PSG Run-File Environment implementation, see Formal Problem Statement.

 

Optimization Problem

 

Number of instruments in the portfolio, .

Number of scenarios, .
 

The description of the problem statement for Problem is in file "problem_basel_accord_c_econ_65_short.txt":

 

 

Data for Problem are saved in text files:

"matrix_bank_book_scenarios.txt" ;

"matrix_credit_risk_capital_weghts.txt",
"matrix_returns.txt",

"matrix_specific_market_risk_weights.txt",

"matrix_trading_book_scenarios.txt",

"point_lowerbounds.txt",

"point_upperbounds.txt",

 

Problem was solved by program Run-File:

 

 

The solution report was saved in text file "solution_problem_1.txt":
 

 

Optimal point was saved in text file "point_problem_1.txt":