Formal Problem Statement

The following optimization problem includes a cardinality constraint  assuring that the number of nonzero hedging positions does not  exceed some specified threshold.

Implementation within PSG

There are two dataset in this case study. In the first dataset the number of CDSs equals I = 1000 and the number of indices equals M = 4. In the second dataset the number of CDSs equals  I = 2000 and the number of indices, M = 4.