cbug2 at Yahoo! Groups

Use of volatile distributions and sequence of results using fixed se

Dave Winiarski — Tue, 10 Nov 2009 02:39:33 GMT

Is there some rule of thumb for how one should employ "volatile" custom distributions? I have a situation where the parameter range referred to in a custom

Re: Conditional Value at Risk as criteria for Optimal Allocation

Huybert Groenendaal — Sat, 07 Nov 2009 19:11:45 GMT

Hi Edgar, Thank you for your email and updates. In the previous email I outlined the general way (conceptually) how to go about building a model for a CVar

Re: Strange problem with Extreme Speed

Steve Sacks — Sat, 07 Nov 2009 19:11:12 GMT

David, Thanks for your response to my question about Extreme Speed. In accordance with your suggestion, I did run the

Re: Strange problem with Extreme Speed

blankind — Fri, 06 Nov 2009 15:56:22 GMT

Steve, The Extreme Speed engine uses a third party utility to speed up simulations (and optimizations that run a series of simulations), but it does have a few

Strange problem with Extreme Speed

Steve Sacks — Fri, 06 Nov 2009 01:18:04 GMT

Hi, I hope somebody could give me some help with a really strange problem I am having with Extreme Speed. When I run a simulation at Normal

Re: Conditional Value at Risk as criteria for Optimal Allocation

eyunda — Wed, 04 Nov 2009 17:42:21 GMT

Huybert: I read your instructions and tried them but how to say to OptQuest that, what I want is a CVaR efficient portfolio... About your instructions: 1.- For

Re: automatic graphs in Excel; including other forecasts in sensitiv

jamesamurtha — Thu, 29 Oct 2009 20:59:31 GMT

Hi Hilary. It looks like the code for automatically pasting the forecast would be only a few lines from that example, and I agree that the custom distribution

Re: automatic graphs in Excel; including other forecasts in sensitiv

hils1978 — Thu, 29 Oct 2009 15:33:47 GMT

Hi Jim, All of this functionality is still available in the Developer's Kit. You'll want to refer to a newer copy of the documentation since there have been

automatic graphs in Excel; including other forecasts in sensitivity

jamesamurtha — Wed, 28 Oct 2009 18:06:24 GMT

Hello, All, I have a model with a key forecast, Y, and 10 intermediate variables, X1,...,X10, which I have designated as forecasts as well. I want to

Re: out of memory error when extracting data

blankind — Wed, 28 Oct 2009 13:55:02 GMT

Ian, This error message is a system-level out-of-memory message, so you might want to look at the length of the simulation you are running, the size of the

out of memory error when extracting data

Ian — Tue, 27 Oct 2009 15:43:33 GMT

Hi, I'm getting an out of memory error when trying to extract the data from a run, I only started getting these recently. It performs the run OK but then will

Re: OPTQUEST - ENTERING REQUIREMENT DECIMAL

Edgar Yunda — Mon, 26 Oct 2009 19:52:13 GMT

Thank you David, your solution is clear and it really works. Edgar ... De: blankind Asunto: [CBUG] Re: OPTQUEST - ENTERING REQUIREMENT

Re: Path Dependent simulations in CB

Huybert Groenendaal — Sun, 25 Oct 2009 18:28:16 GMT

You're welcome. I see your point. We've done GARCH models with CB, but not with looking back 10 periods to determine this year's volatility. Hope others on the

Re: OPTQUEST - ENTERING REQUIREMENT DECIMAL

blankind — Sun, 25 Oct 2009 16:43:53 GMT

Assuming that you are using the most recent version of Crystal Ball (11.1.1.3.00), the workaround for this issue is easy. The formatting of the righthand side

Re: Path Dependent simulations in CB

dansch_1998 — Sat, 24 Oct 2009 20:34:55 GMT

Thanks--I'm not sure if the stock-option example will work in my case. I'm running a garch model where the current year's volatility is a function of the prior