Setting Up Efficient Frontier Analysis in OptQuest

Efficient Frontier analysis calculates the curve that plots an objective value against changes to a requirement or constraint. A typical use is for comparing portfolio returns against different risk levels so that investors can maximize return and minimize risk. For a theoretical discussion, see Efficient Frontier Analysis. For an illustration of an Efficient Frontier chart, see Figure 10, Efficient Frontier Chart, Best Solution View. For an example, see the Oracle Crystal Ball Reference and Examples Guide.

To request an Efficient Frontier analysis in OptQuest, you need to define a requirement or a constraint with a variable bound in either the Objectives or Constraints panel of the OptQuest wizard.

  To define a variable bound for Efficient Frontier analysis:

  1. In the Objectives panel, select an existing requirement to modify or add a new one and select it.

    Alternately, select a constraint in the Constraints panel.

  2. Click Efficient Frontier.

  3. An Efficient Frontier row opens near the requirement or constraint. Adjust the underlined elements to define a range of values for one or both bounds of the requirement or constraint.

When you define a range for a requirement or constraint bound (instead of a single point), you also define a number of points to check within the range by setting the step amount. OptQuest runs one full optimization for each test point in the range, starting with the most limiting requirement test point. Then, you can see the effects of tightening or loosening a requirement.