Optimization Problem 3
 

Number of instruments in the portfolio, .

Number of scenarios, .
 

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

 

 

Data for Problem 3 are saved in text file:

"matrix_mu_teta.txt" ,

"matrix_multilin.txt",

"matrix_obj.txt",

"matrix_var_teta.txt"

"vector_right.txt",

"point_types.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":