VoseOptCVARx

See also: VoseOptCVARp, VoseOptPercentile

 

 

 

Example model
 
This function is used as a Statistic parameter for Conditional Value-at-Risk calculated at a specific value of the variable within the ModelRisk optimization requirements functions:

VoseOptRequirementMin(Name, Statistic, Value, Enabled)

VoseOptRequirementMax(Name, Statistic, Value, Enabled)

VoseOptRequirementEquals(Name, Statistic, Value, Enabled)

and the ModelRisk optimization target functions:

VoseOptTargetMaximize(Name, Statistic, Enabled)

VoseOptTargetMinimize(Name, Statistic, Enabled)

VoseOptTargetValue(Name, Statistic, Value, Enabled)

The VoseOptCVARx function allows the user to specify, for example, that the target variable (the loss distribution) to be optimised has a Conditional Value-at-Risk at some cutoff value, that is to be minimised, maximised or set equal to Value in the above three functions respectively.

Thus, for example,

VoseOptTargetValue(“Cash”, VoseOptCVARx(120), 200, TRUE)

will make the Optimizer attempt to find a solution such that the CVAR from a cutoff of 120 of the distribution of the variable “Cash” will equal 200. 
  

 

ModelRisk

Monte Carlo simulation in Excel. Learn more

Tamara

Adding risk and uncertainty to your project schedule. Learn more

Navigation

FREE MONTE CARLO SIMULATION SOFTWARE

For Microsoft Excel

Download your free copy of ModelRisk Basic today. Professional quality risk modeling software and no catches

Download ModelRisk Basic now

FREE PROJECT RISK SOFTWARE

For Primavera & Microsoft Project

Download your free copy of Tamara Basic today. Professional quality project risk software and no catches.

Download Tamara Basic now
-->