Skip to content

Commit bffc675

Browse files
mabdullahsoyturkmabdullahsoyturk
committed
update MeanVarMip
1 parent ed7a519 commit bffc675

File tree

1 file changed

+15
-39
lines changed

1 file changed

+15
-39
lines changed

‎models/MeanVarMip/MeanVarMip.py‎

Lines changed: 15 additions & 39 deletions
Original file line numberDiff line numberDiff line change
@@ -78,9 +78,7 @@ def main():
7878
domain=i,
7979
description="Indicator variable for assets included in the portfolio",
8080
)
81-
PortVariance = Variable(
82-
m, name="PortVariance", description="Portfolio variance"
83-
)
81+
PortVariance = Variable(m, name="PortVariance", description="Portfolio variance")
8482
PortReturn = Variable(m, name="PortReturn", description="Portfolio return")
8583

8684
# In case short sales are allowed these bounds must be set properly.
@@ -168,10 +166,8 @@ def main():
168166
if lamda_loop > 1:
169167
break
170168
lamda[...] = lamda_loop
171-
MeanVarMip.solve(
172-
options=Options(minlp="SHOT", relative_optimality_gap=0)
173-
)
174-
MeanVarianceMIP += f"{round(lamda_loop,1)},{round(MeanVarMip.objective_value,4)},{round(PortVariance.records.level[0],4)},{round(PortReturn.records.level[0],4)},"
169+
MeanVarMip.solve(solver="SHOT", options=Options(relative_optimality_gap=0))
170+
MeanVarianceMIP += f"{(lamda_loop)},{round(MeanVarMip.objective_value, 4)},{round(PortVariance.records.level[0], 4)},{round(PortReturn.records.level[0], 4)},"
175171
x_recs = [str(round(x_rec, 4)) for x_rec in x.records.level.tolist()]
176172
MeanVarianceMIP += ",".join(x_recs)
177173
MeanVarianceMIP += "\n"
@@ -277,23 +273,15 @@ def main():
277273
if lamda_loop > 1:
278274
break
279275
lamda[...] = lamda_loop
280-
MeanVarWithCost.solve(
281-
options=Options(minlp="SHOT", relative_optimality_gap=0)
282-
)
283-
MeanVarianceWithCost += f"{round(lamda_loop,1)},{round(MeanVarWithCost.objective_value,4)},{round(PortVariance.records.level[0],4)},{round(PortReturn.records.level[0],4)},"
284-
x0_recs = [
285-
str(round(x_rec, 4)) for x_rec in x_0.records.level.tolist()
286-
]
287-
x1_recs = [
288-
str(round(x_rec, 4)) for x_rec in x_1.records.level.tolist()
289-
]
276+
MeanVarWithCost.solve(solver="SHOT", options=Options(relative_optimality_gap=0))
277+
MeanVarianceWithCost += f"{round(lamda_loop, 1)},{round(MeanVarWithCost.objective_value, 4)},{round(PortVariance.records.level[0], 4)},{round(PortReturn.records.level[0], 4)},"
278+
x0_recs = [str(round(x_rec, 4)) for x_rec in x_0.records.level.tolist()]
279+
x1_recs = [str(round(x_rec, 4)) for x_rec in x_1.records.level.tolist()]
290280
MeanVarianceWithCost += ",".join(x0_recs) + ","
291281
MeanVarianceWithCost += ",".join(x1_recs) + "\n"
292282
lamda_loop += 0.1
293283

294-
with open(
295-
"MeanVarianceWithCost.csv", "w", encoding="UTF-8"
296-
) as FrontierHandleTwo:
284+
with open("MeanVarianceWithCost.csv", "w", encoding="UTF-8") as FrontierHandleTwo:
297285
FrontierHandleTwo.write(MeanVarianceWithCost)
298286

299287
# ***** Portfolio Revision *****
@@ -304,9 +292,7 @@ def main():
304292

305293
BuyLimits = Parameter(m, name="BuyLimits", domain=[Bound, i])
306294
SellLimits = Parameter(m, name="SellLimits", domain=[Bound, i])
307-
InitHold = Parameter(
308-
m, name="InitHold", domain=i, description="Current holdings"
309-
)
295+
InitHold = Parameter(m, name="InitHold", domain=i, description="Current holdings")
310296

311297
# We set the curret holding to the optimal unconstrained mean-variance portfolio
312298
# with lamda = 0.5
@@ -407,9 +393,7 @@ def main():
407393
objective=ObjDef,
408394
)
409395

410-
MeanVarianceRevision = (
411-
'"Model status","Lambda","z","Variance","ExpReturn",'
412-
)
396+
MeanVarianceRevision = '"Model status","Lambda","z","Variance","ExpReturn",'
413397

414398
MeanVarianceRevision += ",".join(i_recs) + ","
415399
MeanVarianceRevision += ",".join(i_recs) + ","
@@ -420,25 +404,17 @@ def main():
420404
if lamda_loop > 1:
421405
break
422406
lamda[...] = lamda_loop
423-
MeanVarRevision.solve(
424-
options=Options(minlp="SHOT", relative_optimality_gap=0)
425-
)
426-
MeanVarianceRevision += f"{MeanVarRevision.status},{round(lamda_loop,1)},{round(MeanVarRevision.objective_value,4)},{round(PortVariance.records.level[0],4)},{round(PortReturn.records.level[0],4)},"
407+
MeanVarRevision.solve(solver="SHOT", options=Options(relative_optimality_gap=0))
408+
MeanVarianceRevision += f"{MeanVarRevision.status},{round(lamda_loop, 1)},{round(MeanVarRevision.objective_value, 4)},{round(PortVariance.records.level[0], 4)},{round(PortReturn.records.level[0], 4)},"
427409
x_recs = [str(round(x_rec, 4)) for x_rec in x.records.level.tolist()]
428-
buy_recs = [
429-
str(round(x_rec, 4)) for x_rec in buy.records.level.tolist()
430-
]
431-
sell_recs = [
432-
str(round(x_rec, 4)) for x_rec in sell.records.level.tolist()
433-
]
410+
buy_recs = [str(round(x_rec, 4)) for x_rec in buy.records.level.tolist()]
411+
sell_recs = [str(round(x_rec, 4)) for x_rec in sell.records.level.tolist()]
434412
MeanVarianceRevision += ",".join(x_recs) + ","
435413
MeanVarianceRevision += ",".join(buy_recs) + ","
436414
MeanVarianceRevision += ",".join(sell_recs) + "\n"
437415
lamda_loop += 0.1
438416

439-
with open(
440-
"MeanVarianceRevision.csv", "w", encoding="UTF-8"
441-
) as FrontierHandleThree:
417+
with open("MeanVarianceRevision.csv", "w", encoding="UTF-8") as FrontierHandleThree:
442418
FrontierHandleThree.write(MeanVarianceRevision)
443419

444420

0 commit comments

Comments
 (0)