Portfolio rebalancing
There are currently 7 data files. These data files are the test problems used in the paper: M. Woodside-Oriakhi, C. Lucas and J.E. Beasley "Portfolio rebalancing with an investment horizon and transaction costs". To appear in Omega, available from the third author at john.beasley@brunel.ac.uk
The test problems are the files: portreb1, portreb2, ..., portreb7
The format of these data files is:
- number of assets (N)
- maximum number of assets in portfolio (K)
- transaction cost limit (D)
- cash change (V)
for each asset i (i=1,...,N):
- current price
- current holding
- fixed cost of buying any of this asset
- fixed cost of selling any of this asset
- variable cost per unit of asset bought
- variable cost per unit of asset sold
- minimum number of units of the asset we must buy if we carry out any buying of the asset
- minimum number of units of the asset we must sell if we carry out any * selling of the asset
- maximum number of units of the asset we can buy if we carry out any buying of the asset
- maximum number of units of the asset we can sell if we carry out any selling of the asset
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