Problem 3

 

Number of instruments in the portfolio, .

Number of scenarios, .

 

The description of the problem statement for Optimization Problem 3 is in file "problem_3_short.txt":

 

Exponential_Utilities_3_1

 

Data for Optimization Problem 2 are saved in text files:

"matrix_budget.txt"

"matrix_h.txt" .

 

Problem was solved by program Run-File:

 

Exponential_Utilities_3_2

 

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

 

Exponential_Utilities_3_3

 

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

 

Exponential_Utilities_3_4