Live Chat
Portfolio Optimization

Model — RISKOptimizer Developer's Kit

This model depicts a stock portfolio comprised of ten different stocks. We want to determine the optimal set of element weights based on the objective settings. Similar problems are typically solved using deterministic user-inputs becuase most optimization algorithms cannot handle random variables. The powerful engines of Evolver and @RISK can be combined to efficiently optimize any model, even with random variables!

NOTE: This example code is optimized to run in Microsoft Internet Explorer.

» Learn about @RISK at www.palisade.com




Model Inputs:

Element  
Weight(%)
Current Return(%)
Risk Function for Forecast     Show list of functions
Preview Distribution
Stock 1
Stock 2
Stock 3
Stock 4
Stock 5
Stock 6
Stock 7
Stock 8
Stock 9
Stock 10
 

 

Correlation Matrix:

Stock 1
Stock 2
Stock 3
Stock 4
Stock 5
Stock 6
Stock 7
Stock 8
Stock 9
Stock 10
Stock 1 1
Stock 2 1
Stock 3 1
Stock 4 1
Stock 5 1
Stock 6 1
Stock 7 1
Stock 8 1
Stock 9 1
Stock 10 1

 


Objective:

Goal is to optimize Total Percent Return for portfolio

Target:     Maximize     Minimize

Constraint: 

Contact:
Palisade Corporation
798 Cascadilla Street
Ithaca, NY 14850-3239
sales@palisade.com
 
800 432 RISK (US/Can)
+ 1 607 277 8000
+ 1 607 277 8001 fax
Palisade Europe
+44 1895 425050
sales@palisade-europe.com
www.palisade-europe.com
Palisade Asia-Pacific Pty Limited
+61 2 9929 9799
sales@palisade.com.au
www.palisade.com.au
Palisade Latinoamérica
+1 607 277 8000
ventas@palisade-lta.com
www.palisade-lta.com