This is a distribution of .lp files for instances of the
Mean-Variance portfolio problem with min buy-in constranits and
cardinality constraint. These instances have been pre-processed
with the Approximate Projected Perspective Reformulation
(AP$^2$R) technique, which yields an equivalent MIQP formulation
with a (much) better continuous relaxation bound, although not
as good as the bound of the true Perspective Reformulation due
to the cardinality constraint. In order to apply the Perspective
Reformulation (Relaxation), the nonseparable quadratic objective
function of the MV problem has to be partly diagonalized. This is
why we distribute three copies of the instances, one for each of
the "small" (s), "large" (l) and "intermediate" (c = convex
combination of s and l with multipliers 0.5) diagonals also
distributed on the web site

http://www.di.unipi.it/optimize/Data/MV.html

Usually the "l" instances have better bounds and therefore solve
faster, although occasionally "c" ones perform better. Even better
bounds, and therefore faster solution times, can be obtained by
using the improved Approximate Projected Perspective Reformulation
(AP$^2$R+) technique; the corresponding instances are also
distributed on the web site (above).