -0.000381942 ; QCOST['r20','r25'] = 0.000351689 ; QCOST['r20','r26'] = -0.000241934 ; QCOST['r20','r27'] = -0.00008912 ; QCOST['r20','r28'] = 0.00201551 ; QCOST['r20','r29'] = 0.000501564 ; QCOST['r20','r30'] = 0.00133053 ; QCOST['r21','r21'] = 0.0404691 ; QCOST['r21','r22'] = 0.00248399 ; QCOST['r21','r23'] = 0.000720612 ; QCOST['r21','r24'] = -0.000926154 ; QCOST['r21','r25'] = 0.00329615 ; QCOST['r21','r26'] = 0.00322232 ; QCOST['r21','r27'] = 0.0017116 ; QCOST['r21','r28'] = -0.000313065 ; QCOST['r21','r29'] = 0.00271657 ; QCOST['r21','r30'] = -0.00053437 ; QCOST['r22','r22'] = 0.0361155 ; QCOST['r22','r23'] = 0.000574416 ; QCOST['r22','r24'] = 0.00131707 ; QCOST['r22','r25'] = -0.00255421 ; QCOST['r22','r26'] = 0.00252785 ; QCOST['r22','r27'] = 0.000639422 ; QCOST['r22','r28'] = 0.00193451 ; QCOST['r22','r29'] = -0.00303096 ; QCOST['r22','r30'] = 0.000341376 ; QCOST['r23','r23'] = 0.00335396 ; QCOST['r23','r24'] = 0.00116067 ; QCOST['r23','r25'] = -0.000154031 ; QCOST['r23','r26'] = 0.000305439 ; QCOST['r23','r27'] = 0.000942904 ; QCOST['r23','r28'] = 0.000121357 ; QCOST['r23','r29'] = 0.00406408 ; QCOST['r23','r30'] = 0.00125492 ; QCOST['r24','r24'] = 0.0576225 ; QCOST['r24','r25'] = 0.00212893 ; QCOST['r24','r26'] = 0.00364513 ; QCOST['r24','r27'] = 0.00184922 ; QCOST['r24','r28'] = -0.00316046 ; QCOST['r24','r29'] = -0.001494 ; QCOST['r24','r30'] = -0.00224683 ; QCOST['r25','r25'] = 0.0233173 ; QCOST['r25','r26'] = 0.00191716 ; QCOST['r25','r27'] = -0.00038703 ; QCOST['r25','r28'] = 0.00195559 ; QCOST['r25','r29'] = 0.00195705 ; QCOST['r25','r30'] = 0.00292372 ; QCOST['r26','r26'] = 0.0146922 ; QCOST['r26','r27'] = 0.000761893 ; QCOST['r26','r28'] = -0.0000885721; QCOST['r26','r29'] = -0.00532767 ; QCOST['r26','r30'] = -0.0027264 ; QCOST['r27','r27'] = 0.00942803 ; QCOST['r27','r28'] = -0.000268703 ; QCOST['r27','r29'] = 0.00210038 ; QCOST['r27','r30'] = 0.000405299 ; QCOST['r28','r28'] = 0.0330225 ; QCOST['r28','r29'] = -0.00193476 ; QCOST['r28','r30'] = -0.00272108 ; QCOST['r29','r29'] = 0.0572842 ; QCOST['r29','r30'] = 0.00648998 ; QCOST['r30','r30'] = 0.0234047 ; * Upper bound values Parameter UBND[RV] ; UBND['r1'] = 2.6479 ; UBND['r2'] = 1.46792 ; UBND['r3'] = 3.70155 ; UBND['r4'] = 4.39806 ; UBND['r5'] = 18.0007 ; UBND['r6'] = 4.46345 ; UBND['r7'] = 3.62063 ; UBND['r8'] = 5.76717 ; UBND['r9'] = 3.38103 ; UBND['r10']= 5.06886 ; UBND['r11']= 6.37065 ; UBND['r12']= 7.94275 ; UBND['r13']= 8.46357 ; UBND['r14']= 6.00477 ; UBND['r15']= 5.41189 ; UBND['r16']= 10.341 ; UBND['r17']= 11.9197 ; UBND['r18']= 4.36639 ; UBND['r19']= 4.47591 ; UBND['r20']= 4.17524 ; UBND['r21']= 4.05525 ; UBND['r22']= 9.93855 ; UBND['r23']= 6.96074 ; UBND['r24']= 4.94284 ; UBND['r25']= 5.02139 ; UBND['r26']= 15.9235 ; UBND['r27']= 8.67996 ; UBND['r28']= 6.71982 ; UBND['r29']= 16.6752 ; UBND['r30']= 25.2825 ; Binary Variable y[RV] ; * 1 if value i is chosen, else 0 Variable * Amount of value taken into the portfolio x[RV] , * Objective function Cost ; Equation Eq_1 , Eq_2 , Eq_3(RV), Def_Obj ; * Amounts of values chosen must add up to 100% Eq_1.. Sum{RV, x[RV] } =e= 100 ; * Limit on total number of values Eq_2.. Sum{RV, y[RV] } =l= LIMIT ; Eq_3(RV).. x[RV] =l= UBND[RV]*y[RV] ; Def_Obj.. Cost =e= Sum{ RV, ( LCOST[RV]*x[RV] + QCOST(RV,RV)*x[RV]*x[RV] + Sum{RV1$(ord(RV1) ge ord(RV)+1), QCOST[RV,RV1]*x[RV]*x[RV1]} ) }; * Upper limits x.lo[RV] = 0 ; x.up[RV] = UBND[RV] ; * Solve the MIP-problem Model Portfolio / all / ; Solve Portfolio using MIQCP minimazing Cost ; Display Cost.l ;