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

114 CHAPTER 8. A CASE STUDY
The following example code demonstrates how to implement the model (8.14).
1 """
2 File : case portfolio 3.py
3
[ case portfolio 3.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 m = [0.01, 0.01, 0.01]
30
31 # This value has no significance.
32 inf = 0.0
33
34 with mosek.Env() as env:
35 with env.Task(0,0) as task:
36 task.set Stream(mosek.streamtype.log,streamprinter)
37
38 rtemp = w
39 for j in range(0,n):
40 rtemp += x0[j]
41
42 # Constraints.
43 task.appendcons(1+9*n)
44 task.putconbound(0,mosek.boundkey.fx,rtemp,rtemp)
45 task.putconname(0,"budget")
46
47 task.putconboundlist(range(1+0,1+n),n*[mosek.boundkey.fx],n*[0.0],n*[0.0])
48 for j in range(1,1+n) :
49 task.putconname(j,"GT[%d]" % j)
50
51 task.putconboundlist(range(1+n,1+2*n),n*[mosek.boundkey.lo],[-x0[j] for j in range(0,n)],n*[inf])
52 for i in range(0,n):
53 task.putconname(1+n+i,"zabs1[%d]" % (1+i))
54
55 task.putconboundlist(range(1+2*n,1+3*n),n*[mosek.boundkey.lo],x0,n*[inf])