Functions
def	get_model_text ()

Variables
	ws = GamsWorkspace(system_directory = sys.argv[1])

	job = ws.add_job_from_string(get_model_text())

	opt = ws.add_options()

	all_model_types

	cp = ws.add_checkpoint()

	mi = cp.add_modelinstance()

	l = mi.sync_db.add_parameter("lambda", 0, "")

list	data_points = []

	value

	min_ret = mi.sync_db["ret"].first_record().level

	max_ret = mi.sync_db["ret"].first_record().level

float	gap = 0.02

list	intervals = [((0.0, min_ret), (1.0, max_ret))]

list	i = intervals.pop()

	min_l

	max_l

tuple	l_val = (min_l+max_l)/2

	cur_ret = mi.sync_db["ret"].first_record().level

	key

	ret = map(lambda x: x[0], data_points)

	var = map(lambda x: x[1], data_points)

	marker

	markersize

Function Documentation

◆ get_model_text()

def markowitz.get_model_text ( )

Definition at line 20 of file markowitz.py.

def get_model_text():
     return '''
 $title Standard Markowitz Portfolio Selection Model
  
 set s selected stocks
     upper(s,s), lower(s,s) parts of covar matrix;
 alias(s,t);
  
 parameter mean(s)    mean of daily return
           covar(s,s) covariance matrix of returns (upper);
  
 $if not set data $abort 'no include file name for data file provided'
 $gdxin %data%
 $load s covar upper lower mean
  
 variables z      objective variable
           ret    return
           var    variance
           x(s)   investments;
  
 positive variables x;
  
 equations obj    objective
           budget
           varcon variance constraint
           retcon return constraint;
  
 scalar lambda /0/;
  
 obj..    z =e= lambda*ret - (1-lambda)*var;
 budget.. sum(s, x(s)) =e= 1.0;
 varcon.. var =e= sum(upper(s,t), x(s)*covar(s,t)*x(t)) +
                  sum(lower(s,t), x(s)*covar(t,s)*x(t));
 retcon.. ret =e= sum(s, mean(s)*x(s));
  
 model markowitz /all/; '''
  

Variable Documentation

◆ all_model_types

markowitz.all_model_types

Definition at line 65 of file markowitz.py.

◆ cp

markowitz.cp = ws.add_checkpoint()

Definition at line 68 of file markowitz.py.

◆ cur_ret

markowitz.cur_ret = mi.sync_db["ret"].first_record().level

Definition at line 107 of file markowitz.py.

◆ data_points

list markowitz.data_points = []

Definition at line 75 of file markowitz.py.

◆ gap

float markowitz.gap = 0.02

Definition at line 88 of file markowitz.py.

◆ i

list markowitz.i = intervals.pop()

Definition at line 98 of file markowitz.py.

◆ intervals

list markowitz.intervals = [((0.0, min_ret), (1.0, max_ret))]

Definition at line 91 of file markowitz.py.

◆ job

markowitz.job = ws.add_job_from_string(get_model_text())

Definition at line 63 of file markowitz.py.

◆ key

markowitz.key

Definition at line 116 of file markowitz.py.

Referenced by transport12.guss_call(), and warehouse.solve_warehouse().

◆ l

markowitz.l = mi.sync_db.add_parameter("lambda", 0, "")

Definition at line 71 of file markowitz.py.

◆ l_val

tuple markowitz.l_val = (min_l+max_l)/2

Definition at line 102 of file markowitz.py.

◆ marker

markowitz.marker

Definition at line 119 of file markowitz.py.

◆ markersize

markowitz.markersize

Definition at line 119 of file markowitz.py.

◆ max_l

markowitz.max_l

Definition at line 100 of file markowitz.py.

◆ max_ret

markowitz.max_ret = mi.sync_db["ret"].first_record().level

Definition at line 84 of file markowitz.py.

◆ mi

markowitz.mi = cp.add_modelinstance()

Definition at line 70 of file markowitz.py.

◆ min_l

markowitz.min_l

Definition at line 99 of file markowitz.py.

◆ min_ret

markowitz.min_ret = mi.sync_db["ret"].first_record().level

Definition at line 80 of file markowitz.py.

◆ opt

markowitz.opt = ws.add_options()

Definition at line 64 of file markowitz.py.

◆ ret

markowitz.ret = map(lambda x: x[0], data_points)

Definition at line 117 of file markowitz.py.

◆ value

markowitz.value

Definition at line 78 of file markowitz.py.

◆ var

markowitz.var = map(lambda x: x[1], data_points)

Definition at line 118 of file markowitz.py.

◆ ws

markowitz.ws = GamsWorkspace(system_directory = sys.argv[1])

Definition at line 59 of file markowitz.py.

Functions

Variables