Ch8 VaRCVaROpt
Ch8 VaRCVaROpt
Ch8 VaRCVaROpt
Observation
Month No. Stock 1 Stock 2 Stock 3 Simulation drawn
1 -7.03% 20.14% -15.43% #NAME?
2 -10.03% -10.03% -5.74%
3 0.62% -1.17% 17.84%
4 7.47% 13.05% 21.71%
5 -6.67% 6.00% -0.31%
6 10.03% -8.25% 0.51%
7 -19.18% 5.89% 13.35%
8 -0.35% 13.47% 1.28%
9 -13.72% 25.68% 16.05%
10 8.89% -0.46% 8.87%
11 8.91% 10.19% -4.57%
12 0.32% 5.98% -0.44%
13 -1.19% -13.82% 2.15%
14 -2.25% 8.94% 8.02%
15 -1.28% 0.35% -4.54%
16 7.79% 5.26% -1.37%
17 4.30% -1.17% 9.22%
18 -12.19% -5.46% -3.24%
19 0.41% -11.88% 6.94%
20 0.88% -2.62% 0.88%
21 -7.98% -18.32% 9.76%
22 -2.13% -5.67% 11.47%
23 16.59% 7.04% -4.53%
24 5.34% 7.33% 0.47%
25 5.25% 2.84% 13.50%
26 7.56% 0.97% 6.70%
27 -4.13% 7.49% 2.07%
28 4.95% 2.51% 9.24%
29 2.06% -0.68% -1.18%
30 -3.50% -2.22% 12.01%
31 -0.86% -6.21% -7.76%
32 1.99% -3.65% -1.06%
33 -9.73% 1.45% 2.13%
34 9.23% 6.11% -10.47%
35 3.53% 0.46% -9.65%
36 -4.66% 5.14% 10.63%
37 -2.44% -3.49% -11.60%
38 -3.68% -2.59% -10.21%
39 2.84% 2.56% 4.00%
40 -9.65% 5.22% 5.26%
41 4.66% 8.90% -7.01%
42 -8.87% 4.38% 2.48%
43 7.49% -3.91% 10.03%
44 2.13% 3.36% -1.89%
45 -7.73% 7.81% -9.92%
46 4.08% -0.08% 0.46%
47 4.75% -1.78% -0.43%
48 2.38% 7.34% 11.89%
49 10.96% 0.93% -5.41%
50 1.95% 1.06% -4.36%
51 -1.25% 2.58% -1.38%
52 3.25% -2.80% 4.51%
53 -7.50% 0.31% 4.32%
54 8.42% -0.03% 5.13%
55 -5.37% 4.84% 1.75%
56 3.22% 6.46% 1.91%
57 5.84% -0.43% 3.72%
58 -7.51% 7.99% -1.24%
59 -2.96% 6.28% 10.89%
60 2.23% 5.66% -8.69%
Stock 1 Stock 2 Stock 3
#NAME? #NAME? #NAME?
VaR optimization Objective function
Stock 1 Stock 2 Stock 3 4.62%
Asset weights 47.81% 32.38% 19.81%
Expected returns 0.11% 2.09% 1.98% Constraints
epsilon 0.05 budget 100.00%
number scenarios (S) 60 total number of ys 3
int(epsilon*S) 3.00
large constant M 10.00
Month No. Stock 1 Stock 2 Stock 3 Variables y
1 -7.03% 20.14% -15.43% 0
2 -10.03% -10.03% -5.74% 1
3 0.62% -1.17% 17.84% 0
4 7.47% 13.05% 21.71% 0
5 -6.67% 6.00% -0.31% 0
6 10.03% -8.25% 0.51% 0
7 -19.18% 5.89% 13.35% 0
8 -0.35% 13.47% 1.28% 0
9 -13.72% 25.68% 16.05% 0
10 8.89% -0.46% 8.87% 0
11 8.91% 10.19% -4.57% 0
12 0.32% 5.98% -0.44% 0
13 -1.19% -13.82% 2.15% 0
14 -2.25% 8.94% 8.02% 0
15 -1.28% 0.35% -4.54% 0
16 7.79% 5.26% -1.37% 0
17 4.30% -1.17% 9.22% 0
18 -12.19% -5.46% -3.24% 1
19 0.41% -11.88% 6.94% 0
20 0.88% -2.62% 0.88% 0
21 -7.98% -18.32% 9.76% 1
22 -2.13% -5.67% 11.47% 0
23 16.59% 7.04% -4.53% 0
24 5.34% 7.33% 0.47% 0
25 5.25% 2.84% 13.50% 0
26 7.56% 0.97% 6.70% 0
27 -4.13% 7.49% 2.07% 0
28 4.95% 2.51% 9.24% 0
29 2.06% -0.68% -1.18% 0
30 -3.50% -2.22% 12.01% 0
31 -0.86% -6.21% -7.76% 0
32 1.99% -3.65% -1.06% 0
33 -9.73% 1.45% 2.13% 0
34 9.23% 6.11% -10.47% 0
35 3.53% 0.46% -9.65% 0
36 -4.66% 5.14% 10.63% 0
37 -2.44% -3.49% -11.60% 0
38 -3.68% -2.59% -10.21% 0
39 2.84% 2.56% 4.00% 0
40 -9.65% 5.22% 5.26% 0
41 4.66% 8.90% -7.01% 0
42 -8.87% 4.38% 2.48% 0
43 7.49% -3.91% 10.03% 0
44 2.13% 3.36% -1.89% 0
45 -7.73% 7.81% -9.92% 0
46 4.08% -0.08% 0.46% 0
47 4.75% -1.78% -0.43% 0
48 2.38% 7.34% 11.89% 0
49 10.96% 0.93% -5.41% 0
50 1.95% 1.06% -4.36% 0
51 -1.25% 2.58% -1.38% 0
52 3.25% -2.80% 4.51% 0
53 -7.50% 0.31% 4.32% 0
54 8.42% -0.03% 5.13% 0
55 -5.37% 4.84% 1.75% 0
56 3.22% 6.46% 1.91% 0
57 5.84% -0.43% 3.72% 0
58 -7.51% 7.99% -1.24% 0
59 -2.96% 6.28% 10.89% 0
60 2.23% 5.66% -8.69% 0
= 100%
<= 3.00
>= -0.47%
>= 0.46%
>= -0.81%
>= -1.67%
>= -0.33%
>= -0.68%
>= 0.00%
>= -0.91%
>= -0.96%
>= -1.05%
>= -1.13%
>= -0.66%
>= 0.00%
>= -0.80%
>= -0.32%
>= -0.98%
>= -0.81%
>= 0.36%
>= -0.23%
>= -0.44%
>= 0.32%
>= -0.40%
>= -1.39%
>= -0.96%
>= -1.07%
>= -0.99%
>= -0.55%
>= -0.96%
>= -0.51%
>= -0.46%
>= -0.07%
>= -0.42%
>= -0.09%
>= -0.89%
>= -0.45%
>= -0.62%
>= 0.00%
>= 0.00%
>= -0.76%
>= -0.27%
>= -0.83%
>= -0.23%
>= -0.89%
>= -0.63%
>= -0.15%
>= -0.66%
>= -0.62%
>= -1.05%
>= -0.91%
>= -0.50%
>= -0.46%
>= -0.62%
>= -0.20%
>= -0.96%
>= -0.40%
>= -0.86%
>= -0.80%
>= -0.34%
>= -0.74%
>= -0.58%
VaR optimization Objective function
Stock 1 Stock 2 Stock 3 5.83%
Asset weights 18.03% 44.14% 37.82%
Expected returns 0.11% 2.09% 1.98% Constraints
epsilon 0.05 budget 100.00%
number scenarios (S) 60 total number of ys 3
int(epsilon*S) 3.00
large constant M 10.00
Month No. Stock 1 Stock 2 Stock 3 Variables y
1 -7.03% 20.14% -15.43% 0
2 -10.03% -10.03% -5.74% 1
3 0.62% -1.17% 17.84% 0
4 7.47% 13.05% 21.71% 0
5 -6.67% 6.00% -0.31% 0
6 10.03% -8.25% 0.51% 0
7 -19.18% 5.89% 13.35% 0
8 -0.35% 13.47% 1.28% 0
9 -13.72% 25.68% 16.05% 0
10 8.89% -0.46% 8.87% 0
11 8.91% 10.19% -4.57% 0
12 0.32% 5.98% -0.44% 0
13 -1.19% -13.82% 2.15% 0
14 -2.25% 8.94% 8.02% 0
15 -1.28% 0.35% -4.54% 0
16 7.79% 5.26% -1.37% 0
17 4.30% -1.17% 9.22% 0
18 -12.19% -5.46% -3.24% 1
19 0.41% -11.88% 6.94% 0
20 0.88% -2.62% 0.88% 0
21 -7.98% -18.32% 9.76% 1
22 -2.13% -5.67% 11.47% 0
23 16.59% 7.04% -4.53% 0
24 5.34% 7.33% 0.47% 0
25 5.25% 2.84% 13.50% 0
26 7.56% 0.97% 6.70% 0
27 -4.13% 7.49% 2.07% 0
28 4.95% 2.51% 9.24% 0
29 2.06% -0.68% -1.18% 0
30 -3.50% -2.22% 12.01% 0
31 -0.86% -6.21% -7.76% 0
32 1.99% -3.65% -1.06% 0
33 -9.73% 1.45% 2.13% 0
34 9.23% 6.11% -10.47% 0
35 3.53% 0.46% -9.65% 0
36 -4.66% 5.14% 10.63% 0
37 -2.44% -3.49% -11.60% 0
38 -3.68% -2.59% -10.21% 0
39 2.84% 2.56% 4.00% 0
40 -9.65% 5.22% 5.26% 0
41 4.66% 8.90% -7.01% 0
42 -8.87% 4.38% 2.48% 0
43 7.49% -3.91% 10.03% 0
44 2.13% 3.36% -1.89% 0
45 -7.73% 7.81% -9.92% 0
46 4.08% -0.08% 0.46% 0
47 4.75% -1.78% -0.43% 0
48 2.38% 7.34% 11.89% 0
49 10.96% 0.93% -5.41% 0
50 1.95% 1.06% -4.36% 0
51 -1.25% 2.58% -1.38% 0
52 3.25% -2.80% 4.51% 0
53 -7.50% 0.31% 4.32% 0
54 8.42% -0.03% 5.13% 0
55 -5.37% 4.84% 1.75% 0
56 3.22% 6.46% 1.91% 0
57 5.84% -0.43% 3.72% 0
58 -7.51% 7.99% -1.24% 0
59 -2.96% 6.28% 10.89% 0
60 2.23% 5.66% -8.69% 0
= 100%
<= 3.00
>= -0.76%
>= 0.26%
>= -1.22%
>= -2.12%
>= -0.72%
>= -0.42%
>= -1.00%
>= -1.22%
>= -2.08%
>= -1.06%
>= -1.02%
>= -0.84%
>= -0.03%
>= -1.24%
>= -0.40%
>= -0.90%
>= -0.96%
>= 0.00%
>= -0.33%
>= -0.52%
>= 0.00%
>= -0.73%
>= -1.02%
>= -1.02%
>= -1.31%
>= -1.02%
>= -0.92%
>= -1.13%
>= -0.55%
>= -0.88%
>= 0.00%
>= -0.42%
>= -0.55%
>= -0.62%
>= -0.30%
>= -1.13%
>= 0.05%
>= -0.02%
>= -0.90%
>= -0.84%
>= -0.79%
>= -0.71%
>= -0.92%
>= -0.70%
>= -0.41%
>= -0.67%
>= -0.57%
>= -1.40%
>= -0.62%
>= -0.50%
>= -0.62%
>= -0.69%
>= -0.62%
>= -0.93%
>= -0.77%
>= -1.00%
>= -0.81%
>= -0.75%
>= -1.22%
>= -0.54%
CVaR optimization Objective function
Auxiliary
Stock 1 Stock 2 Stock 3 variable xi 6.87%
Asset weights 18.03% 44.14% 37.82% 5.83%
Expected returns 0.11% 2.09% 1.98% Constraints
epsilon 0.05 budget 100.00%
number scenarios (S) 60
int(epsilon*S) 3.00
>= -0.0762019024
>= 0.02576037044
>= -0.1217149321
>= -0.2115272117
>= -0.0715902156
>= -0.0419029921
>= -0.1002330738
>= -0.1219973273
>= -0.2076605106
>= -0.1058608536
>= -0.1020524568
>= -0.0836137293
>= -0.0033099775
>= -0.1240656751
>= -0.0403914576
>= -0.0903734831
>= -0.0957604157
>= 0
>= -0.0328354587
>= -0.0516980467
>= 0
>= -0.0728268035
>= -0.1021735089
>= -0.1020876664
>= -0.1313881507
>= -0.1016073722
>= -0.0917780825
>= -0.1132710526
>= -0.0545755682
>= -0.0875926146
>= 0
>= -0.0417900301
>= -0.0552519439
>= -0.0623185232
>= -0.030187909
>= -0.112829668
>= 0.00535577861
>= -0.0016470772
>= -0.0898939889
>= -0.0838382723
>= -0.0794766462
>= -0.0710338382
>= -0.0924797072
>= -0.0698307262
>= -0.041354485
>= -0.0670436468
>= -0.057397725
>= -0.1399789625
>= -0.0617481974
>= -0.050014296
>= -0.0622132462
>= -0.0688738193
>= -0.0625051569
>= -0.0927574171
>= -0.0765846649
>= -0.099854468
>= -0.0809989386
>= -0.0753488487
>= -0.1219205132
>= -0.0544337399
@RISK Data
Performed By: Dessislava Pachamanova