******************************************************
*This file is used as the data input for our portfolio
*selection problem. Make any changes that you desire
*for your personal problem, then save this file as 
*portfolio.input in the same directory as the gams 
*program file.
******************************************************

** make sure that the number of securities and risk
** factors is consistent with the tables below!!!
Sets
        I       securities /A,B,C,D,E,F,G,H/
        J       risk factors /1,2,3,4/;

** The minimum desired rate of return for Model 1
scalar  DesRet  /.04/;

** The maximum allowable risk for Model 2
** Make sure this corresponds to the sets above
parameter DesBeta(J)
/1      1.2
 2      1.2
 3      .8
 4      .9/;

** The following specifies which program to use
** Note that Models one and two take a few minutes to run
** and may appear to be on an endless loop. They are not
** so please be patient.
** 1   Model one (Minimize risk subject to a minimum return)
** 2   Model two (Maximize return subject to a maximum risk)
** 3   Model one, but with no sensitivity analysis
** 4   Model two, but with no sensitivity analysis
scalar  ModelNum /1/;

** The risk free rate of return in the market
scalar  RF the risk free interest rate /.04/;

** The predicted economic outcomes for the risk factors
** Make sure that this corresponds to the sets above
Parameter Factor(J)
/1      .01
 2      .02
 3      .04
 4      .06/;

** The betas of each stock, with risk factors in columns
** Make sure that the number of risk factors and securities
** corresponds to the sets above
Table IndBeta(I,J)
        1       2       3       4
 A      .5     	1.1     .8     	.9
 B      1.1     .9     	.6      .8
 C      .9     	.8      .7      1.6
 D      1.5     .9      .6     	.3
 E      .8      1.3     .8      1.2
 F      .9	1.1	1	.9
 G      1	.5	.8	1.7
 H      .8	1.4	.7	1.3;