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 6.1 and 6.2: ======================= Files: algencan-2.2.1-bukm/experiments/historicalprices.txt algencan-2.2.1-bukm/experiments/volumes.txt are input files for program algencan-2.2.1-bukm/experiments/proc-data.f that generates (see inside the program) files algencan-2.2.1-bukm/experiments/theta-010days.txt algencan-2.2.1-bukm/experiments/theta-120days.txt algencan-2.2.1-bukm/experiments/theta-240days.txt These 3 files are the input files for the problem coded in algencan-2.2.1-bukm/sources/problems/bukm-prob-a.f that is related to problems in Subsection 6.1 and 6.2 of the paper. Problems in Subsections 6.3: ================== Files: algencan-2.2.1-bukm/experiments/historicalprices.txt algencan-2.2.1-bukm/experiments/volumes.txt are also input files for program algencan-2.2.1-bukm/experiments/gen-gedanken-data.f that generates files: algencan-2.2.1-bukm/experiments/theta.txt algencan-2.2.1-bukm/experiments/pi.txt algencan-2.2.1-bukm/experiments/adv.txt algencan-2.2.1-bukm/experiments/spreads.txt These 4 files are used by algencan-2.2.1-bukm/sources/problems/bukm-prob-b.f to solve the problems in Subsection 6.3.