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.
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