Hi I am reading the OPTMODEL document from the help center. https://documentation.sas.com/doc/en/pgmsascdc/9.4_3.4/ormpug/ormpug_qpsolver_examples02.htm /* example 2: portfolio optimization */
proc optmodel;
/* let x1, x2, x3, x4 be the amount invested in each asset */
var x{1..4} >= 0;
num coeff{1..4, 1..4} = [0.08 -.05 -.05 -.05
-.05 0.16 -.02 -.02
-.05 -.02 0.35 0.06
-.05 -.02 0.06 0.35];
num r{1..4}=[0.05 -.20 0.15 0.30];
/* minimize the variance of the portfolio's total return */
minimize f = sum{i in 1..4, j in 1..4}coeff[i,j]*x[i]*x[j];
/* subject to the following constraints */
con BUDGET: sum{i in 1..4}x[i] <= 10000;
con GROWTH: sum{i in 1..4}r[i]*x[i] >= 1000;
solve with qp;
/* print the optimal solution */
print x; In the example of portfolio optimization, the user needs to manually change the matrix (coeff and r). I have the coefficient (covariance) and r(mean) from previous steps proc corr noprob outp=OutCorr /** store results **/ nomiss cov; /** include covariance **/ var ret1 ret2 ret3 ret4; run; The mean dataset is as the following-I only list 1*2 matrix for the illustration: ret1 .. ret4 0.2 0.5 The variance dataset is as the following-I only list the 2*2 matrix for the illustration ret1 ret2 0.3 0.4 0.4 0.5 My question is: How can I read the datasets from PROC CORRELATION to the PROC OPTMODEL's num matrix coeff{1..4, 1..4} and r{1..4}. Thank you very much.
... View more
