Problem 1

 

Number of instruments in the portfolio, .

Number of scenarios, .
 

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

 

 

Data for Problem 1 are saved in text file:

"matrix_scenarios.txt".

 

Problem was solved by program Run-File:

 

 

 

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

 

Optimal points were saved in text files: "point_problem_1.txt",...,"point_problem_10.txt".

For example, "point_problem_1.txt":
 

 

Values of logistic function were saved in text files: "vector_l_1_1.txt",..., "vector_l_10_2.txt".

For example, "vector_l_1_1.txt":