(!******************************************************
   Mosel QP Examples
   =================

   file portf1.mos
   ```````````````
   Portfolio Management.
      
   (c) 2002 Dash Associates
       author: S. Heipcke
 *******************************************************!)

model "Portfolio"

 uses "mmxprs","mmquad","mmetc"

 declarations
  NVAL = 30                      ! Total number of values
  RV = 1..NVAL
  LIMIT = 20                     ! Maximum number to be chosen
  LCOST: array(RV) of real       ! Coeff. of lin. part of the obj.
  QCOST: array(RV,RV) of real    ! Coeff. of quad. part of the obj.
  UBND: array(RV) of real        ! Upper bound values
  
  x: array(RV) of mpvar          ! Amount of value taken into the portfolio
  y: array(RV) of mpvar          ! 1 if value i is chosen, else 0
  Cost: qexp                     ! Objective function
 end-declarations

 diskdata(ETC_SPARSE, "pfubds.dat", UBND)
 diskdata(ETC_SPARSE, "pflcost.dat", LCOST)
 diskdata(ETC_SPARSE, "pfqcost.dat", QCOST)

 Cost:= sum(i in RV) ( LCOST(i)*x(i) + QCOST(i,i)*x(i)^2 +
                       sum(j in i+1..NVAL) QCOST(i,j)*x(i)*x(j) ) 

! Amounts of values chosen must add up to 100% 
 sum(i in RV) x(i) = 100

! Upper limits 
 forall(i in RV) do
  x(i) <= UBND(i)*y(i)
  x(i) <= UBND(i)
  y(i) is_binary
 end-do  
 
! Limit on total number of values
 sum(i in RV) y(i) <= LIMIT

! exportprob(EP_MIN, "portf.lp", Cost)
! exportprob(EP_MPS, "portf.mat", Cost)

 minimize(Cost)

 writeln("Solution: ", getobjval)
 forall(i in RV) 
  if(getsol(y(i))>0) then
   writeln(i, ": ", getsol(x(i)))
  end-if 

end-model