This case study includes 4 problem formulations:

 

 

Solution of Problem in MATLAB

Formal Problem

Statement

Lower and upper bounds for i-th cluster of its current weight

M-file implementing the Problem

Problem_1_1

 

Problem 1

90% and 110%

CS_Retail_Portfolio_Bonds_Short_0101.m

Problem_1_2

 

Problem 1

80% and 120%

CS_Retail_Portfolio_Bonds_Short_0102.m

Problem_2_1

 

Problem 2

90% and 110%

CS_Retail_Portfolio_Bonds_Short_0201.m

Problem_2_2

 

Problem 2

80% and 120%

CS_Retail_Portfolio_Bonds_Short_0202.m

 

 

 

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