Resources
This model illustrates a portfolio optimization model which uses detailed financial calculations on a number of project worksheets to obtain project NPVs and present values of project costs. The goal is to select the projects for the portfolio that maximize the mean portfolio NPV, but to ensure with 95% confidence that the total present value of costs stays below the budget of $1.5 million.
Two examples files to illustrate the "conditional value at risk" concept from finance.
1. A model to illustrate how to find the VaR and the CVaR for a portfolio of correlated investments.
2. A new version of the model above using RISKOptimizer to maximize the CVaR by choosing the portfolio weights appropriately. In other words, it is used to make the "bad" conditional mean as least bad as possible.
This model illustrates the newsvendor ordering model in a multiple-product setting with the possibility of demand diversion. This means that if supply of product A, say, is not sufficient to satisfy demand for product A, some customers (but not all of them) who wanted product A but couldn't get it are willing to purchase another product instead.
An optimization model for deciding which of sequential house offers to accept.
A set of @RISK example models for E-Commerce Service.
1. A deterministic model to get started.
2. A basic @RISK model with demand uncertainty.
3. A version with demand uncertainty and uncertainty in price and cost.
4. A version that illustrates the RiskSimtable function for different values of the capacity decision variable.
5. A version that illustrates @RISK's Goal Seek feature for forcing mean profit to a specified value.
6. A model for finding the capacity in an e-commerce system that maximizes the 10th percentile of profit.
Click here to see a video of this example.
An optimization model for deciding how to invest over a multi-year horizon to achieve a retirement goal.
An optimization model for determining how to invest over a time horizon to accumulate a down payment for a house.
An optimization model that balances groups of securities in a portfolio.
A portfolio optimization model that applies the Time Series Fit feature to historical stock price data.
This is a standard product mix model, where five product models must be assembled and then tested on either line 1 or line 2. You will find two versions of this model.
1. A product mix optimization model with uncertainty only in product demands.
2. A model that illustrates the real option of abandoning a project at a future time if the project is not doing well.
A capital budgeting model with uncertainty about projects' resource and capital usage and their NPVs.
A multi-day model for determining when cash should be invested or cash should be obtained.
