Portfolio optimisation
There are currently 5 data files. These data files are the test problems used in the paper: Chang, T.-J., Meade, N., Beasley, J.E. and Sharaiha, Y.M., "Heuristics for cardinality constrained portfolio optimisation" Comp. & Opns. Res. 27 (2000) 1271-1302.
The test problems are the files: port1, port2, ..., port5
The format of these data files is: number of assets (N)
for each asset i (i=1,...,N):
- mean return
- standard deviation of return
for all possible pairs of assets:
- i
- j
- correlation between asset i and asset j