[[investment]]
= Investment asset class allocation (portfolio optimization)
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[[investmentProblemDescription]]
== Problem description

Decide the relative quantity to invest in each asset class.

Hard constraints:

* Risk maximum: the total standard deviation must not be higher than the standard deviation maximum.
** Total standard deviation calculation takes asset class correlations into account by applying https://en.wikipedia.org/wiki/Modern_portfolio_theory[Markowitz Portfolio Theory].
* Region maximum: Each region has a quantity maximum.
* Sector maximum: Each sector has a quantity maximum.

Soft constraints:

* Maximize expected return.


[[investmentProblemSize]]
== Problem size

[source,options="nowrap"]
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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.
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Larger datasets have not been created or tested yet, but should not pose a problem.
A good source of data is https://www.portfoliovisualizer.com/asset-correlations[this Asset Correlation website].
