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Portfolio optimization Description The example describes a portfolio optimization problem with parameterized risk/return measures.
It is formulated with quadratic constraints and a quadratic objective function.
Source Files By clicking on a file name, a preview is opened at the bottom of this page.
Data Files portfoliorisk.dat
! Data file for portfoliorisk.mos
YEAR: [ 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 ]
ASSET: [ "Telecom" "USBonds" "USShares"
"Technology" "IntBonds" "NonUSShares" "Gold" ]
RETdense: [1.080 1.366 1.316 1.333 1.213 1.562 1.006 ! 1985
1.063 1.309 1.186 1.086 1.156 1.694 1.216 ! 1986
1.061 0.925 1.052 0.959 1.023 1.246 1.244 ! 1987
1.071 1.086 1.165 1.165 1.076 1.283 0.861 ! 1988
1.087 1.212 1.316 1.204 1.142 1.105 0.977 ! 1989
1.080 1.054 0.968 0.830 1.083 0.766 0.922 ! 1990
1.057 1.193 1.304 1.594 1.161 1.121 0.958 ! 1991
1.036 1.079 1.076 1.174 1.076 0.878 0.926 ! 1992
1.031 1.217 1.100 1.162 1.110 1.326 1.146 ! 1993
1.045 0.889 1.012 0.968 0.965 1.078 0.990 ! 1994
]
LAMBDA: [ 0.0 0.1 0.25 0.5 1 2.5 5 10 25 50 100 250 500 ]
RET: [(1985 Telecom) 1.08 (1985 USBonds) 1.366 (1985 USShares) 1.316 (1985 Technology) 1.333
(1985 IntBonds) 1.213 (1985 NonUSShares) 1.562 (1985 Gold) 1.006 (1986 Telecom) 1.063
(1986 USBonds) 1.309 (1986 USShares) 1.186 (1986 Technology) 1.086 (1986
IntBonds) 1.156 (1986 NonUSShares) 1.694 (1986 Gold) 1.216 (1987 Telecom) 1.061
(1987 USBonds) 0.925 (1987 USShares) 1.052 (1987 Technology) 0.959 (1987
IntBonds) 1.023 (1987 NonUSShares) 1.246 (1987 Gold) 1.244 (1988 Telecom) 1.071
(1988 USBonds) 1.086 (1988 USShares) 1.165 (1988 Technology) 1.165 (1988
IntBonds) 1.076 (1988 NonUSShares) 1.283 (1988 Gold) 0.861 (1989 Telecom) 1.087
(1989 USBonds) 1.212 (1989 USShares) 1.316 (1989 Technology) 1.204 (1989
IntBonds) 1.142 (1989 NonUSShares) 1.105 (1989 Gold) 0.977 (1990 Telecom) 1.08
(1990 USBonds) 1.054 (1990 USShares) 0.968 (1990 Technology) 0.83 (1990 IntBonds) 1.083
(1990 NonUSShares) 0.766 (1990 Gold) 0.922 (1991 Telecom) 1.057 (1991 USBonds) 1.193
(1991 USShares) 1.304 (1991 Technology) 1.594 (1991 IntBonds) 1.161 (1991
NonUSShares) 1.121 (1991 Gold) 0.958 (1992 Telecom) 1.036 (1992 USBonds) 1.079
(1992 USShares) 1.076 (1992 Technology) 1.174 (1992 IntBonds) 1.076 (1992
NonUSShares) 0.878 (1992 Gold) 0.926 (1993 Telecom) 1.031 (1993 USBonds) 1.217
(1993 USShares) 1.1 (1993 Technology) 1.162 (1993 IntBonds) 1.11 (1993 NonUSShares) 1.326
(1993 Gold) 1.146 (1994 Telecom) 1.045 (1994 USBonds) 0.889 (1994 USShares) 1.012
(1994 Technology) 0.968 (1994 IntBonds) 0.965 (1994 NonUSShares) 1.078 (1994
Gold) 0.99]
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