Investment asset class allocation (portfolio optimization)

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 Markowitz Portfolio Theory.
Region maximum: Each region has a quantity maximum.
Sector maximum: Each sector has a quantity maximum.

Soft constraints:

Maximize expected return.

Problem size

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.

Larger datasets have not been created or tested yet, but should not pose a problem. A good source of data is this Asset Correlation website.