Hi RobPratt,
here is my data and the macro code:
data returns;
input a b c;
datalines;
10 2 5
3 -5 7
-1 -7 6
1 3 -2
;
run;
%MACRO a(FILE);
/*EXTRACTION OF CONTENTS*/
PROC CONTENTS DATA = &FILE /*in my example data there is no date!!!*/ OUT = CONTENTS(KEEP = NAME) NOPRINT;
RUN;
/*SETTING THE VARIABLES*/
DATA _NULL_;
SET CONTENTS;
CALL SYMPUT('VAR'||TRIM(LEFT(_N_)),name);
CALL SYMPUT('VARCOUNT',TRIM(LEFT(_N_)));
RUN;
/*CALCULATING THE VARIANCE COVARIANCE TABLE*/
PROC CORR DATA = &FILE OUT=CORRTABLE(WHERE=(UPCASE(_TYPE_) IN ("COV","MEAN"))) COV NOSIMPLE NOPRINT;
VAR %DO I = 1 %TO &VARCOUNT; &&VAR&I %END; ;
WITH %DO I = 1 %TO &VARCOUNT; &&VAR&I %END; ;
RUN;
/*COVARIANCE TABLE AND MEAN TABLE*/
DATA COVTABLE MEANTABLE; SET CORRTABLE;
IF UPCASE(_TYPE_) IN ("MEAN") THEN OUTPUT MEANTABLE;
ELSE OUTPUT COVTABLE;
RUN;
/*ASSIGNING THE COVARIANCE VALUES*/
DATA _NULL_; SET COVTABLE(DROP = _TYPE_ _NAME_);
ARRAY X{&VARCOUNT} %DO I = 1 %TO &VARCOUNT; &&VAR&I %END; ;
DO I = 1 TO &VARCOUNT;
CALL SYMPUT('COEFF'||TRIM(LEFT(_N_))||TRIM(LEFT(I)),X{I}); END;
RUN;
/*ASSIGNING THE MEAN VALUES*/
DATA _NULL_; SET MEANTABLE(DROP = _TYPE_ _NAME_);
ARRAY X{&VARCOUNT} %DO I = 1 %TO &VARCOUNT; &&VAR&I %END; ;
DO I = 1 TO &VARCOUNT;
CALL SYMPUT('MEAN'||TRIM(LEFT(I)),X{I}); END;
RUN;
/*OPTIMIZATION SECTION*/
PROC OPTMODEL;
VAR X{1..&VARCOUNT} >= 0;
NUM COEFF{1..&VARCOUNT, 1..&VARCOUNT} = [ %DO I = 1 %TO &VARCOUNT;
%DO J = 1 %TO &VARCOUNT;
&&COEFF&I&J %END; %END; ];
NUM R{1..&VARCOUNT}=[ %DO I = 1 %TO &VARCOUNT; &&MEAN&I %END; ];
/* MINIMIZE THE VARIANCE OF THE PORTFOLIO’S TOTAL RETURN */
MINIMIZE F = SUM{I IN 1..&VARCOUNT, J IN 1..&VARCOUNT}COEFF[I,J]*X[I]*X[J];
/* SUBJECT TO THE FOLLOWING CONSTRAINTS */
CON BUDGET: SUM{I IN 1..&VARCOUNT}X[I] = 10000;
CON GROWTH: SUM{I IN 1..&VARCOUNT}R[I]*X[I] = 500;
SOLVE WITH QP;
PRINT X;
%MEND;
%a (returns)
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