1290185291

Source: probabilisticPortfolio.lp
File: upload/19.11.2010_1290185291_Feng_Qiu/probabilisticPortfolio.lp
Name: Feng_Qiu
Company: Industrial&Systems Engineering at Georgia Tech
eMail: fqiu@gatech.edu
Street: 765 Ferst Dr Nw
City:  Atlanta, GA 
Country: UNITED STATES (US)
Message: This is a sample approximation formulation for a probabilistic portfolio optimization, in which one unit investment is to be distributed among 20 assets. Each asset has an uncertain return and an combined return across all assets is required at a certain probability. To approximate the problem, 300 scenarios are generated for the uncertain returns.  This model has 20 continuous variables(representing the investment decisions), 300 binary variables(indicating the corresponding scenario is true or not) and 302 constrains. CPLEX 12.1 took 20 hours branch&bound and there was still 15% GAP. This model comes from the project with Dr. Shabbir Ahmed and Dr. Santanu Dey on chance constrained program.

delivered on: 19.11.2010
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