Targets_Sub.gms

$TITLE Final Project
* Generates targets based on given index or ETF

$eolcom //
option optcr=0.0001;

SETS
         Date      'Dates'
         Asset     'Assets'
         Periods   'Amount of 4-week intervals'
         Scenarios 'Scenarios'
;
ALIAS(Date,t);
ALIAS(Periods,p);
ALIAS(Scenarios,s);

****Loading Data file.***
$GDXIN RollingScenarios250
$LOAD  Asset Periods Scenarios
$GDXIN

**** SELECT THE INDEX OR ETF BASED ON WHICH TO GENERATE TARGETS ****
set subAsset(Asset) /EDEN/   //tracking MSCI Denmark

ALIAS(subAsset,i);

$onMulti
PARAMETER
         ScenarioReturnP(i,s,p) 'Return of index i, at date t, in scenariointerval p'
         ReturnsMonth(p,i)
;

****Loading Data file.***
$GDXIN RollingScenarios
$LOAD  ScenarioReturnP
$GDXIN

$GDXIN ReturnMonthly
$LOAD  ReturnsMonth
$GDXIN

DISPLAY  i, Periods, Scenarios, ScenarioReturnP, ReturnsMonth;

SCALARS
        Budget        'Nominal investment budget'
        alpha         'Confidence level'
        Lambda        'Risk aversion parameter'
        CVaRLim       'CVaR limit'
        ExpRetLim     'Expected Return Limit'
;

// DEFINE BUDGET AND ALPHA
Budget = 100000.0;
alpha  = 0.95;

PARAMETERS
        pr(s)       'Scenario probability'
        Rp(i,s,p)   'Final values "R_is" for ord(p)th rolling'
        EPp(i,p)    'Expected final values "mu_i" for ord(p)th rolling'
        R(i,s)      'Auxiliary parameter for final values'
        EP(i)       'Auxiliary parameter for Expected final values'
;

// DEFINITIONS
pr(s) = 1.0 / CARD(s);

Rp(i,s,p) = 1 + ScenarioReturnP(i,s,p);

EPp(i,p) = SUM(s, pr(s) * Rp(i,s,p));



PARAMETER x_old(i);


POSITIVE VARIABLES
         x(i)            'Holdings of assets in proportions'
         VaRDev(s)       'Measures of the deviation'
;

VARIABLES
         Losses(s)       'The scenario loss function'
         VaR             'The alpha Value-at-Risk'
         CVaR            'The alpha Conditional Value-at-Risk'
         ExpectedReturn  'Expected return of the portfolio'
         obj             'Objective function value'
;


EQUATIONS
         BudgetCon        'Equation defining the budget constraint'
         ReturnCon        'Equation defining the portfolio expected return'
         LossDefCon(s)    'Equation defining the losses'
         VaRDevCon(s)     'Equation defining the VaRDev variable'
         CVaRDefCon       'Equation defining the CVaR'
         ObjectivFunc     'Lambda formulation of the MeanCVaR model'
;





*--s.t.-----------
BudgetCon ..              sum(i, x(i)) =E= Budget;

ReturnCon ..              ExpectedReturn =E= sum(i, EP(i)*x(i));

LossDefCon(s) ..          Losses(s) =E= -1*sum(i, R(i, s)*x(i) );

VaRDevCon(s) ..           VaRDev(s) =G= Losses(s) - VaR;

CVaRDefCon ..              CVaR =E= VaR + (sum(s, pr(s)*VarDev(s) ) )/(1 - alpha);

*--Objective------
ObjectivFunc ..            Obj =E= (1-lambda)*ExpectedReturn - lambda*CVaR;




*--Model-----------

MODEL CVaRModel 'The Conditional Value-at-Risk Model' /BudgetCon, ReturnCon, LossDefCon, VaRDevCon, CVaRDefCon/;

*--CVaR----------------------
PARAMETERS
         ExpectedReturnp(p)    'Expected return for ord(p)th rolling'
         VaRp(p)               'Value-at-risk for ord(p)th rolling'
         CVaRp(p)              'Conditional-Value-at-risk for ord(p)th rolling'
         RunningBudget(p)      '1/N portfolio performance'
;

// THE FIRST PERIOD
X.fx(i) = Budget/card(i);
display X.l;
R(i,s) = Rp(i,s,"p0");
EP(i) = SUM(s, pr(s) * R(i,s));
SOLVE CVaRModel Minimazing CVaR using LP;
ExpectedReturnp("p0") = (ExpectedReturn.l/Budget) - 1;
CVaRp("p0") = CVaR.l/Budget;
RunningBudget("p0")=Budget;
display x.l

// REBALANCING
LOOP(p$(ord(p)>=2),
     R(i,s) = Rp(i,s,p);
     EP(i) = SUM(s, pr(s) * R(i,s));
     x_old(i)=x.l(i)*(1+ReturnsMonth(p,i));
     Budget=sum(i,x_old(i));
     RunningBudget(p)=Budget;
     x.fx(i)=x_old(i);
     SOLVE CVaRModel MINIMIZING CVaR using LP;
     CVaRModel.SOLPRINT = 2;
     ExpectedReturnp(p) = (ExpectedReturn.l/sum(i,x.l(i)))-1;
     CVaRp(p) = CVaR.l/sum(i,x.l(i));
);


parameter SummaryReport(*,*);

* Store results by rows
SummaryReport('ExpectedReturn',p) = ExpectedReturnp(p);
SummaryReport('CVaR',p) = CVaRp(p);
SummaryReport('EqualWeightPortfolio',p)= RunningBudget(p);

display SummaryReport

EXECUTE_UNLOAD 'Denmark_TargetsRolling.gdx' SummaryReport;
*EXECUTE 'gdxxrw.exe Sub_TargetsRolling.gdx O=SP500_TargetsRolling.xls par=SummaryReport rng=sheet1!a1';