红帽全球峰会3.20. 投资资产类分配(Portfolio Optimization)
决定对每个资产类进行投资的相对数量。
硬限制：
风险最大值：标准开发总数不能高于标准偏差的最大值。
- 标准偏差通过应用 Markowitz Portfolio Theory 对资产进行分类关联。
- 地区最大值：每个地区具有最大数量。
- 扇区最大值：每个扇区具有最大数量。
软限制：
- 最大化预期收益。
问题大小
de_smet_1 has 1 regions, 3 sectors and 11 asset classes with a search space of 10^4. irrinki_1 has 2 regions, 3 sectors and 6 asset classes with a search space of 10^3.
de_smet_1 has 1 regions, 3 sectors and 11 asset classes with a search space of 10^4.
irrinki_1 has 2 regions, 3 sectors and 6 asset classes with a search space of 10^3.大型数据集尚未创建或测试，但不应造成问题。良好的数据源是 此资产修正网站。
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