\$title Test of correctness of solvestat (MIQCP02,SEQ=561) \$ontext This test os based on the GAMS Model Library qmeanvar. It caused Xpress to crash on Windows for some time. Contributor: Lutz Westermann \$offtext Set i securities / cn, fr, gr, jp, sw, uk, us /; alias (i,j) ; Table q(i,j) covariance matrix cn fr gr jp sw uk us cn 42.18 fr 20.18 70.89 gr 10.88 21.58 25.51 jp 5.30 15.41 9.60 22.33 sw 12.32 23.24 22.63 10.32 30.01 uk 23.84 23.80 13.22 10.46 16.36 42.23 us 17.41 12.62 4.70 1.00 7.20 9.90 16.42 ; * we will continue to use only the lower triangle of the q-matrix * and adjust the off diagonal entries to give the correct results. q(i,j) = 2*q(j,i) ; q(i,i) = q(i,i)/2; Scalars tau bounding parameter on turnover of current holdings /0.3 /; Set pd portfolio data labels / old current holdings fraction of the portfolio umin minimum increase of holdings fraction of security i umax maximum increase of holdings fraction of security i lmin minimum decrease of holdings fraction of security i lmax maximum decrease of holdings fraction of security i / Table bdata(i,pd) portfolio data and trading restrictions * - increase - - decrease - old umin umax lmin lmax cn 0.2 0.03 0.11 0.02 0.30 fr 0.2 0.04 0.10 0.02 0.15 gr 0.0 0.04 0.07 0.04 0.10 jp 0.0 0.03 0.11 0.04 0.10 sw 0.2 0.03 0.20 0.04 0.10 uk 0.2 0.03 0.10 0.04 0.15 us 0.2 0.03 0.10 0.04 0.30 ; bdata(i,'lmax') = min(bdata(i,'old'),bdata(i,'lmax')); Abort\$(abs(sum(i, bdata(i,'old'))-1) >= 1e5) 'error in bdata', bdata; Variables var variance of portfolio x(i) fraction of portfolio of current holdings of i xi(i) fraction of portfolio increase xd(i) fraction of portfolio decrease y(i) binary switch for increasing current holdings of i Binary variable y; positive variables x, xi, xd; Equations budget budget constraint turnover restrict maximum turnover of portfolio maxinc(i) bound of maximum lot increase of fraction of i mininc(i) bound of minimum lot increase of fraction of i xdef(i) final portfolio definition vardef variance definition; budget.. sum(i, x(i)) =e= 1 ; xdef(i).. x(i) =e= bdata(i,'old') - xd(i) + xi(i); maxinc(i).. xi(i) =l= bdata(i,'umax')*y(i) ; mininc(i).. xi(i) =g= bdata(i,'umin')*y(i) ; turnover.. sum(i, xi(i)) =l= tau ; vardef.. var =e= sum((i,j), x(i)*q(i,j)*x(j)); Model minvar / all /; Solve minvar min var using miqcp; abort\$(minvar.solvestat <> %solvestat.NormalCompletion%) 'Wrong Solvestat';