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Scenario Analysis

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  1. #1
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    Join Date
    05-01-2007
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    7

    Scenario Analysis

    I am trying to write VBA to run through all the combinations of stock weights in a portfolio to determine all the output combinations of an equation that is linked to the security weights.

    The portfolio may have 1 to very large number of securities.

    For instance assuming stock weight increment adjustments of 1%... and all stock weights add to 100% and none are less than 0%...

    2 securities in a portfolio:
    A , B
    100% , 0%
    99% , 1%
    98% , 2%
    etc.... results in 101 combinations.

    3 securities in a portfolio:
    A , B , C
    100% , 0% , 0%
    99% , 1% , 0%
    99% , 0% , 1%
    98% , 2% , 0%
    98% , 1% , 1%
    98% , 0% , 2%
    etc.... results in xxx combinations.

    In sum, the VBA must compute the security weight of every combination of stock weights (assuming 1% increments, 100% = total stock weights, and weights are between 100% and 0%).

    Any advice?
    Last edited by VBA Noob; 11-16-2007 at 02:56 AM.

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