port.gms : Simple Portfolio Model
This simple portfolio selection model examines
investment alternatives in the bond market. The selection
is constrained by rating and maturity considerations.
Reference:
- CDC, IFPS/OPTIMIM - Users Manual, Control Data Corporation, Minneapolis, 1984.
Small Model of Type: LP
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$Title Simple Portfolio Model (PORT,SEQ=50)
$Ontext
This simple portfolio selection model examines
investment alternatives in the bond market. The selection
is constrained by rating and maturity considerations.
CDC, IFPS/OPTIMIM - Users Manual, Control Data Corporation, Minneapolis, 1984.
$Offtext
Sets b bonds / municip-a, municip-b, corporate, us-ser-e, us-ser-f /
g(b) grouping / corporate, us-ser-e, us-ser-f /
Table ydat(b,*) yield data
rating maturity yield tax-rate
municip-a 2 9 4.3
municip-b 5 2 4.5
corporate 2 15 5.4 .5
us-ser-e 1 4 5.0 .5
us-ser-f 1 3 4.4 .5
Variables investment(b)
tinvest total investment
return
Positive Variable investment
Equations groupmin minimum investment in group g
rdef rating definition
mdef maturity definition
idef total return definition
tdef total investment definition ;
$Double
tinvest.up = 10;
groupmin.. sum(g, investment(g)) =g= 4;
rdef.. sum(b, ydat(b,"rating ")*investment(b)) =l= 1.4*tinvest;
mdef.. sum(b, ydat(b,"maturity")*investment(b)) =l= 5.0*tinvest;
tdef.. tinvest =e= sum(b, investment(b));
idef.. return =e= sum(b, ydat(b,"yield")/100*(1-ydat(b,"tax-rate"))*investment(b));
Model port / all / ;
Solve port maximizing return using lp;
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