ࡱ>  0.928 1.006 1.176 1.715 1.908; ! All scenarios considered to be equally likely; PRB= .08333 .08333 .08333 .08333 .08333 .08333 .08333 .08333 .08333 .08333 .08333 .08333; ENDDATA ! Target ending value; [RET] AVG >= TARGET; ! Compute expected value of ending position; AVG = @SUM( SCENE: PRB * R); @FOR( SCENE( S): ! Measure deviations from average; DVU( S) - DVL( S) = R(S) - AVG; ! Compute value under each scenario; R( S) = @SUM( INST( J): VE( S, J) * X( J))); ! Budget; [BUD] @SUM( INST: X) = 1; [VARI] VAR = @SUM( SCENE: PRB * ( DVU + DVL)^2); [SEMIVARI] SEMIVAR = @SUM( SCENE: PRB * (DVL) ^2); [DOWNRISK] DNRISK = @SUM( SCENE: PRB * DVL); ! Set objective to VAR, SEMIVAR, or DNRISK; [OBJ] MIN = VAR; ENDMODEL: ! Scenario portfolio model; SETS: SCENE/1..12/: PRB, R, DVU, DVL; INST/ ATT, GMT, USX/: X; SXI( SCENE, INST): VE; ENDSETS DATA: TARGET = 1.15; ! Data based on original Markowitz example; VE = 1.300 1.225 1.149 1.103 1.290 1.260 1.216 1.216 1.419 0.954 0.728 0.922 0.929 1.144 1.169 1.056 1.107 0.965 1.038 1.321 1.133 1.089 1.305 1.732 1.090 1.195 1.021 1.083 1.390 1.131 1.035 Root EntryCONTENTS Root Entry*0_^vbf Contents  * X( J))); \par \cf3 ! Budget;\cf2 \par [BUD] \cf1 @SUM\cf2 ( INST: X) = 1; \par [VARI] VAR = \cf1 @SUM\cf2 ( SCENE: PRB * ( DVU + DVL)^2); \par [SEMIVARI] SEMIVAR = \cf1 @SUM\cf2 ( SCENE: PRB * (DVL) ^2); \par [DOWNRISK] DNRISK = \cf1 @SUM\cf2 ( SCENE: PRB * DVL); \par \cf3 ! Set objective to VAR, SEMIVAR, or DNRISK;\cf2 \par [OBJ] \cf1 MIN\cf2 = VAR; \par \cf1 END\cf2 \par } {\rtf1\ansi\ansicpg1252\deff0\deflang1033{\fonttbl{\f0\fnil\fcharset0 Courier New;}} {\colortbl ;\red0\green0\blue255;\red0\green0\blue0;\red0\green175\blue0;} \viewkind4\uc1\pard\cf1\f0\fs20 MODEL\cf2 : \par \cf3 ! Scenario portfolio model;\cf2 \par \cf1 SETS\cf2 : \par SCENE/1..12/: PRB, R, DVU, DVL; \par INST/ ATT, GMT, USX/: X; \par SXI( SCENE, INST): VE; \par \cf1 ENDSETS\cf2 \par \cf1 DATA\cf2 : \par TARGET = 1.15; \par \cf3 ! Data based on original Markowitz example;\cf2 \par VE = \par 1.300 1.225 1.149 \par 1.103 1.290 1.260 \par 1.216 1.216 1.419 \par 0.954 0.728 0.922 \par 0.929 1.144 1.169 \par 1.056 1.107 0.965 \par 1.038 1.321 1.133 \par 1.089 1.305 1.732 \par 1.090 1.195 1.021 \par 1.083 1.390 1.131 \par 1.035 0.928 1.006 \par 1.176 1.715 1.908; \par \cf3 ! All scenarios considered to be equally likely;\cf2 \par PRB= .08333 .08333 .08333 .08333 .08333 .08333 \par .08333 .08333 .08333 .08333 .08333 .08333; \par \cf1 ENDDATA\cf2 \par \cf3 ! Target ending value;\cf2 \par [RET] AVG >= TARGET; \par \cf3 ! Compute expected value of ending position;\cf2 \par AVG = \cf1 @SUM\cf2 ( SCENE: PRB * R); \par \cf1 @FOR\cf2 ( SCENE( S): \par \cf3 ! Measure deviations from average;\cf2 \par DVU( S) - DVL( S) = R(S) - AVG; \par \cf3 ! Compute value under each scenario;\cf2 \par R( S) = \cf1 @SUM\cf2 ( INST( J): VE( S, J)