OR-Library

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 rebalancing

There are currently 7 data files.

These data files are the test problems used in the paper: M. Woodside-Oriakhi, C. Lucas and J.E. Beasley "Portfolio rebalancing with an investment horizon and transaction costs".
To appear in Omega, available from the third author at john.beasley@brunel.ac.uk

The test problems are the files: portreb1, portreb2, ..., portreb7

The format of these data files is: number of assets (N), maximum number of assets in portfolio (K), transaction cost limit (D), cash change (V)

for each asset i (i=1,...,N):

• current price
• current holding
• fixed cost of buying any of this asset
• fixed cost of selling any of this asset
• variable cost per unit of asset bought
• variable cost per unit of asset sold
• minimum number of units of the asset we must buy if we carry out any buying of the asset
• minimum number of units of the asset we must sell if we carry out any selling of the asset
• maximum number of units of the asset we can buy if we carry out any buying of the asset
• maximum number of units of the asset we can sell if we carry out any selling of the asset

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 largest file is portreb7 of size 30Mb (approximately)
The entire set of files is of size 33Mb (approximately).

Click here to access these files