The MOSEK Python optimizer API manual Version 7.0 (Revision 141)

8.1. PORTFOLIO OPTIMIZATION 107
8.1.3.1 Example code
The following example code demonstrates how to compute the efficient portfolios for several values of
α.
1 """
2 File : case portfolio 2.py
3
[ case portfolio 2.py ]
4 Copyright : Copyright (c) MOSEK ApS, Denmark. All rights reserved.
5
6 Description : Implements a basic portfolio optimization model.
7 """
8
10
9 import mosek
11 try:
12 from numpy import zeros
13 except ImportError:
14 from mosek.array import zeros
15
16 def streamprinter(text):
17 print("%s" % text),
18
19 if name == ’ main ’:
20
21 n = 3
22 gamma = 0.05
23 mu = [0.1073, 0.0737, 0.0627]
24 GT = [[0.1667, 0.0232, 0.0013],
25 [0.0000, 0.1033, -0.0022],
26 [0.0000, 0.0000, 0.0338]]
27 x0 = [0.0, 0.0, 0.0]
28 w = 1.0
29 alphas = [0.0, 0.25, 0.5, 0.75, 1.0, 1.5, 2.0, 2.5, 3.0, 3.5, 4.0, 4.5]
30
31 inf = 0.0 # This value has no significance
32
33 with mosek.Env() as env:
34 with env.Task(0,0) as task:
35 task.set Stream(mosek.streamtype.log,streamprinter)
36
37 rtemp = w
38 for j in range(0,n):
39 rtemp += x0[j]
40
41 # Constraints.
42 task.appendcons(1+n)
43 task.putconbound(0,mosek.boundkey.fx,rtemp,rtemp)
44 task.putconname(0,"budget")
45
46 task.putconboundlist(range(1+0,1+n),n*[mosek.boundkey.fx],n*[0.0],n*[0.0])
47 for j in range(1,1+n) :
48 task.putconname(j,"GT[%d]" % j)
49
50 # Variables.
51 task.appendvars(1+2*n)
52