##
#  Copyright : Copyright (c) MOSEK ApS, Denmark. All rights reserved.
#
#  File :      portfolio_1_basic.py
#
#  Purpose :   Implements a basic portfolio optimization model.
##
import mosek
import sys
import numpy as np

if __name__ == '__main__':

    n      = 8
    w      = 59.0
    mu     = [0.07197349, 0.15518171, 0.17535435, 0.0898094 , 0.42895777, 0.39291844, 0.32170722, 0.18378628]
    x0     = [8.0, 5.0, 3.0, 5.0, 2.0, 9.0, 3.0, 6.0]
    gamma  = 36.0
    GT     = [
        [0.30758, 0.12146, 0.11341, 0.11327, 0.17625, 0.11973, 0.10435, 0.10638],
        [0.     , 0.25042, 0.09946, 0.09164, 0.06692, 0.08706, 0.09173, 0.08506],
        [0.     , 0.     , 0.19914, 0.05867, 0.06453, 0.07367, 0.06468, 0.01914],
        [0.     , 0.     , 0.     , 0.20876, 0.04933, 0.03651, 0.09381, 0.07742],
        [0.     , 0.     , 0.     , 0.     , 0.36096, 0.12574, 0.10157, 0.0571 ],
        [0.     , 0.     , 0.     , 0.     , 0.     , 0.21552, 0.05663, 0.06187],
        [0.     , 0.     , 0.     , 0.     , 0.     , 0.     , 0.22514, 0.03327],
        [0.     , 0.     , 0.     , 0.     , 0.     , 0.     , 0.     , 0.2202 ]
    ]
    k = len(GT)

    inf = 0.0 # This value has no significance

    # Variable offsets
    numvar = n
    voff_x = 0

    # Constraints offsets
    numcon = 1
    coff_bud = 0

    with mosek.Task() as task:
        task.set_Stream(mosek.streamtype.log, sys.stdout.write)

        # Holding variable x of length n
        # No other auxiliary variables are needed in this formulation
        task.appendvars(numvar)

        # Optionally we can give the variables names
        for j in range(0, n):
            task.putvarname(voff_x + j, "x[%d]" % (1 + j))

        # No short-selling in this model, all of x >= 0
        task.putvarboundsliceconst(voff_x, n, mosek.boundkey.lo, 0.0, inf)

        # One linear constraint: total budget
        task.appendcons(1)
        task.putconname(coff_bud, "budget")
        task.putaijlist([coff_bud] * n, range(voff_x, voff_x + n), [1.0] * n)        # e^T x
        rtemp = w + sum(x0)
        task.putconbound(coff_bud, mosek.boundkey.fx, rtemp, rtemp)    # equals w + sum(x0)

        # Input (gamma, GTx) in the AFE (affine expression) storage
        # We need k+1 rows
        task.appendafes(k + 1)
        # The first affine expression = gamma
        task.putafeg(0, gamma)
        # The remaining k expressions comprise GT*x, we add them row by row
        # In more realisic scenarios it would be better to extract nonzeros and input in sparse form
        for i in range(0, k):
            task.putafefrow(i + 1, range(voff_x, voff_x + n), GT[i])

        # Input the affine conic constraint (gamma, GT*x) \in QCone
        # Add the quadratic domain of dimension k+1
        qdom = task.appendquadraticconedomain(k + 1)
        # Add the constraint
        task.appendaccseq(qdom, 0, None)
        task.putaccname(0, "risk")

        # Objective: maximize expected return mu^T x
        task.putclist(range(voff_x, voff_x + n), mu)
        task.putobjsense(mosek.objsense.maximize)

        # Dump the problem to a human readable PTF file.
        task.writedata("dump.ptf")

        # Solve the problem
        task.optimize()

        # Display solution summary for quick inspection of results.
        # In this simplified example we skip checks for problem and solution status
        task.solutionsummary(mosek.streamtype.msg)

        # Check if the interior point solution is an optimal point
        solsta = task.getsolsta(mosek.soltype.itr)
        if (solsta != mosek.solsta.optimal):
            # See https://docs.mosek.com/latest/pythonapi/accessing-solution.html about handling solution statuses.
            raise Exception(f"Unexpected solution status: {solsta}")

        # Retrieve results
        xx     = task.getxxslice(mosek.soltype.itr, voff_x, voff_x + n)
        expret = task.getprimalobj(mosek.soltype.itr)

        print(f'Expected return: {expret:.10e} Std. deviation: {gamma:.4e}')
        np.set_printoptions(precision=4)
        print(f'Optimal portfolio: {np.array(xx)}')