Optimset A Better Way to Better Solutions

Portfolio Optimization Combined Portfolio Problem Description Initial Data Computational Results Divided Portfolio Problem Description Initial Data Computational Results Asset Allocation   Conclusions

Divided Portfolio/Initial Data We used data provided by Fundata Canada Inc., a leading provider of mutual funds information in Canada. TABLE 2.3: The initial set of Equity funds (173 funds) LEGEND:ID-Fund's identification #; Return - The three-year average annual compound return %; Std Dev - The three-year average standard deviation ID Return Std Dev ====================== A00 12.7 6.0 A01 4.3 5.3 A02 4.5 5.5 A03 14.2 5.4 A04 11.8 8.1 A05 9.6 5.3 A06 6.7 7.8 A07 5.4 7.3 A08 5.2 4.8 A09 4.3 4.7 A10 6.8 4.1 A11 9.5 4.2 A12 8.7 4.2 A13 6.0 6.2 A14 8.3 3.0 A15 7.5 4.6 A16 10.8 6.7 A17 6.1 4.5 A18 8.3 4.6 A19 7.5 4.6 A20 6.4 5.0 A33 5.2 4.9 A34 6.8 5.7 A36 10.7 5.5 A37 5.8 5.3 A40 8.2 5.6 A41 8.3 5.4 A44 10.3 6.7 A45 10.6 6.7 A46 5.2 3.0 A47 4.9 3.0 A50 7.8 4.2 A51 5.4 7.6 A59 8.2 6.3 A60 7.3 5.5 A63 4.4 4.7 A64 5.2 6.3 A66 8.7 4.2 A69 10.0 5.4 A70 4.8 4.7 A71 5.1 4.0 A72 9.5 3.7 A73 9.1 3.7 A74 5.8 3.1 A76 6.9 5.5 A78 10.9 6.7 A79 7.0 7.1 A80 4.3 5.5 A81 4.3 5.5 A84 7.0 7.1 A85 17.6 2.8 A87 4.6 6.1 A88 4.9 5.8 A89 9.6 4.3 A91 6.8 5.1 A93 6.3 5.4 A94 5.9 5.4 A95 6.2 5.1 A96 4.9 5.6 A97 4.1 7.0 A99 6.1 5.9 B00 6.2 4.1 B01 6.0 5.2 B04 4.6 5.1 B05 7.8 5.5 B06 6.3 4.1 B07 4.8 5.2 B13 7.8 4.9 B14 6.5 5.2 B15 7.7 6.0 B16 10.1 8.7 B17 12.9 6.8 B18 6.7 6.0 B20 7.3 5.7 B24 9.1 4.8 B25 5.4 6.4 B28 6.2 5.5 B29 10.5 12.3 B30 17.0 12.2 B31 6.8 4.1 B32 5.4 4.5 B33 6.1 4.1 B35 4.0 3.5 B37 9.4 6.0 B38 17.6 8.3 B39 8.9 9.1 B40 6.8 5.5 B43 9.4 6.0 B45 5.2 3.2 B46 5.5 3.2 B47 11.1 4.6 B48 6.7 5.4 B49 4.6 5.0 B50 9.0 7.3 B51 8.2 5.6 B52 10.1 5.6 B53 11.4 6.7 B55 7.0 4.6 B56 6.5 5.5 B57 6.4 6.0 B64 5.1 6.0 B65 4.6 5.7 B67 5.8 5.2 B68 4.3 5.5 B70 6.4 5.5 B72 9.4 6.4 B74 5.6 6.6 B75 5.0 5.1 B77 5.1 5.9 B78 5.1 5.9 B79 5.4 4.7 B82 6.4 5.3 B83 5.8 5.2 B84 6.9 6.7 B85 7.1 4.7 B86 7.7 5.0 B87 8.4 5.5 B88 4.8 4.1 B89 5.5 5.6 B90 5.5 5.2 B91 6.2 3.6 B92 5.4 5.8 B93 5.5 5.7 B94 5.2 5.1 B99 8.5 5.0 C00 14.0 6.6 C01 15.1 9.7 C02 6.3 6.1 C03 6.8 6.8 C04 19.5 7.5 C05 6.6 6.8 C06 6.0 6.5 C10 8.9 5.7 C11 4.0 7.0 C12 4.7 6.1 C13 4.1 6.2 C14 14.1 8.9 C15 14.3 8.9 C16 7.9 5.1 C20 20.2 6.3 C22 10.9 5.3 C23 20.8 9.1 C24 11.8 6.2 C25 30.1 8.6 C26 4.1 6.7 C27 6.1 5.0 C30 7.3 7.1 C31 6.0 7.2 C37 8.7 4.2 C40 4.9 3.9 C42 4.9 4.0 C43 4.8 4.0 C45 4.2 2.4 C46 8.3 3.3 C47 6.2 4.1 C52 6.8 3.5 C55 7.7 4.2 C56 5.3 2.4 C58 6.6 3.3 C59 6.2 4.0 C65 7.1 4.1 C66 7.7 1.8 C67 11.7 4.7 C68 7.8 4.2 C69 6.0 3.9 C70 6.4 3.6 C71 7.4 2.5 C72 7.6 2.5 C73 5.7 3.5 C75 8.3 4.9 C77 4.5 4.4 C78 5.5 3.1 C80 6.4 4.0 TABLE 2.4: The initial set of Balanced funds (122 funds) LEGEND:ID-Fund's identification #; Return - The three-year average annual compound return %; Std Dev - The three-year average standard deviation ID Return Std Dev ====================== L01 6.1 2.6 L02 6.2 3.5 L03 4.6 4.6 L04 11.0 4.9 L05 4.8 3.6 L06 8.1 3.3 L07 5.6 2.8 L08 5.5 2.5 L09 4.5 7.7 L10 4.3 2.5 L11 7.1 3.5 L12 4.0 3.5 L13 4.6 3.5 L14 4.3 7.0 L15 4.7 3.3 L16 4.7 2.2 L17 4.9 2.2 L18 8.7 2.8 L19 8.1 2.3 L20 4.8 3.0 L21 5.8 3.0 L22 4.0 2.9 L23 4.4 2.4 L24 4.8 2.9 L25 5.0 4.6 L26 4.3 3.1 L27 4.4 3.2 L28 4.1 3.2 L29 7.4 3.7 L30 4.7 2.7 L31 4.4 2.7 L32 7.1 3.7 L33 4.2 3.2 L34 4.4 3.9 L35 4.1 3.9 L36 5.1 2.2 L37 5.3 2.2 L38 6.1 3.5 L39 5.3 2.2 L40 4.1 3.1 L41 4.2 1.4 L42 5.6 3.8 L43 5.3 3.7 L44 5.9 3.7 L45 6.0 3.3 L46 6.9 2.9 L47 6.3 2.1 L48 8.4 3.8 L49 5.6 1.7 L50 5.2 1.6 L51 5.7 2.2 L52 4.0 2.5 L53 4.0 2.5 L54 4.8 2.4 L55 5.8 7.3 L56 4.2 3.0 L57 5.8 3.0 L58 4.0 3.2 L59 4.5 3.1 L60 4.1 3.8 L61 6.5 3.1 L62 4.2 2.8 L63 5.1 2.9 L64 5.4 2.9 L65 5.2 2.6 L66 6.0 3.3 L67 4.8 1.7 L68 4.9 2.9 L69 4.2 3.6 L70 4.3 1.9 L71 5.1 2.8 L72 4.4 2.8 L73 4.7 3.5 L74 4.0 3.0 L75 4.2 4.1 L76 5.3 2.8 L77 4.7 3.1 L78 4.8 3.4 L79 6.9 3.0 L80 8.4 3.9 L81 6.3 3.0 L82 4.4 2.3 L83 4.8 2.9 L84 13.2 8.0 L85 12.8 7.5 L86 7.2 2.7 L87 4.7 2.8 L88 5.4 5.8 L89 7.3 2.8 L90 8.2 2.8 L91 4.2 4.2 L92 8.4 5.4 L93 5.4 2.7 L94 6.1 3.7 L95 4.9 2.4 L96 4.0 4.6 L97 5.3 3.6 L98 4.5 2.4 L99 4.4 3.3 M01 4.5 2.6 M02 6.9 3.1 M03 9.5 4.1 M04 5.9 3.2 M05 5.1 3.3 M06 12.6 2.1 M07 4.0 2.0 M08 4.9 2.3 M09 4.3 2.2 M10 4.9 3.3 M11 4.5 3.4 M12 4.4 2.3 M13 8.1 5.0 M14 10.5 3.1 M15 8.3 5.0 M16 7.8 5.0 M17 7.3 4.1 M18 7.1 4.1 M19 7.9 5.1 M20 5.0 2.1 M21 8.2 3.3 M22 7.1 3.6 M23 6.8 3.6 TABLE 2.5: The initial set of Money Market funds (110 funds) LEGEND:ID-Fund's identification #; Return - The three-year average annual compound return %; Std Dev - The three-year average standard deviation ID Return Std Dev ====================== N01 4.4 0.0 N02 4.4 0.0 N03 4.1 0.0 N04 4.2 0.3 N05 4.8 0.0 N06 4.0 0.0 N07 4.9 0.0 N08 4.2 0.1 N09 4.7 0.0 N10 4.6 0.0 N11 4.7 0.1 N12 4.4 0.0 N13 4.4 0.1 N14 4.3 0.1 N15 4.2 0.0 N16 4.3 0.0 N17 4.7 0.0 N18 4.1 0.0 N19 4.6 0.0 N20 4.1 0.0 N21 4.3 0.0 N22 4.2 0.1 N23 4.2 0.0 N24 4.2 0.0 N25 4.0 0.0 N26 4.6 0.1 N27 4.3 0.1 N28 4.1 0.1 N29 4.0 0.0 N30 5.0 0.0 N31 5.1 0.1 N32 4.2 0.1 N33 4.3 0.0 N34 4.4 0.1 N35 4.2 0.1 N36 4.5 0.0 N37 4.1 0.0 N38 4.4 0.0 N39 5.0 0.1 N40 4.9 0.1 N41 5.6 0.8 N42 4.2 0.0 N43 4.8 0.0 N44 4.1 0.1 N45 4.5 0.1 N46 4.4 0.0 N47 4.5 0.0 N48 4.3 0.1 N49 4.7 0.1 N50 4.2 0.0 N51 4.7 0.0 N52 4.0 0.0 N53 4.2 0.0 N54 4.5 0.0 N55 4.6 0.0 N56 5.3 0.1 N57 5.0 0.0 N58 4.4 0.0 N59 4.5 0.0 N60 5.2 0.0 N61 4.9 0.0 N62 4.3 0.1 N63 4.7 0.1 N64 5.0 0.1 N65 4.3 0.1 N66 4.5 0.0 N67 5.3 0.1 N68 4.4 0.0 N69 4.4 0.0 N70 4.2 0.0 N71 5.0 0.0 N72 5.1 0.0 N73 4.5 0.0 N74 4.3 0.0 N75 4.7 0.0 N76 4.1 0.0 N77 4.8 0.0 N78 4.3 0.1 N79 4.2 0.1 N80 4.5 0.1 N81 4.7 0.1 N82 4.2 0.1 N83 4.4 0.0 N84 4.4 0.0 N85 4.2 0.0 N86 4.5 0.0 N87 5.1 0.0 N88 4.4 0.0 N89 4.5 0.0 N90 4.3 0.1 N91 4.2 0.1 N92 4.5 0.0 N93 6.0 0.6 N94 4.5 0.0 N95 4.8 0.1 N96 4.9 0.1 N97 4.6 0.1 N98 4.7 0.1 N99 4.4 0.1 P01 4.9 0.1 P02 4.7 0.1 P03 4.6 0.0 P04 4.7 0.1 P05 4.2 0.1 P06 4.8 0.1 P07 5.0 0.1 P08 4.7 0.1 P09 4.8 0.1 P10 4.3 0.1 P11 4.7 0.0 TABLE 2.6: The initial set of Science and Technology funds (26 funds) LEGEND:ID-Fund's identification #; Return - The three-year average annual compound return %; Std Dev - The three-year average standard deviation ID Return Std Dev ====================== I01 8.9 8.3 I02 23.3 14.6 I03 7.7 12.0 I04 34.1 15.3 I05 11.4 8.0 I06 7.5 4.1 I07 16.0 12.9 I08 22.2 14.6 I09 4.6 10.5 I10 5.0 6.6 I11 11.9 5.0 I12 12.3 12.4 I13 16.1 13.1 I14 16.0 5.0 I15 4.2 9.1 I16 10.2 13.2 I17 5.8 11.5 I18 13.1 12.1 I19 7.1 11.4 I20 26.5 11.4 I21 14.2 8.9 I22 9.5 13.3 I23 27.6 14.5 I24 44.2 5.8 I25 14.1 12.1 I26 8.7 12.9 Top An Exact Polynomial Search Algorithm for the 0/1 Knapsack Problem