Problem 1
 

Number of instruments in the portfolio, .

Number of scenarios, .
 

The description of the problem statement for Problem 1 is in file "problem_kb_err_style_classification_fidelity_magellan_0p1_short.txt":

 

Quantile_1_1

 

Data for Problem 1 are saved in text file:

"matrix_style_classification_fidelity_magellan.txt".

 

Problem was solved by program Run-File:

 
 

Quantile_1_2

 

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

Quantile_1_3

 

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

Quantile_1_4