Test instances for financial problems

The test instances found here were the ones used in the following works:

Cristiano Arbex Valle, Nigel Meade, and John E Beasley

Absolute return portfolios

Market neutral portfolios

The data consists of historical weekly data taken from the universe of assets defined by the S&P (Standard and Poor's) Global 1200 index and sub-indices over the period January 1999 to September 2006 (400 weeks of data). The data was manually adjusted to account for changes in index composition.

Test instances files:

• S&P Global 1200
• S&P US 500
• S&P Europe 350
• S&P Euro-Plus 225
• S&P Euro-Zone 175
• S&P Topix 150
• S&P UK 125
• S&P/TSX Canada 60
• S&P Asia 50
• S&P ASX Australia 50
• S&P Latin America 40

The format of these data files is:

number of stocks (N), number of time periods (T)
index value at time t (t=0,1,...,T)

for each stock i (i=1,...,N) in turn:
      stock price in index SPI(i,t) at time t (t=0,1,...,T)

for each stock i (i=1,...,N) in turn:
      stock price SP(i,t) at time t (t=0,1,...,T)

Note here that time runs from 0 to T (i.e. there are T+1 time periods in total)

This data format has been adopted because a stock may have a price, but not be in the index, in a particular time period. A negative value for the stock price SP(i,t) means that no price exists for stock i in time period t A negative value for the stock price in index SPI(i,t) means:

• if SP(i,t) is negative than no price exists for stock i in time period t.
• if SP(i,t) is positive than there is a price for the stock (namely SP(i,t)), but that stock i was not in the index in time period t.

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