Requirement Examples

In the Portfolio Allocation example of OptQuest Tutorials, the investor wants to impose a condition that limits the standard deviation of the total return. Because the standard deviation is a forecast statistic and not a decision variable, this restriction is a requirement.

The following are some examples of requirements on forecast statistics that you could specify:

95th percentile >= 1000

-1 <= skewness <= 1

Range 1000 to 2000 >= 50% certainty