J E Beasley

OR-Library is a collection of test data sets for a variety of OR problems.

A full list of the test data sets available in OR-Library can be found here.

Portfolio optimisation

There are currently 5 data files.

These data files are the test problems used in the paper:
Chang, T.-J., Meade, N., Beasley, J.E. and Sharaiha, Y.M., 
"Heuristics for cardinality constrained portfolio optimisation" 
Comp. & Opns. Res. 27 (2000) 1271-1302.

The test problems are the files:
port1, port2, ..., port5

The format of these data files is:
number of assets (N)
for each asset i (i=1,...,N):
   mean return, standard deviation of return
for all possible pairs of assets:
   i, j, correlation between asset i and asset j

The unconstrained efficient frontiers for each of these
data sets are available in the files:
portef1, portef2, ..., portef5

The format of these files is:
for each of the calculated points on the unconstrained frontier:
   mean return, variance of return

The largest file is port5 of size 400Kb (approximately)
The entire set of files is of size 950Kb (approximately).

Click here to access these files