Oct 6, 2012

This subdirectory contains the following Matlab source codes and folders:

run_real*.m              Run code.
  
sub2indsym.m             Subroutine of run codes. Returns the index of an entry in the upper triangle part
                         of a matrix, given the "order". For example,
                         Output                 Input
                         (1,2)                    1
                         (3,6)                    13

lssdp_sdpt3_p.m          Writes input for SDPT3 to solve Robust LSSDP. See run codes for input format.

lssdp_sdpt3_p_feas.m     Writes input for SDPT3 to test feasibility. See run codes for input format. 

cov*.dat                 Data files:

                         These contain covariance matrices obtained from the stock return data 
                         from 2007 to 2011 on the CRSP database. We filter out all the stocks with
                         missing data in this period.  This results in a set of 4248 stocks with 1260
                         of daily returns.  We then randomly select three set of stocks of size 150, 200 and 250.    

./gp_codes               Contains codes for the SPG method. See Readme in the folder.

Implementation and numerical experience with the above codes are described in the paper: 
    Guoyin Li, Alfred Ka Chun Ma and Ting Kei Pong
    "Robust least square semidefinite programming with applications to correlation stress testing",
    Submitted.
This code was last updated on Nov 6, 2012.

Questions/comments/suggestions about the codes are welcome.  

Guoyin Li, g.li@unsw.edu.au
Alfred Ka Chun Ma, alfred@baf.msmail.cuhk.edu.hk
Ting Kei Pong, ptingkei@uwaterloo.ca