Problem 4
 

Number of instruments in the portfolio, .

Number of scenarios, .
 

The description of the problem statement for Problem 4 is in file "problem_LOGEXPSUM_MaxLikelihood_CV.txt":

 

 

Data for Problem 4 are saved in text file:

"matrix_fact_in.txt",

"matrix_fact_out.txt",

"matrix_allscenarios.txt".

 

Problem was solved by program Run-File:

 

 

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

 

4 optimal points were saved in text files: "point_problem_1.txt", "point_problem_2.txt", "point_problem_3.txt", "point_problem_4.txt".

For example, "point_problem_1.txt":
 

 

Values of logistic function were saved in 8 text files: "vector_logistic_in_1", "vector_logistic_in_2", "vector_logistic_in_3", "vector_logistic_in_4", "vector_logistic_out_1", "vector_logistic_out_2", "vector_logistic_out_3", "vector_logistic_out_4".

For example, "vector_logistic_in_1":