set Products;
param Returns_Bull{Products};
param Jumps_Bull{Products};
param Jumps_Bear{Products};
param Returns_Bear{Products};
param Returns_Neut{Products};
param COV_BULL{Products,Products};
param COV_BEAR{Products,Products};
param aversion default 10;
param neut_prob;
param bull_prob;
param bear_prob;

var Return;
var Risk;
var ReturnNeut;
var ReturnBull;
var ReturnBear;
var w{Products} >=0;

maximize obj: Return - aversion * Risk;
subject to
	con1: Return = (sum{j in Products} w[j]*Returns_Bull[j]*bull_prob) + (sum{j in Products} w[j]*Returns_Bear[j]*bear_prob) + (sum{j in Products} w[j]*Returns_Neut[j]*neut_prob);
	con5: Risk = sqrt( sum{i in Products} w[i]* (sum{j in Products} (Jumps_Bear[j]/100*COV_BULL[i,j] + COV_Bear[i,j]*w[j] ) );
	total:sum{i in Products} w[i] = 1;