dataset will like 40 columns(for 20 for winners and 20 for losers), and 100 rows(daily returns).
Winner Daily Return= 0.25*ranuni()+0.05*ranuni() [Winner has daily 0.25% expected return, with 0.05% additional variance in expectation]
Winner Daily Return= -0.25*ranuni()+0.05*ranuni() [Lower has daily -0.25% expected return, with 0.05% additional variance in expectation]
Goal is to find the Optimal Pair(Winner-Loser) to Maximize the Portfolio Gap Return with consideration with daily variance(Ret/Stdev)
Any help?! Thanks