Performance World [ Performance World Home | Board | Tools | PerformanceLib | Links | GamsWorld group | Search | Contact ]

Total number of models:   6
Original Source:   Markowitz Models for Portfolio Optimization

Name Type #Eqns #Vars #NZ #NNZ Bestknown Objective GAMS Scalar AMPL Source GAMS Source
markowitz NLP 2 9 17 8 -1.09836248 gms ampl raw gams
growthopt NLP 2 9 17 8 -0.11708482 gms ampl raw gams
markowitz2 NLP 202 1201 202401 200 -0.52927533 gms ampl raw gams
optreward NLP 3 9 25 8 -1.09999912 gms ampl raw gams
optrisk NLP 3 9 25 8 0.00305022 gms ampl raw gams
optriskreward NLP 2 9 17 8 -0.92925896 gms ampl raw gams