# Solve
m.optimize()
log.jointoutput("j x[j] mu[j] delta[j] mu[j] - delta[j]\n")
for j in xrange(n):
log.jointoutput(str(j) + " " + (str(x[j])).ljust(5,' ') + " " + (str(mu[j])).ljust(5,' ') + " " + (str(delta[j].x)).ljust(8,' ') + " " + str(mu[j]-delta[j].x) + "\n")
nominal = 0
adversarial = 0
for j in xrange(n):
nominal += mu[j]*x[j]
adversarial += (mu[j] - delta[j].x)*x[j]
log.jointoutput("nominal return: " + str(nominal)+"; adversarial: " + str(adversarial) + "\n objective: " + str(m.objval) + "; net:" + str(nominal - m.objval) + "\n")
###main. Syntax: adret.py datafile lpfilename. The data file has the positions, the
### expected returns and the risk model (gamma and Gamma)
if len(sys.argv) != 3: # the program name and datafile
# stop the program and print an error message
sys.exit("usage: adret.py dataname lpname ")
log = Logger("adret.log")
n, gamma, Gamma, x, mu = datareader(log,sys.argv[1])
formulator(log, n, gamma, Gamma, x, mu, sys.argv[2])
log.closelog()
