PSG Run-File Environment implementation, see Formal Problem Statement.

 

Optimization Problem

Number of instruments in the portfolio, .

Number of scenarios, .
 

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

 

 

Data for Problem are saved in text files:

"matrix_1.txt",..., "matrix_11.txt";

"matrix_budget.txt";

"pmatrix_scen.txt".

 

Problem was solved by program Run-File:

 

 

 

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

 

 

 

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