This piece of software (based on ALGENCAN 2.2.1) corresponds to the manuscript:

"Low Order-Value approach for solving VaR-constrained optimization problems"
by E. G. Birgin, L. F. Bueno, N. Krejić and J. M. Martínez.

Problems in Subsections 7.1, 7.2 and 7.3:
=========================================

Files:

algencan-2.2.1-bukm/experiments/historicalprices.txt
algencan-2.2.1-bukm/experiments/volumes.txt

are input files for programs

algencan-2.2.1-bukm/experiments/proc-data.f
algencan-2.2.1-bukm/experiments/gen-gedanken-data.f

that generate (see inside the programs) files

algencan-2.2.1-bukm/experiments/a-8-1000-adv.txt          
algencan-2.2.1-bukm/experiments/a-8-1000-eps.txt          
algencan-2.2.1-bukm/experiments/a-8-1000-pi.txt           
algencan-2.2.1-bukm/experiments/a-8-1000-theta-010days.txt
algencan-2.2.1-bukm/experiments/a-8-1000-theta-120days.txt
algencan-2.2.1-bukm/experiments/a-8-1000-theta-240days.txt

algencan-2.2.1-bukm/experiments/b-500-1000-adv.txt     
algencan-2.2.1-bukm/experiments/b-500-1000-eps.txt     
algencan-2.2.1-bukm/experiments/b-500-1000-pi.txt      
algencan-2.2.1-bukm/experiments/b-500-1000-theta.txt   

algencan-2.2.1-bukm/experiments/b-1000-1000-adv.txt       
algencan-2.2.1-bukm/experiments/b-1000-1000-eps.txt         
algencan-2.2.1-bukm/experiments/b-1000-1000-pi.txt          
algencan-2.2.1-bukm/experiments/b-1000-1000-theta.txt  

These files are the input files for the problem coded in

algencan-2.2.1-bukm/sources/problems/bukm-prob.f

Experiments can be run using scripts 

algencan-2.2.1-bukm/experiments/run-7.1 
algencan-2.2.1-bukm/experiments/run-7.2 
algencan-2.2.1-bukm/experiments/run-7.3

Output of those runs can be found in 

algencan-2.2.1-bukm/experiments/run-7.1.out 
algencan-2.2.1-bukm/experiments/run-7.2.out
algencan-2.2.1-bukm/experiments/run-7.3.out
algencan-2.2.1-bukm/experiments/algencan-table.out