Hello I want to calculate the Conditional Value at Risk of a portfolio composed by n assets. From what I understand this forecast can be done by truncating the...
When CB tells me that my correlation coefficients are inconsistent and then offers to adjust them for me, what process does it use to carry out the adjustment?...
Hi A_Cadiz, Certainly nobody gets angry for frequently posting interesting and useful questions! There are several ways to estimate the Conditional Value at...
Hi. I have a short and (perhaps) simple question: How does CB generate a Normal Distribution? In the manual I just found the formula for generating random...
It's a bit easier to think about if you view the distribution by it's cumulative probability, where each probability (y-axis) from 0 to 1 has a value...
Hi Huybert Thank you for your help, I have learned a lot from your comments and your model example I have a question regarding the cvar calculation: I have a...
I created a tornado chart (using the CB tornado wizard) for the forecast variable NPV, using the 10-90 percentiles of the input variables. The 2nd and 3rd...
I'm not sure exactly how Crystal Ball goes about its sensitivity calculations but I do know that the Tornado does not show the impact of interactions between...
Hi All, There could be a number of reasons, and if you would feel comfortable sharing the model, you can maybe upload to the cbug2 site for member to review...
Hi, I have a question regarding whetherI should do a sensitivity analysis of CB results by either (i) changing the distribution type or (ii) keeping the ...
Hello everyone Right now I am building a macro that defines the number of observations in a column and feeds these values to CB.DefineAssumND in order to...
Hi, All, I agree with Huybert: the scatter plot of a forecast against an assumption can be one of the key elements of a presentation. Viewing cross sections of...
Hi Jittrakul, Taking a step back before answer your specific questions, let me say that risk analysis is a decision-science. Therefore, ultimately when doing...
How do you prevent a forecast from being updated after each trial? I am interested in updating certain forecasts only when a condition is satisfied. If not,...
Does anyone know of off-the-shelf Modern Portfolio Theory-Efficient Frontier Excel programs which can access historical securities data (e.g. yahoo finance)...
First, the efficient frontier theory described my Markowitz does not use Monte Carlo simulation so I am not sure why you are looking to add it "in to a CB...
Marty, on page 74 of the SimulAr user manual (http://www.simularsoft.com.ar/simularusermanual.pdf)I I show how to build a model combining monte carlo...
Thanks for taking the time to write back on this subject. I will look further into your suggested academic sources. The reason I wanted to use monte carlo...
I am trying to run the license manager to activate my copy of CB, but when I launch license manager an error occurs which says "Administrative privileges are...
Hi Marty, You can actually build an efficient frontier with Crystal Ball's OptQuest, by setting up a variable requirement on the forecast selection screen of...
Hi All, Great discussion. It's important to keep in mind why one would use one method (for example a spreadsheet with Solver) versus another (Monte Carlo with...
Completely agree with Huybert. Although the Markowitz's model was developed using historical data you can use montecarlo simulation and solver or OptQuest to...
Hello to everyone Well the title resumes my problem, I cant seem to generate a Custom Assumption using 2 diferent ranges. The idea is to pick a Cell in Sheet...
Hi Andres, Hope that the following two comments will help. First, I would recommend to first write the code as described in the user-manual (see page 68 of...
Hello Huybert After reading your risk tips I realised that for my Montecarlo simulations a need to generate custom distributions acording to a histogram...
Sorry I forgot to post the code in my previous message: Worksheets("Simulacion").Activate Set MultiR = Union(Range("B2"), Range("A3:C7")) MultiR.Select ...
In older versions of Crystal Ball (V5.x) it was possible to run a macro after each trial which would modify the values of forecast cells. Crystal Ball would...
I'm interested in any help on the general problem of allocating research/evaluation money. When the population exceeds the budget for a census, we look to...
E.R., That's a great question. As you said, in statistics we typically go from data to some kind of "inference" about a population. So, we for example ask 100...
H.G., Thanks for your reply. In my situation, we have reporting requirement for the precision of our estimate of the population. We use a confidence interval,...
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