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heatingma commited on
Commit
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Add Port of ORLIB

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Files changed (7) hide show
  1. orlib/port/README.md +17 -0
  2. orlib/port/port1.txt +529 -0
  3. orlib/port/port2.txt +3742 -0
  4. orlib/port/port3.txt +4096 -0
  5. orlib/port/port4.txt +4951 -0
  6. orlib/port/port5.txt +0 -0
  7. orlib/portreb/{portrebinfo.md → README.md} +0 -0
orlib/port/README.md ADDED
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+ ## Portfolio optimisation
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+
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+ > 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.
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+
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+ > The test problems are the files: port1, port2, ..., port5
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+
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+ > The format of these data files is:
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+ number of assets (N)
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+
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+ > for each asset i (i=1,...,N):
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+ * mean return
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+ * standard deviation of return
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+
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+ > for all possible pairs of assets:
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+ * i
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+ * j
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+ * correlation between asset i and asset j
orlib/port/port1.txt ADDED
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orlib/port/port5.txt ADDED
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orlib/portreb/{portrebinfo.md → README.md} RENAMED
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